# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001752724-23-039503
**Filing Date:** 2023-2
**Character Count:** 851333
**Document Hash:** 80018780083f7f60327931c27d6537ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039503.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039503

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 23665623

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Diversified Bond Portfolio (Series ID: S000026026)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078095 | Class I      |  |
| C000098966 | Class P      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

- **a. Name of Series:** Diversified Bond Portfolio

- **b. EDGAR series identifier (if any):** S000026026

- **c. LEI of Series:** K8VBZFZJHH7WPRCKF425

**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:** $2828198524.18

**Total Liabilities:** $433063678.75

**Net Assets:** $2395134845.43

**Delayed Delivery Securities:** $383148286.20

**Cash Not Reported:** $47542165.03

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2435.77000000 | **1-Year:** -54768.93000000 | **5-Year:** -153992.51000000 | **10-Year:** -217384.55000000 | **30-Year:** -144826.04000000

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

- **3-Month:** -1178.94000000 | **1-Year:** -32963.22000000 | **5-Year:** -288713.30000000 | **10-Year:** -50721.36000000 | **30-Year:** -25616.25000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098966 | -1.45%               | 5.40%                | -0.85%               |
| Class ID C000078095 | -1.47%               | 5.39%                | -0.86%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-47591441.65            | $28983765.09                               |
| Month 2  | $-10327407.51            | $89449033.68                               |
| Month 3  | $5049689.64              | $-29804661.81                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                 | Title                                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED AIRLINES INC                                  | United Airlines Inc                                                                                               | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |        90000 | PA      | $83576.34     | 0.00%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                  | GS Mortgage-Backed Securities Trust 2022-NQM1                                                                     | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1859511 | PA      | $1671071.53   | 0.07%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    754940000 | PA      | $3173307.12   | 0.13%             | 2030-04-10      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AF4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25976 | PA      | $25775.34     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ELMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124564 | PA      | $123600.39    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     46890000 | PA      | $46970592.19  | 1.96%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Trust 2018-J1 Trust                                                                                          | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7197667 | PA      | $6290242.55   | 0.26%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                             | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       520000 | PA      | $496948.04    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                                                                | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       840000 | PA      | $720514.69    | 0.03%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       240000 | PA      | $217411.08    | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        10000 | PA      | $8826.56      | 0.00%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5280000 | PA      | $4621382.20   | 0.19%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      2480000 | PA      | $2383220.46   | 0.10%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178WGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1497 | PA      | $1371.63      | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       970000 | PA      | $858789.67    | 0.04%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                             | Cooperatieve Rabobank UA                                                                                          | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       250000 | PA      | $225005.22    | 0.01%             | 2026-06-24      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       542413 | PA      | $464289.08    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       262105 | PA      | $226547.58    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       752003 | PA      | $643983.39    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2019-2                                                                        | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3753731 | PA      | $3563553.39   | 0.15%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       760000 | PA      | $732291.62    | 0.03%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6898091 | PA      | $156864.66    | 0.01%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       140000 | PA      | $75394.92     | 0.00%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                 | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DAZ8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |        40000 | PA      | $39957.63     | 0.00%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED USD / SOLD JPY                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-357446.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       418111 | PA      | $368181.32    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9900000 | PA      | $9097384.43   | 0.38%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325106 | PA      | $36329.05     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        91464 | PA      | $78469.40     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                              | Becton Dickinson and Co                                                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       714000 | PA      | $641653.15    | 0.03%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                                                               | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       460000 | PA      | $434538.43    | 0.02%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                             | Lloyds Banking Group PLC                                                                                          | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      3280000 | PA      | $3118984.70   | 0.13%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2182474.58   | 0.09%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7835303 | PA      | $7487057.75   | 0.31%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2012-CCRE2 Mortgage Trust                                                                                    | CUSIP: 12624KAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2390000 | PA      | $2002007.40   | 0.08%             | 2045-08-15      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FG4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       250657 | PA      | $50401.55     | 0.00%             | 2039-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2240000 | PA      | $2073292.21   | 0.09%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      7050000 | PA      | $6619342.22   | 0.28%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       460000 | PA      | $340736.59    | 0.01%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23P 112.2 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           28 | NC      | $25812.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15364649 | PA      | $374777.60    | 0.02%             | 2031-09-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FLEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       395631 | PA      | $14735.74     | 0.00%             | 2026-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412YBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3773 | PA      | $3890.31      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600000 | PA      | $570943.94    | 0.02%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       209869 | PA      | $196241.23    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                             | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       400000 | PA      | $341084.00    | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                        | MASTR Reperforming Loan Trust 2005-1                                                                              | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       909934 | PA      | $692685.35    | 0.03%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       122177 | PA      | $116903.30    | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                 | Royal Bank of Canada                                                                                              | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      1230000 | PA      | $1123578.56   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    346790000 | PA      | $16091703.79  | 0.67%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2015-GC30                                                                            | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |       550000 | PA      | $505464.63    | 0.02%             | 2050-05-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       965580 | PA      | $859642.52    | 0.04%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ELZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41870 | PA      | $41170.47     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                             | Constellation Brands Inc                                                                                          | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       220000 | PA      | $175317.61    | 0.01%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2018-3                                                                                   | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       770909 | PA      | $677427.08    | 0.03%             | 2048-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4908711 | PA      | $3796310.04   | 0.16%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1050000 | PA      | $866068.59    | 0.04%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       848162 | PA      | $731515.39    | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1205349 | PA      | $1119511.85   | 0.05%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      1510000 | PA      | $1483080.61   | 0.06%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       280551 | PA      | $239612.19    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cloudera, Inc.                                       | Cloudera, Inc. 2021 Term Loan                                                                                     | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |      1379575 | PA      | $1311458.48   | 0.05%             | 2028-10-08      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34468 | PA      | $35615.41     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                  | AUST 10Y BOND FUT MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |          305 | NC      | $-1381917.01  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Freeport-McMoRan Inc                                 | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DBL8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       120000 | PA      | $118428.23    | 0.00%             | 2024-11-14      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                       | Air Lease Corp                                                                                                    | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      1160000 | PA      | $1098225.06   | 0.05%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5916868 | PA      | $5059356.77   | 0.21%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                          | Workday Inc                                                                                                       | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      1080000 | PA      | $993104.92    | 0.04%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                    | EURO-BUND FUTURE MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          373 | NC      | $-2259869.81  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      1930000 | PA      | $1611599.31   | 0.07%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8200000 | PA      | $7693295.92   | 0.32%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      1988000 | PA      | $1948493.37   | 0.08%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       190000 | PA      | $148771.79    | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       500000 | PA      | $468404.70    | 0.02%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       116526 | PA      | $125350.04    | 0.01%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                         | Alphabet Inc                                                                                                      | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       690000 | PA      | $541585.15    | 0.02%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171335 | PA      | $140827.57    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2442320 | PA      | $1950554.17   | 0.08%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      1540000 | PA      | $1359893.46   | 0.06%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nuveen LLC                                           | Nuveen LLC                                                                                                        | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1396088.84   | 0.06%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1247898 | PA      | $33335.10     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                     | SMB Private Education Loan Trust 2021-C                                                                           | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1534252 | PA      | $1311049.61   | 0.05%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       180000 | PA      | $125022.59    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                           | Pfizer Inc                                                                                                        | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       780000 | PA      | $687015.51    | 0.03%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380LBS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       679955 | PA      | $671445.91    | 0.03%             | 2068-02-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       580913 | PA      | $499871.63    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APi Group DE, Inc.                                   | APi Group DE, Inc. Term Loan B                                                                                    | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |      2418729 | PA      | $2404821.73   | 0.10%             | 2026-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                        | CommScope Inc                                                                                                     | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |        90000 | PA      | $72726.75     | 0.00%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                             | Intercontinental Exchange Inc                                                                                     | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      2840000 | PA      | $2731154.16   | 0.11%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac STACR Remic Trust 2020-DNA2                                                                           | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |      1940195 | PA      | $1937052.11   | 0.08%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                           | CUSIP: 105756BY5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      3600000 | PA      | $2864063.77   | 0.12%             | 2047-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2050000 | PA      | $1973111.65   | 0.08%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380RFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30836907 | PA      | $2888678.06   | 0.12%             | 2060-10-16      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341048 | PA      | $295602.63    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       270000 | PA      | $257646.15    | 0.01%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                                                              | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       130000 | PA      | $129337.47    | 0.01%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2010000 | PA      | $1776823.70   | 0.07%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |        70000 | PA      | $59728.37     | 0.00%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1089775 | PA      | $972355.57    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmWINS Group, Inc.                                   | AmWINS Group, Inc. 2021 Term Loan B                                                                               | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |      1279213 | PA      | $1257146.33   | 0.05%             | 2028-02-19      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31393YBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       183723 | PA      | $180911.57    | 0.01%             | 2034-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31411X6E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3059 | PA      | $3084.09      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381XEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2418812 | PA      | $2168465.68   | 0.09%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       740000 | PA      | $709466.67    | 0.03%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED INR / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | IN        |            1 | NC      | $-15347.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1426699.05   | 0.06%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                  | Freddie Mac Multiclass Certificates Series 2015-P001                                                              | CUSIP: 3137FQXW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4000000 | PA      | $308216.00    | 0.01%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2017-4                                                                        | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1900810 | PA      | $1774695.93   | 0.07%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285999 | PA      | $236399.31    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1190000 | PA      | $981907.47    | 0.04%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                              | Bristol-Myers Squibb Co                                                                                           | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      1379000 | PA      | $1316437.18   | 0.05%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      2580000 | PA      | $2569100.74   | 0.11%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5594 | PA      | $5588.30      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       294871 | PA      | $259204.37    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       380000 | PA      | $343520.60    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                     | BAT Capital Corp                                                                                                  | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       950000 | PA      | $674819.64    | 0.03%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5729268 | PA      | $374873.46    | 0.02%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                               | Barrick North America Finance LLC                                                                                 | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1023000 | PA      | $1032316.34   | 0.04%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       370000 | PA      | $366424.23    | 0.02%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                              | United Rentals North America Inc                                                                                  | CUSIP: 911365BF0<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       400000 | PA      | $395532.00    | 0.02%             | 2027-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H36Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        54000 | PA      | $50548.96     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                | General Dynamics Corp                                                                                             | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       100000 | PA      | $91685.91     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1809551 | PA      | $1621554.95   | 0.07%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                            | Ball Corp                                                                                                         | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |      1220000 | PA      | $981404.60    | 0.04%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1115072 | PA      | $954461.80    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                     | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |        70000 | PA      | $51289.85     | 0.00%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H3K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       160847 | PA      | $154592.13    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | SOFR 1YR MIDCURVE JAN23P 95.62 EXP 01/13/2023                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          964 | NC      | $126525.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| McDonald's Corp                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      2270000 | PA      | $2209632.44   | 0.09%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                   | Ready Capital Mortgage Financing 2022-FL9 LLC                                                                     | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3167664 | PA      | $3151528.03   | 0.13%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3295000 | PA      | $3268007.62   | 0.14%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust                                                    | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405707 | PA      | $362064.02    | 0.02%             | 2036-10-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1870154 | PA      | $1673618.10   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD CAD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-29022.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47468 | PA      | $50163.76     | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       950000 | PA      | $786294.29    | 0.03%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       580000 | PA      | $561585.30    | 0.02%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       737481 | PA      | $727521.18    | 0.03%             | 2068-07-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $199291.92    | 0.01%             | 2032-11-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division     | LONG GILT FUTURE MAR23                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          162 | NC      | $-1080878.23  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2006-20                                                                           | CUSIP: 12544AAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3129506 | PA      | $1594098.87   | 0.07%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1182086 | PA      | $1136030.61   | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       259679 | PA      | $257059.95    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                 | Indonesia Treasury Bond                                                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 179413000000 | PA      | $11828215.45  | 0.49%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED AUD / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |            1 | NC      | $817569.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Medical Response, Inc.                        | Global Medical Response, Inc. 2020 Term Loan B                                                                    | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |      3104757 | PA      | $2201791.49   | 0.09%             | 2025-10-02      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436844 | PA      | $407814.97    | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       270000 | PA      | $253943.67    | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 42307TAG3<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        50000 | PA      | $54422.31     | 0.00%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3860000 | PA      | $3467308.11   | 0.14%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2910000 | PA      | $2126707.47   | 0.09%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       210000 | PA      | $173708.08    | 0.01%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27259 | PA      | $27767.10     | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       890000 | PA      | $819353.08    | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132QSG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        93377 | PA      | $89627.81     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AAXW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       547129 | PA      | $55595.99     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4684125 | PA      | $296173.95    | 0.01%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418ANV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20243 | PA      | $18306.44     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ABQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       815287 | PA      | $45378.85     | 0.00%             | 2042-03-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1552078.78   | 0.06%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54997 | PA      | $55594.01     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23C 108 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           19 | NC      | $11429.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       646129 | PA      | $653584.11    | 0.03%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VFH Parent LLC                                       | VFH Parent LLC 2022 Term Loan B                                                                                   | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |      1590000 | PA      | $1555218.75   | 0.06%             | 2029-01-13      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600000 | PA      | $588048.53    | 0.02%             | 2032-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 3 MONTH SOFR FUT DEC24                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         1004 | NC      | $-290826.92   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| General Motors Co                                    | General Motors Co                                                                                                 | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       440000 | PA      | $381172.28    | 0.02%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       250000 | PA      | $242998.38    | 0.01%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       270000 | PA      | $264138.67    | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       236616 | PA      | $196459.27    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      1110000 | PA      | $1033834.60   | 0.04%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ECMC Group Student Loan Trust                        | ECMC Group Student Loan Trust 2016-1                                                                              | CUSIP: 26827XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3826656 | PA      | $3728360.49   | 0.16%             | 2066-07-26      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, LP                                 | Medline Borrower, LP USD Term Loan B                                                                              | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |      3303080 | PA      | $3144323.97   | 0.13%             | 2028-10-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31411WCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          976 | PA      | $980.56       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074468 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074468 IRS USD P F  2.50000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     14812000 | OU      | $1984946.79   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                                                              | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4970000 | PA      | $4058662.93   | 0.17%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust               | Residential Asset Securitization Trust 2006-A8                                                                    | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       687507 | PA      | $452375.68    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659T2C4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       910000 | PA      | $561424.78    | 0.02%             | 2041-01-26      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                    | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       210000 | PA      | $192463.20    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                      | Danske Bank A/S                                                                                                   | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       800000 | PA      | $749329.37    | 0.03%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                                                           | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      1370000 | PA      | $1341925.96   | 0.06%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Corp II                                                                                    | CUSIP: 36255TAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      3899550 | PA      | $3284799.93   | 0.14%             | 2031-09-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                | Thrust Engine Leasing 2021 DAC                                                                                    | CUSIP: 88603UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2272053 | PA      | $1675583.40   | 0.07%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                               | Bausch Health Americas Inc                                                                                        | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |       750000 | PA      | $526184.09    | 0.02%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                                                    | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2830000 | PA      | $2344638.81   | 0.10%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 115 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -119 | NC      | $-16734.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       217473 | PA      | $211624.97    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       410000 | PA      | $373719.51    | 0.02%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       330000 | PA      | $311328.90    | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       557436 | PA      | $565396.38    | 0.02%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       356961 | PA      | $309655.25    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      1010000 | PA      | $963162.59    | 0.04%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21636 | PA      | $19565.71     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                           | Navient Private Education Refi Loan Trust 2020-D                                                                  | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3473591 | PA      | $3124995.52   | 0.13%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 129 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |            9 | NC      | $5343.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $914238.07    | 0.04%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                              | United Rentals North America Inc                                                                                  | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      1850000 | PA      | $1555008.25   | 0.06%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                         | Broadcom Inc                                                                                                      | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      4820000 | PA      | $3558711.37   | 0.15%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1103517 | PA      | $942095.69    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31395HER7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1885360 | PA      | $1877217.04   | 0.08%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRA Health Sciences, Inc.                            | PRA Health Sciences, Inc. US Term Loan                                                                            | CUSIP: 000000000<br>LEI: 549300R1HR1VWWHIAK47 | Long             | LON              | CORP              | US        |       659426 | PA      | $658189.54    | 0.03%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      2510000 | PA      | $1921668.55   | 0.08%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       610000 | PA      | $480232.72    | 0.02%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1114746 | PA      | $998243.09    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      2880000 | PA      | $2715236.81   | 0.11%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31398NY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2140904 | PA      | $2091741.73   | 0.09%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR ULTRA FUT MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          421 | NC      | $-84775.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RAAC Series                                          | RAAC Series 2005-SP1 Trust                                                                                        | CUSIP: 76112BQS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8416 | PA      | $7761.79      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAN1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      1140000 | PA      | $1135462.80   | 0.05%             | 2025-01-31      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12                                                   | CUSIP: 46632HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17632 | PA      | $15722.04     | 0.00%             | 2051-02-15      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1185857 | PA      | $960941.05    | 0.04%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      2610000 | PA      | $1739809.19   | 0.07%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2749521 | PA      | $178798.88    | 0.01%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1746154 | PA      | $1560173.12   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                       | Microsoft Corp                                                                                                    | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        41000 | PA      | $27177.78     | 0.00%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                             | EQT Corp                                                                                                          | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       120000 | PA      | $120477.60    | 0.01%             | 2025-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       951364 | PA      | $937186.05    | 0.04%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       576548 | PA      | $535873.81    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal                                        | ArcelorMittal SA                                                                                                  | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |       740000 | PA      | $754077.03    | 0.03%             | 2039-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       550000 | PA      | $522765.63    | 0.02%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                       | Adjustable Rate Mortgage Trust 2005-12                                                                            | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       337494 | PA      | $98681.63     | 0.00%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1563593.39   | 0.07%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                             | EQT Corp                                                                                                          | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $1943267.00   | 0.08%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378B2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26348044 | PA      | $226353.41    | 0.01%             | 2053-01-16      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond - WI Reopening                                                                   | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     41740000 | PA      | $40879112.50  | 1.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC                             | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp                                                      | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2050000 | PA      | $1954773.13   | 0.08%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                | Costco Wholesale Corp                                                                                             | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      1480000 | PA      | $1298553.10   | 0.05%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       305356 | PA      | $309498.36    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                               | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       790000 | PA      | $726908.29    | 0.03%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4078103 | PA      | $3784551.97   | 0.16%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2097960 | PA      | $236412.01    | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                 | Lockheed Martin Corp                                                                                              | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       600000 | PA      | $567211.49    | 0.02%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD EUR                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-2171287.82  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       856246 | PA      | $703931.87    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       931468 | PA      | $845212.86    | 0.04%             | 2047-11-16      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8375000 | PA      | $5307329.12   | 0.22%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings, LLC                          | Sotera Health Holdings, LLC 2021 Term Loan                                                                        | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |      2540000 | PA      | $2360612.50   | 0.10%             | 2026-12-11      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600000 | PA      | $593339.24    | 0.02%             | 2032-11-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                                                        | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      4950000 | PA      | $4783985.46   | 0.20%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       630000 | PA      | $629356.34    | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                    | L3Harris Technologies Inc                                                                                         | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       370000 | PA      | $346101.20    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3679822 | PA      | $502047.36    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                               | GFL Environmental Inc. 2020 Term Loan                                                                             | CUSIP: 000000000<br>LEI: 549300FYK4MBXWIVZU26 | Long             | LON              | CORP              | CA        |        96741 | PA      | $96861.71     | 0.00%             | 2025-05-30      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                           | Pfizer Inc                                                                                                        | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      1110000 | PA      | $915890.74    | 0.04%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        78192 | PA      | $64631.41     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                                                        | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       950000 | PA      | $929044.09    | 0.04%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       710000 | PA      | $662393.35    | 0.03%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    107830000 | PA      | $453251.53    | 0.02%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                      | Cameron LNG LLC                                                                                                   | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       540000 | PA      | $456911.74    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DCP RIGHTS, LLC                                      | DCP RIGHTS, LLC                                                                                                   | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1252369.25   | 0.05%             | 2024-01-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                       | Microsoft Corp                                                                                                    | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       908000 | PA      | $632444.08    | 0.03%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                               | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1153435.36   | 0.05%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31419ACU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12635 | PA      | $12807.08     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                       | Microsoft Corp                                                                                                    | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        72000 | PA      | $63977.79     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                             | Petrobras Global Finance BV                                                                                       | CUSIP: 71647NAV1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      9501000 | PA      | $9456541.69   | 0.39%             | 2025-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138MPDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       447517 | PA      | $400286.78    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       590000 | PA      | $583649.52    | 0.02%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3370000 | PA      | $3357549.03   | 0.14%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac Structured Agency Credit Risk Debt Notes                                                              | CUSIP: 3137G0AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2061209 | PA      | $2081489.13   | 0.09%             | 2024-02-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       286694 | PA      | $236165.12    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                             | OCP SA                                                                                                            | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      1170000 | PA      | $1145362.14   | 0.05%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                  | Bank of Nova Scotia/The                                                                                           | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      1440000 | PA      | $1232577.37   | 0.05%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                 | Sofi Professional Loan Program 2018-B Trust                                                                       | CUSIP: 83404RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1061896 | PA      | $1028935.83   | 0.04%             | 2047-08-25      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       270000 | PA      | $217810.42    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                 | Royal Bank of Canada                                                                                              | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      1170000 | PA      | $1071989.51   | 0.04%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 31329QM57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1876212 | PA      | $1791904.03   | 0.07%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       260000 | PA      | $215507.20    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WHW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       134691 | PA      | $129229.28    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       970000 | PA      | $843539.78    | 0.04%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2591448 | PA      | $357614.08    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10Y NOTE W5 OP DEC22C 112.7 EXP 12/30/2022                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -14 | NC      | $-14.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       203808 | PA      | $199965.31    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                                                          | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      4460000 | PA      | $4357572.49   | 0.18%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6P39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108061 | PA      | $100370.81    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       275445 | PA      | $264386.84    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $856101.92    | 0.04%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7800000 | PA      | $7508036.56   | 0.31%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       920000 | PA      | $805678.97    | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       160000 | PA      | $115861.84    | 0.00%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       253760 | PA      | $253501.36    | 0.01%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                           | 3M Co                                                                                                             | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |      2730000 | PA      | $2103283.40   | 0.09%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                   | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-3                                                | CUSIP: 16678YAB8<br>LEI: 54930000U79ZJ622LX23 | Long             | ABS-MBS          | CORP              | US        |       131915 | PA      | $107613.45    | 0.00%             | 2047-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4108591 | PA      | $3686355.49   | 0.15%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132Y0GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       311911 | PA      | $317449.13    | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                             | 1011778 BC ULC / New Red Finance Inc                                                                              | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1540000 | PA      | $1322958.53   | 0.06%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                              | RXG3C 134.00                                                                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |          -39 | NC      | $-42582.48    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741941 | PA      | $635299.59    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6096347 | PA      | $170616.62    | 0.01%             | 2028-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967HA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       580000 | PA      | $622850.23    | 0.03%             | 2043-09-13      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       379461 | PA      | $363118.69    | 0.02%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                      | Sands China Ltd                                                                                                   | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1010000 | PA      | $947039.63    | 0.04%             | 2028-08-08      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                         | Ecopetrol SA                                                                                                      | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      3880000 | PA      | $2709921.90   | 0.11%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 949746RF0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1567000 | PA      | $1526907.24   | 0.06%             | 2044-01-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1050785 | PA      | $30426.01     | 0.00%             | 2058-07-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3000000 | PA      | $2758892.55   | 0.12%             | 2053-02-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 113.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -54 | NC      | $-23625.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Peraton Corp.                                        | Peraton Corp. Term Loan B                                                                                         | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      2027691 | PA      | $1984965.68   | 0.08%             | 2028-02-01      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1183838 | PA      | $145941.16    | 0.01%             | 2042-04-16      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168659 | PA      | $139139.05    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3010000 | PA      | $2810414.73   | 0.12%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FG4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155187 | PA      | $24209.35     | 0.00%             | 2038-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1069404 | PA      | $150116.96    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Equate Petrochemical BV                              | Equate Petrochemical BV                                                                                           | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |      1260000 | PA      | $1207820.88   | 0.05%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                             | Santander UK Group Holdings PLC                                                                                   | CUSIP: 80281LAB1<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |       408000 | PA      | $313600.72    | 0.01%             | 2045-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1788378 | PA      | $1723678.97   | 0.07%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US LONG BND W5 OP DEC22C 125.5 EXP 12/30/2022                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -28 | NC      | $-28.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31413AH71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5263 | PA      | $5370.29      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202D2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2995 | PA      | $2861.45      | 0.00%             | 2033-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       410000 | PA      | $397323.82    | 0.02%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                                                        | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      2350000 | PA      | $2129766.77   | 0.09%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       765323 | PA      | $764543.86    | 0.03%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111237 | PA      | $115455.53    | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                    | Republic of Kenya Government International Bond                                                                   | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      3210000 | PA      | $2487717.90   | 0.10%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       126623 | PA      | $131324.30    | 0.01%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3759464 | PA      | $509280.35    | 0.02%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2220000 | PA      | $2002329.00   | 0.08%             | 2025-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23P 109 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -188 | NC      | $-243812.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                 | Paraguay Government International Bond                                                                            | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |       790000 | PA      | $696444.74    | 0.03%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2717140 | PA      | $420864.31    | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                     | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       370000 | PA      | $246854.64    | 0.01%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202ET33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        82589 | PA      | $87302.89     | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5458 | PA      | $5664.47      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7374 | PA      | $7792.86      | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       548519 | PA      | $474920.33    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       370000 | PA      | $341961.63    | 0.01%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2280000 | PA      | $2252377.62   | 0.09%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2014-USA OA LLC                                                                                              | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      6800000 | PA      | $6123448.28   | 0.26%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64397 | PA      | $63841.45     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                   | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1590000 | PA      | $1363886.10   | 0.06%             | 2027-03-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    660067500 | PA      | $29589816.78  | 1.24%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       465951 | PA      | $382972.60    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       472478 | PA      | $404607.03    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                                                         | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |       450000 | PA      | $273438.70    | 0.01%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1940000 | PA      | $1826189.42   | 0.08%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5632 | PA      | $5954.26      | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       305739 | PA      | $289316.80    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      2240000 | PA      | $1552190.46   | 0.06%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 131 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           28 | NC      | $8312.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                     | Peruvian Government International Bond                                                                            | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1150000 | PA      | $1141289.29   | 0.05%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H32K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        64528 | PA      | $60403.01     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23P 114 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -206 | NC      | $-415218.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2138130 | PA      | $326023.51    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3470000 | PA      | $3414014.46   | 0.14%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Bank                                                 | BANK 2019-BNK17                                                                                                   | CUSIP: 065403BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35977775 | PA      | $1739960.74   | 0.07%             | 2052-04-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $934613.01    | 0.04%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278473 | PA      | $248637.04    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                              | Flagstar Mortgage Trust 2018-2                                                                                    | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119983 | PA      | $117809.18    | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138MRW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164711 | PA      | $147324.81    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                             | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      1020000 | PA      | $808613.27    | 0.03%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1537034 | PA      | $1439086.49   | 0.06%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                   | Morgan Stanley Mortgage Loan Trust 2004-5AR                                                                       | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129095 | PA      | $117905.49    | 0.00%             | 2034-07-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132HCMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       369745 | PA      | $363943.32    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                             | Delta Air Lines Inc / SkyMiles IP Ltd                                                                             | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1800000 | PA      | $1757025.02   | 0.07%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                             | Intercontinental Exchange Inc                                                                                     | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       540000 | PA      | $502221.06    | 0.02%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                                                         | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      5680000 | PA      | $4392860.03   | 0.18%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019-1                        | Credit Suisse European Mortgage Capital Ltd                                                                       | CUSIP: 55960WAB7<br>LEI: 213800FNSN9L4EI3LC40 | Long             | ABS-O            | CORP              | IE        |      4032600 | PA      | $3946197.92   | 0.16%             | 2024-08-09      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2787444.42   | 0.12%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                                                      | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1350000 | PA      | $1294004.34   | 0.05%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                  | Sprint Capital Corp                                                                                               | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      1420000 | PA      | $1693144.10   | 0.07%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137A4CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        90840 | PA      | $90603.23     | 0.00%             | 2039-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31413EXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3282 | PA      | $3406.19      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1485000 | PA      | $1590801.62   | 0.07%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       420000 | PA      | $393800.44    | 0.02%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1480000 | PA      | $1300750.36   | 0.05%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3G50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       188553 | PA      | $154595.79    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412ACJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166691 | PA      | $172428.75    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       317588 | PA      | $309039.88    | 0.01%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       250000 | PA      | $231491.66    | 0.01%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1726152 | PA      | $1472092.66   | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                          | Workday Inc                                                                                                       | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      2420000 | PA      | $2142987.15   | 0.09%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAD3<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      2000000 | PA      | $1959060.00   | 0.08%             | 2023-07-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                             | Sabine Pass Liquefaction LLC                                                                                      | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       730000 | PA      | $730571.43    | 0.03%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2014-USA OA LLC                                                                                              | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      1700000 | PA      | $952702.27    | 0.04%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       362877 | PA      | $333081.42    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129107 | PA      | $106116.43    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       473268 | PA      | $391189.60    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38375GB83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       433808 | PA      | $41409.09     | 0.00%             | 2042-08-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202F4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13830 | PA      | $14620.45     | 0.00%             | 2042-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       557634 | PA      | $477487.38    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                    | EOG Resources Inc                                                                                                 | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |        80000 | PA      | $77531.94     | 0.00%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US ULTRA BOND CBT MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2090 | NC      | $-42450.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       454663 | PA      | $399231.26    | 0.02%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       200000 | PA      | $246805.18    | 0.01%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       143962 | PA      | $134159.27    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD CAD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-58827.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Asurion LLC                                          | Asurion LLC 2022 Term Loan B10                                                                                    | CUSIP: 04649VBB5<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       437359 | PA      | $392803.22    | 0.02%             | 2028-08-19      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust              | DBJPM 2016-C3 Mortgage Trust                                                                                      | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2010000 | PA      | $1841067.14   | 0.08%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       730000 | PA      | $671323.83    | 0.03%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 115.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -224 | NC      | $-24500.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      1718000 | PA      | $1468718.22   | 0.06%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                 | Colombia Government International Bond                                                                            | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      2180000 | PA      | $1609652.03   | 0.07%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2013-CCRE12 Mortgage Trust                                                                                   | CUSIP: 12591KAH8<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |       450000 | PA      | $408128.49    | 0.02%             | 2046-10-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MBEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95808 | PA      | $78299.11     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2110000 | PA      | $1998877.42   | 0.08%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1117134 | PA      | $163567.55    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38377EEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        60712 | PA      | $6623.99      | 0.00%             | 2040-04-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       798941 | PA      | $739702.73    | 0.03%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     14760000 | PA      | $759795.63    | 0.03%             | 2024-12-05      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2260000 | PA      | $2076996.41   | 0.09%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EHEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90422 | PA      | $89593.53     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2172181 | PA      | $296603.10    | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                            | Amgen Inc                                                                                                         | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       289000 | PA      | $250178.06    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       240000 | PA      | $190567.66    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2580390 | PA      | $2200117.25   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1580545 | PA      | $1306435.22   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD CNH                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $-651688.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                 | Targa Resources Corp                                                                                              | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |       400000 | PA      | $318254.96    | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       144966 | PA      | $151614.41    | 0.01%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 114 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          211 | NC      | $65937.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31371NGG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3089 | PA      | $3206.21      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                             | Devon Energy Corp                                                                                                 | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      4320000 | PA      | $3749726.82   | 0.16%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                          | PRKCM 2022-AFC1 Trust                                                                                             | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2336083 | PA      | $2197457.03   | 0.09%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust               | Structured Asset Investment Loan Trust 2003-BC10                                                                  | CUSIP: 86359A2G7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       273343 | PA      | $272239.21    | 0.01%             | 2033-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                | Reynolds American Inc                                                                                             | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $932961.53    | 0.04%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       560000 | PA      | $457627.02    | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31396L4U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       292614 | PA      | $13918.20     | 0.00%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Republic of Argentina                                | Argentine Bonos del Tesoro                                                                                        | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     20030000 | PA      | $41699.88     | 0.00%             | 2023-10-17      | Fixed         | 16.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4679489 | PA      | $4193348.36   | 0.18%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       440000 | PA      | $435701.45    | 0.02%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165746 | PA      | $150706.62    | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                | Costco Wholesale Corp                                                                                             | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      1650000 | PA      | $1355583.31   | 0.06%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                               | Tennessee Gas Pipeline Co LLC                                                                                     | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5790000 | PA      | $4862452.25   | 0.20%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6400000 | PA      | $6003023.62   | 0.25%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3403008 | PA      | $3052952.31   | 0.13%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60240000 | PA      | $60465900.00  | 2.52%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       622739 | PA      | $514730.69    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                               | Williams Cos Inc/The                                                                                              | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      6475000 | PA      | $7108416.42   | 0.30%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187705 | PA      | $160742.62    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1770000 | PA      | $1519534.75   | 0.06%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Seattle Spinco, Inc.                                 | Seattle Spinco, Inc. USD Term Loan B3                                                                             | CUSIP: 81271EAB7<br>LEI: 213800AAQDP1DDU8BK05 | Long             | LON              | CORP              | US        |       258836 | PA      | $257973.63    | 0.01%             | 2024-06-21      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                      | CVS Health Corp                                                                                                   | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1440000 | PA      | $1319461.24   | 0.06%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust          | MF1 2022-FL8 Ltd                                                                                                  | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3655000 | PA      | $3510090.22   | 0.15%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        61492 | PA      | $61429.56     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                            | Amgen Inc                                                                                                         | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       410000 | PA      | $402121.44    | 0.02%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                  | Otis Worldwide Corp                                                                                               | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       870000 | PA      | $814724.81    | 0.03%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2284619 | PA      | $1921034.09   | 0.08%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                   | Coterra Energy Inc                                                                                                | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      1710000 | PA      | $1619408.94   | 0.07%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                              | Consolidated Edison Co of New York Inc                                                                            | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       470000 | PA      | $370958.97    | 0.02%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16621 | PA      | $15294.33     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       743866 | PA      | $694820.33    | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1020000 | PA      | $938639.07    | 0.04%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       264122 | PA      | $262329.62    | 0.01%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                              | Park Aerospace Holdings Ltd                                                                                       | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       260000 | PA      | $259377.64    | 0.01%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       390000 | PA      | $337331.67    | 0.01%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                                                                 | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $198179.38    | 0.01%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          604 | PA      | $626.67       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     66000000 | PA      | $9665923.44   | 0.40%             | 2025-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527569 | PA      | $435904.48    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ADXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116207 | PA      | $3516.20      | 0.00%             | 2032-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       377473 | PA      | $27181.76     | 0.00%             | 2042-09-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    690870000 | PA      | $2903995.93   | 0.12%             | 2039-03-16      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS, LLC                        | Focus Financial Partners, LLC 2022 Term Loan B5                                                                   | CUSIP: 34416DAW8<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |      1117200 | PA      | $1106307.30   | 0.05%             | 2028-06-30      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6050000 | PA      | $376970.66    | 0.02%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138LUTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67132 | PA      | $65986.35     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       570000 | PA      | $449139.78    | 0.02%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       271825 | PA      | $259684.89    | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       810000 | PA      | $692992.54    | 0.03%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       904492 | PA      | $768030.62    | 0.03%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                    | EOG Resources Inc                                                                                                 | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      1510000 | PA      | $1445441.55   | 0.06%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7506 | PA      | $7772.52      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1594118 | PA      | $1480590.16   | 0.06%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       468095 | PA      | $423658.05    | 0.02%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2100000 | PA      | $2104769.71   | 0.09%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412W2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       115663 | PA      | $120040.78    | 0.01%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $917495.84    | 0.04%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                               | Bank of New York Mellon Corp/The                                                                                  | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |       970000 | PA      | $902151.26    | 0.04%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      1640000 | PA      | $1496920.18   | 0.06%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                              | Reliance Industries Ltd                                                                                           | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |      2500000 | PA      | $1645268.10   | 0.07%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                               | Orbia Advance Corp SAB de CV                                                                                      | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      2250000 | PA      | $1946565.00   | 0.08%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38375BCN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       196336 | PA      | $196376.69    | 0.01%             | 2060-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378UGA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       133240 | PA      | $2965.27      | 0.00%             | 2042-11-20      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       240000 | PA      | $197471.97    | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1048309 | PA      | $978671.29    | 0.04%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1900000 | PA      | $1926923.23   | 0.08%             | 2053-02-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138E2ZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52792 | PA      | $51658.23     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      2660000 | PA      | $2546629.10   | 0.11%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XCA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33319 | PA      | $33060.81     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1043785 | PA      | $156197.45    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                | Charter Communications Operating, LLC 2019 Term Loan B1                                                           | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |      1677034 | PA      | $1670629.35   | 0.07%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: SWS031849 IRS MXN R F  7.44000 2 CCPVANILLA / Short: SWS031849 IRS MXN P V 01MTIIE 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    594730000 | OU      | $-1971876.73  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       378242 | PA      | $310953.01    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6400000 | PA      | $5623163.26   | 0.23%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                  | American Express Co                                                                                               | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      1780000 | PA      | $1698889.10   | 0.07%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A65Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       645876 | PA      | $39595.51     | 0.00%             | 2042-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3908740 | PA      | $3655200.10   | 0.15%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XQWR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25794 | PA      | $25392.44     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       991149 | PA      | $902952.81    | 0.04%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1556751 | PA      | $1331108.73   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5989765 | PA      | $138682.83    | 0.01%             | 2027-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                      | Deere & Co                                                                                                        | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |       370000 | PA      | $332229.52    | 0.01%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2707080 | PA      | $2327455.69   | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        34278 | PA      | $32095.69     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    537350000 | PA      | $24612237.65  | 1.03%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                     | Bank of Montreal                                                                                                  | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      2120000 | PA      | $1982149.57   | 0.08%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       410000 | PA      | $366220.24    | 0.02%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                  | Station Casinos LLC 2020 Term Loan B                                                                              | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |      2042860 | PA      | $1999449.70   | 0.08%             | 2027-02-08      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9673826 | PA      | $8014322.74   | 0.33%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust                                                                        | CUSIP: 58940BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $3662041.20   | 0.15%             | 2026-03-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2574880 | PA      | $2198031.52   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H7CW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2109023 | PA      | $2092137.50   | 0.09%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                           | US Bancorp                                                                                                        | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      2450000 | PA      | $2273822.80   | 0.09%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                  | Abbott Laboratories                                                                                               | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      1295000 | PA      | $1262607.31   | 0.05%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       540502 | PA      | $464789.60    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       960000 | PA      | $765097.64    | 0.03%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR NOTE W5 OP DEC22C 108.7 EXP 12/30/2022                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -94 | NC      | $-94.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132HPBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        17526 | PA      | $16419.58     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 114.2 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -38 | NC      | $-9500.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                             | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1245582.57   | 0.05%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                                                                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       780000 | PA      | $739434.49    | 0.03%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       412087 | PA      | $386054.18    | 0.02%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      4200000 | PA      | $3470323.79   | 0.14%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202EPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       282750 | PA      | $299762.99    | 0.01%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3620E0D60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       363249 | PA      | $362009.06    | 0.02%             | 2060-08-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                             | Cooperatieve Rabobank UA                                                                                          | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      1560000 | PA      | $1439579.22   | 0.06%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344949 | PA      | $283845.86    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                             | Constellation Brands Inc                                                                                          | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       620000 | PA      | $608087.15    | 0.03%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                           | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      4390000 | PA      | $3266828.55   | 0.14%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33800000 | PA      | $29298746.18  | 1.22%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2000000 | PA      | $1584984.40   | 0.07%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7060770 | PA      | $6324190.55   | 0.26%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       439425 | PA      | $376942.97    | 0.02%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                                                    | CUSIP: 822582AY8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      1200000 | PA      | $1089334.08   | 0.05%             | 2043-08-12      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR NOTE (CBT)MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -4841 | NC      | $4724244.89   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2171000 | PA      | $1872145.37   | 0.08%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                             | Virgin Media Bristol LLC USD Term Loan N                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3011848 | PA      | $2965730.45   | 0.12%             | 2028-01-31      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2163214 | PA      | $120250.89    | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                             | EQT Corp                                                                                                          | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       900000 | PA      | $763993.04    | 0.03%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       161753 | PA      | $132428.22    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                                                       | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      1110000 | PA      | $905385.38    | 0.04%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1422 | PA      | $1502.15      | 0.00%             | 2040-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp.                           | Gainwell Acquisition Corp. Term Loan B                                                                            | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2621852 | PA      | $2487482.05   | 0.10%             | 2027-10-01      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132A36E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       292042 | PA      | $302334.89    | 0.01%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2832547 | PA      | $487542.75    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       490000 | PA      | $466991.92    | 0.02%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                             | Anheuser-Busch InBev Worldwide Inc                                                                                | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      1850000 | PA      | $1839348.27   | 0.08%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                     | Peruvian Government International Bond                                                                            | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      1600000 | PA      | $1327567.52   | 0.06%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       655852 | PA      | $559325.74    | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                              | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                       | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       410000 | PA      | $395058.50    | 0.02%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       780000 | PA      | $611681.23    | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4000000 | PA      | $3565258.28   | 0.15%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BBCCRE Trust                                         | BBCCRE Trust 2015-GTP                                                                                             | CUSIP: 05490TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4965000 | PA      | $4154738.81   | 0.17%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                | Bausch Health Cos Inc                                                                                             | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      2740000 | PA      | $1323591.28   | 0.06%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Edelman Financial Center, LLC                        | Edelman Financial Center, LLC 2021 Term Loan B                                                                    | CUSIP: 27943UAK2<br>LEI: 549300Z31KZXNP05U733 | Long             | LON              | CORP              | US        |      1467947 | PA      | $1377511.24   | 0.06%             | 2028-04-07      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                  | Suzano Austria GmbH                                                                                               | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      1560000 | PA      | $1218436.44   | 0.05%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Nexstar Broadcasting, Inc.                           | Nexstar Broadcasting, Inc. 2019 Term Loan B4                                                                      | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      1279669 | PA      | $1271471.78   | 0.05%             | 2026-09-18      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                                                              | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1974795.26   | 0.08%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137B1J94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       242144 | PA      | $38050.64     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                             | Virginia Electric and Power Co                                                                                    | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      2130000 | PA      | $2266876.12   | 0.09%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                  | Carrier Global Corp                                                                                               | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |       100000 | PA      | $71761.59     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP MORGAN MORTGAGE TRUST 2018-5                                                                                   | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       938864 | PA      | $826904.60    | 0.03%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1737940 | PA      | $1630963.55   | 0.07%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux S.a.r.l.                          | Jazz Financing Lux S.a.r.l. USD Term Loan                                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |      1458593 | PA      | $1448159.33   | 0.06%             | 2028-05-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       401875 | PA      | $378842.43    | 0.02%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1296289 | PA      | $1312151.64   | 0.05%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       289725 | PA      | $277958.87    | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       372177 | PA      | $347703.34    | 0.01%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       127674 | PA      | $130814.46    | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197860 | PA      | $186896.80    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1662332 | PA      | $1403228.06   | 0.06%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       430000 | PA      | $338325.50    | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Verscend Holding Corp.                               | Verscend Holding Corp. 2021 Term Loan B                                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2915350 | PA      | $2904417.58   | 0.12%             | 2025-08-27      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                      | Chevron USA Inc                                                                                                   | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |      1740000 | PA      | $1682407.86   | 0.07%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2225783 | PA      | $1835627.33   | 0.08%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137B4A30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       822589 | PA      | $36322.97     | 0.00%             | 2027-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                      | TransDigm, Inc. 2020 Term Loan F                                                                                  | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |       205456 | PA      | $203213.94    | 0.01%             | 2025-12-09      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         9512 | PA      | $9911.08      | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                             | EQT Corp                                                                                                          | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |        50000 | PA      | $46016.75     | 0.00%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                   | Morgan Stanley Mortgage Loan Trust 2005-3AR                                                                       | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523371 | PA      | $434872.17    | 0.02%             | 2035-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                    | EOG Resources Inc                                                                                                 | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      1040000 | PA      | $1020740.30   | 0.04%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381EX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4937512 | PA      | $249536.93    | 0.01%             | 2063-01-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     41210000 | PA      | $173221.69    | 0.01%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                            | College Ave Student Loans 2019-A LLC                                                                              | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1706854 | PA      | $1655441.04   | 0.07%             | 2048-12-28      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CF0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      1280000 | PA      | $1036193.66   | 0.04%             | 2045-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       199454 | PA      | $179734.20    | 0.01%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                         | Centene Corp                                                                                                      | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       380000 | PA      | $348114.51    | 0.01%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                    | Newell Brands Inc                                                                                                 | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |        10000 | PA      | $9429.95      | 0.00%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       730000 | PA      | $672849.20    | 0.03%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1410922 | PA      | $1310459.71   | 0.05%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202F3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       147589 | PA      | $155969.25    | 0.01%             | 2042-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2360000 | PA      | $2337363.99   | 0.10%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       580000 | PA      | $484937.88    | 0.02%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2017-RPL1 Trust                                                                                              | CUSIP: 22945AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9880000 | PA      | $8737634.88   | 0.36%             | 2057-07-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3190000 | PA      | $3188938.72   | 0.13%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1604320 | PA      | $1329100.11   | 0.06%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 112.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          104 | NC      | $87750.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23C 109.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           88 | NC      | $11687.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1091144 | PA      | $1017456.97   | 0.04%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                                                       | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      2790000 | PA      | $2320120.00   | 0.10%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1992713 | PA      | $313502.76    | 0.01%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1290000 | PA      | $1093766.23   | 0.05%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                                     | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1770000 | PA      | $1392738.84   | 0.06%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection, LLC                       | Caesars Resort Collection, LLC 2017 1st Lien Term Loan B                                                          | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |       499538 | PA      | $499043.14    | 0.02%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                                                        | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       240000 | PA      | $156460.47    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Corp Trust 2021-ROSS                                                                       | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2360000 | PA      | $2211478.83   | 0.09%             | 2026-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AFRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800060 | PA      | $50711.71     | 0.00%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                     | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       700000 | PA      | $619023.49    | 0.03%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1820000 | PA      | $1806805.00   | 0.08%             | 2023-01-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                                                     | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1441590 | PA      | $1322283.68   | 0.06%             | 2037-07-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     55030000 | PA      | $2748633.63   | 0.11%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust                                    | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       372920 | PA      | $255642.69    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                              | United Rentals North America Inc                                                                                  | CUSIP: 911365BM5<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       990000 | PA      | $917848.80    | 0.04%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      2824000 | PA      | $2471494.20   | 0.10%             | 2030-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1959154 | PA      | $1725186.59   | 0.07%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4063614 | PA      | $3505943.16   | 0.15%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      1110000 | PA      | $1054228.54   | 0.04%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       633138 | PA      | $113260.61    | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                           | CUSIP: 455780CE4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       770000 | PA      | $667154.19    | 0.03%             | 2048-01-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                                                        | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       750000 | PA      | $722769.86    | 0.03%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       150556 | PA      | $123885.07    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2017-GS6                                                                             | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3048713 | PA      | $2791529.41   | 0.12%             | 2050-05-10      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       896824 | PA      | $737960.74    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XBVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30436 | PA      | $29867.55     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       776506 | PA      | $683768.03    | 0.03%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS060863 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS060863 IRS USD P F  1.13000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     52554000 | OU      | $6797340.14   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                             | Venture Global Calcasieu Pass LLC                                                                                 | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $941556.75    | 0.04%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        52839 | PA      | $46083.95     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       730000 | PA      | $707618.56    | 0.03%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                               | Southwestern Energy Co                                                                                            | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       250000 | PA      | $228486.00    | 0.01%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1970000 | PA      | $1932703.80   | 0.08%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                             | Builders FirstSource Inc                                                                                          | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |       130000 | PA      | $105622.76    | 0.00%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       750000 | PA      | $716209.25    | 0.03%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       717357 | PA      | $597694.27    | 0.02%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming Inc. (New)                         | Genesee & Wyoming Inc. (New) Term Loan                                                                            | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |      1983980 | PA      | $1975863.44   | 0.08%             | 2026-12-30      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FinCo I LLC                                          | FinCo I LLC 2020 Term Loan B                                                                                      | CUSIP: 31774BAE4<br>LEI: 5493001RSEZ0X6VJMC68 | Long             | LON              | CORP              | US        |      1215845 | PA      | $1213564.81   | 0.05%             | 2025-06-27      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-AR5                                                                            | CUSIP: 17311LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237695 | PA      | $209669.75    | 0.01%             | 2037-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M46E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        91194 | PA      | $94750.08     | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Europe SE                             | RXG3P138                                                                                                          | CUSIP: 000000000<br>LEI: 54930056FHWP7GIWYY08 | N/A              | DIR              |  | DE        |          -25 | NC      | $-140228.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93438 | PA      | $94321.93     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                             | Petrobras Global Finance BV                                                                                       | CUSIP: 71647NAK5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      1270000 | PA      | $1227519.96   | 0.05%             | 2044-03-17      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4580000 | PA      | $4801964.34   | 0.20%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3789277 | PA      | $3093310.63   | 0.13%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                             | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       410000 | PA      | $365880.38    | 0.02%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                      | Nigeria Government International Bond                                                                             | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       750000 | PA      | $577016.25    | 0.02%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       990000 | PA      | $918271.26    | 0.04%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       126027 | PA      | $104170.51    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                          | Freddie Mac Reference REMIC                                                                                       | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       865983 | PA      | $889197.47    | 0.04%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3131WLCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       900091 | PA      | $918953.97    | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                 | PURCHASED USD / SOLD MXN                                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |            1 | NC      | $-2099725.13  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INC                                           | Pfizer Inc                                                                                                        | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |        20000 | PA      | $18333.42     | 0.00%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg S.A.R.L.                             | ICON Luxembourg S.A.R.L. LUX Term Loan                                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |      2646696 | PA      | $2641733.39   | 0.11%             | 2028-07-03      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1423263 | PA      | $1446568.18   | 0.06%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                             | Visa Inc                                                                                                          | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      2640000 | PA      | $2548097.46   | 0.11%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    656291000 | PA      | $2758646.92   | 0.12%             | 2028-01-19      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | FED FUND 30DAY JAN23                                                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -143 | NC      | $-3251.10     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Mars Inc                                             | Mars Inc                                                                                                          | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       590000 | PA      | $528424.04    | 0.02%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       200000 | PA      | $136617.16    | 0.01%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                              | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                       | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1870000 | PA      | $1709396.40   | 0.07%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS063123 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS063123 IRS USD P F  1.22000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     34412000 | OU      | $4295485.13   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                          | NVIDIA Corp                                                                                                       | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      2240000 | PA      | $1823259.67   | 0.08%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      1750000 | PA      | $1606307.50   | 0.07%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36297F6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       811475 | PA      | $831195.02    | 0.03%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                             | 1011778 BC ULC / New Red Finance Inc                                                                              | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      1550000 | PA      | $1389963.24   | 0.06%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       178680 | PA      | $159799.97    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                                                        | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      2027000 | PA      | $2014058.48   | 0.08%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       610000 | PA      | $551491.89    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                           | Humana Inc                                                                                                        | CUSIP: 444859BG6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       130000 | PA      | $114802.64    | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15964 | PA      | $16875.62     | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       439821 | PA      | $377772.76    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                  | Intesa Sanpaolo SpA                                                                                               | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |       350000 | PA      | $336732.99    | 0.01%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     46140000 | PA      | $33118967.64  | 1.38%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418ALB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43922 | PA      | $43231.19     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                   | Ready Capital Mortgage Financing 2021-FL7 LLC                                                                     | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4696326 | PA      | $4524999.66   | 0.19%             | 2036-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1824292 | PA      | $1637025.81   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       770000 | PA      | $696311.00    | 0.03%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                     | BAT Capital Corp                                                                                                  | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      5230000 | PA      | $4786235.28   | 0.20%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       965115 | PA      | $832383.23    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       193127 | PA      | $179523.57    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                               | Diamondback Energy Inc                                                                                            | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      2320000 | PA      | $2040466.31   | 0.09%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Fannie Mae Connecticut Avenue Securities                                                                          | CUSIP: 30711XAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       632473 | PA      | $643186.33    | 0.03%             | 2023-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1750000 | PA      | $1612983.12   | 0.07%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                               | Credit Suisse AG/New York NY                                                                                      | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      1580000 | PA      | $1423265.44   | 0.06%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                   | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       950000 | PA      | $877943.41    | 0.04%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       814530 | PA      | $701251.84    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Danone SA                                            | Danone SA                                                                                                         | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |      2730000 | PA      | $2674034.45   | 0.11%             | 2023-11-02      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                | Texas Instruments Inc                                                                                             | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      1040000 | PA      | $857351.71    | 0.04%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       170000 | PA      | $125268.65    | 0.01%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      3350000 | PA      | $3148275.16   | 0.13%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac Stacr Remic Trust 2020-DNA1                                                                           | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |      2570000 | PA      | $2428190.48   | 0.10%             | 2050-01-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Chubb INA Holdings Inc                               | Chubb INA Holdings Inc                                                                                            | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |       440000 | PA      | $421740.28    | 0.02%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                 | Colombia Government International Bond                                                                            | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      1850000 | PA      | $1163325.07   | 0.05%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                               | Williams Cos Inc/The                                                                                              | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       330000 | PA      | $311135.28    | 0.01%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2600000 | PA      | $2040177.36   | 0.09%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED NOK / SOLD EUR                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |            1 | NC      | $-14128.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WALMART INC                                          | Walmart Inc                                                                                                       | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       450000 | PA      | $367420.26    | 0.02%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                        | DISH DBS Corp                                                                                                     | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1120000 | PA      | $724623.20    | 0.03%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                                   | Raytheon Technologies Corp                                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       390000 | PA      | $374072.14    | 0.02%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 3 MONTH SOFR FUT JUN23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |           12 | NC      | $-45775.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       517000 | PA      | $516792.36    | 0.02%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       193805 | PA      | $177795.33    | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      2190000 | PA      | $2097692.62   | 0.09%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                               | Russian Federal Bond - OFZ                                                                                        | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    458179000 | PA      | $1925904.95   | 0.08%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1919292 | PA      | $1925062.01   | 0.08%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      1610000 | PA      | $1645830.55   | 0.07%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                        | SBA Small Business Investment Cos                                                                                 | CUSIP: 831641FL4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       512345 | PA      | $484079.65    | 0.02%             | 2028-09-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H7C51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       569170 | PA      | $560236.17    | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       460786 | PA      | $379158.00    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5800000 | PA      | $5491896.40   | 0.23%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       460000 | PA      | $437358.80    | 0.02%             | 2026-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       910000 | PA      | $876412.63    | 0.04%             | 2025-01-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                                                                | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      3200000 | PA      | $3183268.93   | 0.13%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       220000 | PA      | $193881.98    | 0.01%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                 | PCI Gaming Authority Term Loan                                                                                    | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |      1747523 | PA      | $1741333.34   | 0.07%             | 2026-05-29      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1215557.01   | 0.05%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                | Time Warner Cable LLC                                                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       250000 | PA      | $208406.61    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400552 | PA      | $383282.39    | 0.02%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWS052720 CDS USD R F  1.00000 2 CCPCORPORATE / Short: SWS052720 CDS USD P V 03MEVENT 1 CCPCORPORATE        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      3337000 | OU      | $-64303.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                             | Cheniere Energy Partners LP                                                                                       | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $1671719.15   | 0.07%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                      | Cameron LNG LLC                                                                                                   | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1398888.48   | 0.06%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1100000 | PA      | $954454.81    | 0.04%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates              | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                                                     | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58459 | PA      | $53906.81     | 0.00%             | 2033-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                  | Intesa Sanpaolo SpA                                                                                               | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     10470000 | PA      | $10070764.77  | 0.42%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 132 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -114 | NC      | $-23156.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1330000 | PA      | $1270256.19   | 0.05%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WKQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3237147 | PA      | $3096342.95   | 0.13%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       730439 | PA      | $636721.63    | 0.03%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       669818 | PA      | $573595.92    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       540000 | PA      | $537050.21    | 0.02%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       670712 | PA      | $99705.07     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                                                                | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      1810000 | PA      | $1444859.99   | 0.06%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2304763 | PA      | $1991935.58   | 0.08%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9247261 | PA      | $1218183.28   | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133A2JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       165088 | PA      | $147185.87    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                          | Origen Manufactured Housing Contract Trust 2007-A                                                                 | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |      1820984 | PA      | $1676743.54   | 0.07%             | 2037-04-15      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                        | DISH DBS Corp                                                                                                     | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       690000 | PA      | $557830.50    | 0.02%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS073262 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS073262 IRS USD P F  1.65000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      4402000 | OU      | $1225617.21   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       310000 | PA      | $299876.85    | 0.01%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       126883 | PA      | $117839.02    | 0.00%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074823 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074823 IRS USD P F  2.85000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     12723000 | OU      | $568452.19    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                  | United Airlines Inc                                                                                               | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      1870000 | PA      | $1631482.81   | 0.07%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       140000 | PA      | $127535.56    | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       512377 | PA      | $451187.59    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      2970000 | PA      | $2863234.05   | 0.12%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31400000 | PA      | $28530517.91  | 1.19%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WMZV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20294 | PA      | $19877.73     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                               | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      2620000 | PA      | $2379789.65   | 0.10%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       730000 | PA      | $711061.82    | 0.03%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       530000 | PA      | $534224.08    | 0.02%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31392XF60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        29643 | PA      | $28297.94     | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1317380 | PA      | $1128154.03   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                             | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       730000 | PA      | $660759.31    | 0.03%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       689274 | PA      | $627142.84    | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       712817 | PA      | $642618.27    | 0.03%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1354059.22   | 0.06%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust 2021-1                                                                                   | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |      2107262 | PA      | $1886142.97   | 0.08%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                 | Lockheed Martin Corp                                                                                              | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       580000 | PA      | $555748.27    | 0.02%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                    | General Motors Co                                                                                                 | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       570000 | PA      | $529443.06    | 0.02%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H4AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       115703 | PA      | $108307.93    | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                               | NXP BV / NXP Funding LLC / NXP USA Inc                                                                            | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      1030000 | PA      | $970502.25    | 0.04%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       210000 | PA      | $142900.42    | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 90DAY EUR FUTR DEC23                                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |           14 | NC      | $-57954.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United Mexican States                                | Mexico Government International Bond                                                                              | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      4270000 | PA      | $3311259.50   | 0.14%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       590000 | PA      | $463744.92    | 0.02%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                               | Orbia Advance Corp SAB de CV                                                                                      | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |      2140000 | PA      | $1674967.30   | 0.07%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                               | Canadian Imperial Bank of Commerce                                                                                | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |      1250000 | PA      | $1226907.75   | 0.05%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       480000 | PA      | $506954.07    | 0.02%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                           | Eaton Corp                                                                                                        | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       410000 | PA      | $352256.22    | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                             | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd                                         | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1206078 | PA      | $1201738.07   | 0.05%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       796093 | PA      | $682279.58    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153238 | PA      | $145297.28    | 0.01%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WAPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51765 | PA      | $50992.23     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1440366.73   | 0.06%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                | Bausch Health Cos Inc                                                                                             | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      7880000 | PA      | $3792604.60   | 0.16%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                     | CSC Holdings LLC                                                                                                  | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      3060000 | PA      | $2128808.43   | 0.09%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                               | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      1990000 | PA      | $1888742.59   | 0.08%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                             | VIRGIN MEDIA BRISTOL LLC 2020 USD TERM LOAN Q                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       620000 | PA      | $614671.72    | 0.03%             | 2029-01-31      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       910000 | PA      | $723830.33    | 0.03%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WBYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29099 | PA      | $28612.80     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization      | Credit-Based Asset Servicing and Securitization LLC                                                               | CUSIP: 12489WHY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       585215 | PA      | $554503.06    | 0.02%             | 2033-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1320763.09   | 0.06%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XC44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7238 | PA      | $7511.90      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS053223 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS053223 IRS USD P F  1.52000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     16888000 | OU      | $5029004.56   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS075267 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075267 IRS USD P F  2.51000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     10389000 | OU      | $1415481.10   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Garda World Security Corporation                     | Garda World Security Corporation 2021 Term Loan B                                                                 | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |      1071822 | PA      | $1045696.32   | 0.04%             | 2026-10-30      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                         | Alphabet Inc                                                                                                      | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       230000 | PA      | $135460.96    | 0.01%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202DX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6813 | PA      | $6511.87      | 0.00%             | 2033-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                  | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       412501 | PA      | $110532.70    | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       720000 | PA      | $658120.29    | 0.03%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                    | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1480000 | PA      | $1298382.47   | 0.05%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                           | 3M Co                                                                                                             | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       990000 | PA      | $841758.84    | 0.04%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       200000 | PA      | $199264.30    | 0.01%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                             | Visa Inc                                                                                                          | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |      1570000 | PA      | $1441626.50   | 0.06%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136APTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1339225 | PA      | $148127.28    | 0.01%             | 2045-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       798790 | PA      | $742031.55    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FFWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285972 | PA      | $58239.51     | 0.00%             | 2038-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                              | Kinder Morgan Energy Partners LP                                                                                  | CUSIP: 494550BQ8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      1410000 | PA      | $1395294.59   | 0.06%             | 2023-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                                                       | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       190000 | PA      | $176761.15    | 0.01%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 116 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -141 | NC      | $-11015.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1510000 | PA      | $1425303.04   | 0.06%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132M7GV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       343166 | PA      | $329390.02    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       870380 | PA      | $919389.62    | 0.04%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       590000 | PA      | $535329.99    | 0.02%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       284896 | PA      | $243973.23    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                               | Southwestern Energy Co                                                                                            | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       770000 | PA      | $659516.55    | 0.03%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       351906 | PA      | $345997.82    | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       350000 | PA      | $272358.32    | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       209537 | PA      | $173100.79    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       460000 | PA      | $303385.99    | 0.01%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3153714 | PA      | $2702566.64   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H3UX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        26445 | PA      | $24754.84     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac Structured Agency Credit Risk Debt Notes                                                              | CUSIP: 3137G0MX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4410000 | PA      | $4705342.11   | 0.20%             | 2029-07-25      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Connecticut Avenue Securities Trust 2019-R07                                                                      | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       675405 | PA      | $673842.85    | 0.03%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 3 MONTH SOFR FUT DEC23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -2679 | NC      | $3158857.06   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138A4BH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87321 | PA      | $87676.71     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7300000 | PA      | $7193256.92   | 0.30%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137AXES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       324316 | PA      | $17682.62     | 0.00%             | 2031-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      2800000 | PA      | $2677317.50   | 0.11%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11006 | PA      | $11634.54     | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3277570 | PA      | $3044052.53   | 0.13%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ali Group North America Corporation                  | Ali Group North America Corporation 2021 Term Loan B                                                              | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2352622 | PA      | $2337918.33   | 0.10%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      4360000 | PA      | $3587429.80   | 0.15%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Fannie Mae Connecticut Avenue Securities                                                                          | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182525 | PA      | $184562.02    | 0.01%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1329156.65   | 0.06%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       420000 | PA      | $372238.87    | 0.02%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                                | Teva Pharmaceutical Finance Co LLC                                                                                | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |       280000 | PA      | $246903.07    | 0.01%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       860000 | PA      | $751896.75    | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                   | Panama Government International Bond                                                                              | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      2630000 | PA      | $1957391.75   | 0.08%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1798918 | PA      | $1613140.09   | 0.07%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B5QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9391111 | PA      | $262678.76    | 0.01%             | 2029-06-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137AGE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       449292 | PA      | $38008.50     | 0.00%             | 2041-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       546660 | PA      | $527017.61    | 0.02%             | 2070-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                 | Las Vegas Sands Corp                                                                                              | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      4900000 | PA      | $4634365.86   | 0.19%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      7010000 | PA      | $6123707.26   | 0.26%             | 2027-06-23      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding, LLC                        | Deerfield Dakota Holding, LLC 2020 USD Term Loan B                                                                | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |      3503941 | PA      | $3279471.11   | 0.14%             | 2027-04-09      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                  | Citigroup Commercial Mortgage Trust 2014-GC23                                                                     | CUSIP: 17322VAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1970000 | PA      | $1868683.69   | 0.08%             | 2047-07-10      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4378 | PA      | $4608.37      | 0.00%             | 2041-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DCert Buyer, Inc.                                    | DCert Buyer, Inc. 2019 Term Loan B                                                                                | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |      2582191 | PA      | $2498269.42   | 0.10%             | 2026-10-16      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4995230 | PA      | $185073.76    | 0.01%             | 2026-07-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       694952 | PA      | $623397.69    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp                                 | Ambac Assurance Corp                                                                                              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       111048 | PA      | $155606.47    | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418VNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10055 | PA      | $9977.11      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45716 | PA      | $46336.44     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       284523 | PA      | $251860.90    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      2420000 | PA      | $2070838.70   | 0.09%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                     | IndyMac INDX Mortgage Loan Trust 2005-AR10                                                                        | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       855009 | PA      | $666318.70    | 0.03%             | 2035-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2809441 | PA      | $2706848.85   | 0.11%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                               | Energy Transfer LP / Regency Energy Finance Corp                                                                  | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       520000 | PA      | $516369.15    | 0.02%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                            | Stonepeak 2021-1 ABS                                                                                              | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7898936 | PA      | $7037023.23   | 0.29%             | 2033-02-28      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H3U92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40481 | PA      | $37893.30     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31397CTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       222712 | PA      | $17255.18     | 0.00%             | 2036-11-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38376MAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       401381 | PA      | $16175.33     | 0.00%             | 2043-06-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Yamana Gold Inc                                      | Yamana Gold Inc                                                                                                   | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |      1810000 | PA      | $1697792.16   | 0.07%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31764 | PA      | $27923.34     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1208253 | PA      | $1159923.44   | 0.05%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       510000 | PA      | $511952.34    | 0.02%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO Ltd                    | Hildene Community Funding CDO Ltd                                                                                 | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |      4880000 | PA      | $4120428.39   | 0.17%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                          | Origen Manufactured Housing Contract Trust 2006-A                                                                 | CUSIP: 68620BAB8<br>LEI: 549300IF0XI4ZS5JC782 | Long             | ABS-O            | CORP              | US        |      2684432 | PA      | $2451485.23   | 0.10%             | 2037-10-15      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust 2015-C31                                                               | CUSIP: 46644YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2470000 | PA      | $2281798.35   | 0.10%             | 2048-08-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9633 | PA      | $9823.41      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD IDR                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $163986.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                | Northrop Grumman Corp                                                                                             | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       890000 | PA      | $881638.91    | 0.04%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004776 | PA      | $1018405.25   | 0.04%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B5FE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        92333 | PA      | $76003.10     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      7274000 | PA      | $6599098.93   | 0.28%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       794791 | PA      | $114431.61    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       420000 | PA      | $365001.89    | 0.02%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M4ZP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        85871 | PA      | $89218.84     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                              | Procter & Gamble Co/The                                                                                           | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       870000 | PA      | $796968.91    | 0.03%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       260000 | PA      | $238671.12    | 0.01%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 31335HXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        23879 | PA      | $23761.80     | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                     | CSC Holdings LLC                                                                                                  | CUSIP: 126307BB2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      5860000 | PA      | $4149085.10   | 0.17%             | 2030-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       560000 | PA      | $463330.86    | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     17000000 | PA      | $2484474.30   | 0.10%             | 2024-11-21      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp                                      | CVS Health Corp                                                                                                   | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      5310000 | PA      | $4792993.71   | 0.20%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       450000 | PA      | $430014.87    | 0.02%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                            | ACRES Commercial Realty 2021-FL1 Ltd                                                                              | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2380000 | PA      | $2302787.40   | 0.10%             | 2036-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45786 | PA      | $40953.91     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       525536 | PA      | $432440.38    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23P 130 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -113 | NC      | $-572062.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       860000 | PA      | $760379.18    | 0.03%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                        | DISH DBS Corp                                                                                                     | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       690000 | PA      | $582504.90    | 0.02%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                    | Johnson & Johnson                                                                                                 | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      2770000 | PA      | $2471950.74   | 0.10%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202EPM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8450 | PA      | $8932.77      | 0.00%             | 2037-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 128 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |            9 | NC      | $7593.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                  | Bank of Nova Scotia/The                                                                                           | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       690000 | PA      | $632812.07    | 0.03%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1078994 | PA      | $926444.08    | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust                  | Waterfall Commercial Mortgage Trust 2015-SBC5                                                                     | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       717376 | PA      | $703749.62    | 0.03%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4721072 | PA      | $3859617.93   | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8000000 | PA      | $7763675.36   | 0.32%             | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2784762 | PA      | $2676251.69   | 0.11%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3252822 | PA      | $3057905.29   | 0.13%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074849 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074849 IRS USD P F  2.62000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     11765000 | OU      | $1386534.31   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                              | KazMunayGas National Co JSC                                                                                       | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       400000 | PA      | $359528.38    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1522000 | PA      | $1210519.11   | 0.05%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WAEV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9884 | PA      | $9719.17      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp                                        | DISH DBS Corp                                                                                                     | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1361000 | PA      | $1267490.98   | 0.05%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                              | Procter & Gamble Co/The                                                                                           | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       300000 | PA      | $281391.89    | 0.01%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                      | Deere & Co                                                                                                        | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |      1220000 | PA      | $1036344.86   | 0.04%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1490000 | PA      | $1289620.99   | 0.05%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       980000 | PA      | $783094.19    | 0.03%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2059433 | PA      | $1763611.19   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W1VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7475 | PA      | $6685.83      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       373210 | PA      | $312034.45    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1720000 | PA      | $1483874.50   | 0.06%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                               | Standard Chartered PLC                                                                                            | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      3900000 | PA      | $3014934.00   | 0.13%             | 2027-01-30      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower, LLC                | Prime Security Services Borrower, LLC 2021 Term Loan                                                              | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |      1601940 | PA      | $1589287.85   | 0.07%             | 2026-09-23      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136APB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       447426 | PA      | $15296.34     | 0.00%             | 2055-08-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                             | NIKE Inc                                                                                                          | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       750000 | PA      | $612444.65    | 0.03%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc                                 | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      3210000 | PA      | $2902786.95   | 0.12%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      2510000 | PA      | $2056553.24   | 0.09%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Athenahealth, Inc.                                   | Athenahealth, Inc. 2022 Term Loan B                                                                               | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      1220031 | PA      | $1104637.08   | 0.05%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       470000 | PA      | $355721.32    | 0.01%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9443382 | PA      | $9057097.90   | 0.38%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2018-4                                                                                   | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676365 | PA      | $590285.58    | 0.02%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     13310000 | PA      | $10013175.42  | 0.42%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       330000 | PA      | $234106.30    | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       659491 | PA      | $564752.45    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1459683 | PA      | $1394980.36   | 0.06%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1500000 | PA      | $1417337.03   | 0.06%             | 2032-10-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418ACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52957 | PA      | $52597.39     | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                          | PRKCM 2021-AFC2 Trust                                                                                             | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2063446 | PA      | $1719458.80   | 0.07%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1720000 | PA      | $1492119.81   | 0.06%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3700000 | PA      | $3364044.29   | 0.14%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B5NJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       177132 | PA      | $163652.87    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED ZAR / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ZA        |            1 | NC      | $188920.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                    | General Motors Co                                                                                                 | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       740000 | PA      | $753870.07    | 0.03%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968188 | PA      | $865929.49    | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                          | NVIDIA Corp                                                                                                       | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       580000 | PA      | $507287.65    | 0.02%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1200000 | PA      | $1081434.84   | 0.05%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        88245 | PA      | $86771.10     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82968 | PA      | $77501.35     | 0.00%             | 2028-04-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       330000 | PA      | $250847.93    | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       378437 | PA      | $338910.49    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED JPY / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | JP        |            1 | NC      | $159396.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       382582 | PA      | $336199.81    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      2460000 | PA      | $2095279.27   | 0.09%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                 | Indonesia Treasury Bond                                                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 254574000000 | PA      | $15911386.03  | 0.66%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FLS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       108800 | PA      | $115002.66    | 0.00%             | 2040-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      1230000 | PA      | $984422.26    | 0.04%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                              | Mexican Bonos                                                                                                     | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     14200000 | PA      | $730968.70    | 0.03%             | 2024-12-05      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                              | KazMunayGas National Co JSC                                                                                       | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |      1500000 | PA      | $1244605.50   | 0.05%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FLFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1074889 | PA      | $192700.17    | 0.01%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       161252 | PA      | $18285.98     | 0.00%             | 2042-07-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                             | Sinopec Group Overseas Development 2014 Ltd                                                                       | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |      1990000 | PA      | $1976788.29   | 0.08%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7235662 | PA      | $326460.76    | 0.01%             | 2029-06-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       190000 | PA      | $143843.85    | 0.01%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       680000 | PA      | $658840.71    | 0.03%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       658695 | PA      | $542004.69    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                               | BP Capital Markets America Inc                                                                                    | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      2570000 | PA      | $1725738.24   | 0.07%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44342 | PA      | $41456.59     | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3137205.02   | 0.13%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 90DAY EUR FUTR SEP23                                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          161 | NC      | $-1664025.60  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23C 109.7 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -94 | NC      | $-9546.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1297697 | PA      | $1357692.13   | 0.06%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2012-CCRE3 Mortgage Trust                                                                                    | CUSIP: 12624PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2176824 | PA      | $76.19        | 0.00%             | 2045-10-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                                                              | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1920000 | PA      | $1551742.58   | 0.06%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS075341 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075341 IRS USD P F  2.60000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     14374000 | OU      | $1741547.37   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1007399 | PA      | $901797.63    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GVC Holdings (Gibraltar) Limited                     | GVC Holdings (Gibraltar) Limited 2021 USD Term Loan B4                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GI        |       407316 | PA      | $404961.01    | 0.02%             | 2027-03-29      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       992254 | PA      | $1047949.61   | 0.04%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD JPY                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-348599.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137B7QQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        72673 | PA      | $2939.81      | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2946 | PA      | $2849.11      | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2451025 | PA      | $394350.32    | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       700000 | PA      | $700566.29    | 0.03%             | 2032-11-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Brown Group Holding, LLC                             | Brown Group Holding, LLC Term Loan B                                                                              | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |      2255599 | PA      | $2219348.99   | 0.09%             | 2028-06-07      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio Inc                                 | Duke Energy Ohio Inc                                                                                              | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1512749.31   | 0.06%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | AUDUSD CRNCY FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          886 | NC      | $-284992.74   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Mars Inc                                             | Mars Inc                                                                                                          | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      1110000 | PA      | $1057605.32   | 0.04%             | 2025-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                             | OCP SA                                                                                                            | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       950000 | PA      | $724740.75    | 0.03%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1165345 | PA      | $1033942.58   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                             | Alterra Mountain Company 2021 Series B-2 Consenting Term Loan                                                     | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      2417761 | PA      | $2394188.25   | 0.10%             | 2028-08-17      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 126 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |            9 | NC      | $14203.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                              | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384AL3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     12260000 | PA      | $12248132.93  | 0.51%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       254000 | PA      | $158239.33    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CommScope Inc                                        | CommScope Inc                                                                                                     | CUSIP: 20338QAD5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |       870000 | PA      | $804706.50    | 0.03%             | 2026-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                                                               | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       720000 | PA      | $629406.53    | 0.03%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1920000 | PA      | $1803480.27   | 0.08%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WBS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117047 | PA      | $115092.09    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1402328 | PA      | $1257941.18   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                  | PayPal Holdings Inc                                                                                               | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $994298.58    | 0.04%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44061 | PA      | $44659.09     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       624369 | PA      | $614904.34    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       624572 | PA      | $513927.94    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1677614.47   | 0.07%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED USD / SOLD JPY                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |            1 | NC      | $-2559.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                             | Cooperatieve Rabobank UA                                                                                          | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      1160000 | PA      | $991303.31    | 0.04%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W9TS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81714 | PA      | $80776.25     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1550000 | PA      | $1483669.13   | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1950000 | PA      | $1694062.50   | 0.07%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1735633 | PA      | $1549404.31   | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3746954 | PA      | $3495397.75   | 0.15%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2005-19CB                                                                                  | CUSIP: 12667GGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2152821 | PA      | $1765415.79   | 0.07%             | 2035-06-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       476960 | PA      | $396013.14    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278285 | PA      | $285118.53    | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD CNH                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-851476.76   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074948 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074948 IRS USD P F  3.27000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     57973000 | OU      | $1266641.06   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                           | CUSIP: 105756BR0<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |       560000 | PA      | $475677.47    | 0.02%             | 2041-01-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       177000 | PA      | $183715.17    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |        20000 | PA      | $17631.59     | 0.00%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                | Bausch Health Cos Inc                                                                                             | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      2560000 | PA      | $1230304.92   | 0.05%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1990000 | PA      | $1772915.22   | 0.07%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       811629 | PA      | $698753.71    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       296875 | PA      | $308455.34    | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       883912 | PA      | $810201.63    | 0.03%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1780000 | PA      | $1775638.70   | 0.07%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      4930000 | PA      | $4856909.10   | 0.20%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3421407 | PA      | $2821154.67   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6567 | PA      | $6815.14      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                               | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      1040000 | PA      | $1019250.77   | 0.04%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      1800000 | PA      | $1104480.47   | 0.05%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |        10000 | PA      | $10438.26     | 0.00%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       250000 | PA      | $221160.86    | 0.01%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                             | Vertiv Group Corp                                                                                                 | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       570000 | PA      | $485172.60    | 0.02%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR NOTE (CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         7293 | NC      | $-1328840.57  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1010000 | PA      | $952051.56    | 0.04%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2030000 | PA      | $1896807.29   | 0.08%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       520000 | PA      | $412633.37    | 0.02%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       150000 | PA      | $131578.13    | 0.01%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US LONG BOND(CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1392 | NC      | $-2263615.62  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T Inc                                             | AT&T Inc                                                                                                          | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      2170000 | PA      | $2068177.46   | 0.09%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       930000 | PA      | $891895.18    | 0.04%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                  | American Express Co                                                                                               | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1156592.60   | 0.05%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138L9T85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130000 | PA      | $124486.53    | 0.01%             | 2025-04-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       240000 | PA      | $175197.03    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51857 | PA      | $53695.47     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                           | FNA VI LLC                                                                                                        | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2148326 | PA      | $1955903.77   | 0.08%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       160850 | PA      | $168470.66    | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust               | Residential Asset Securitization Trust 2006-A7CB                                                                  | CUSIP: 76113NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323539 | PA      | $238915.04    | 0.01%             | 2036-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1190000 | PA      | $1082505.84   | 0.05%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3131Y6VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        72292 | PA      | $67399.17     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31411YGF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5888 | PA      | $6110.99      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                       | Adjustable Rate Mortgage Trust 2005-7                                                                             | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1261475 | PA      | $1066756.78   | 0.04%             | 2035-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust        | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                                                     | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3400000 | PA      | $3105873.48   | 0.13%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      7115000 | PA      | $6236510.95   | 0.26%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11492 | PA      | $12147.57     | 0.00%             | 2041-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       550000 | PA      | $549177.08    | 0.02%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412X2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          648 | PA      | $672.90       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd      | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                            | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3107000 | PA      | $2996415.66   | 0.13%             | 2036-11-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac STACR REMIC Trust 2021-DNA1                                                                           | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2453041 | PA      | $2396534.46   | 0.10%             | 2051-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       730000 | PA      | $632939.39    | 0.03%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B3TR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       288859 | PA      | $236784.77    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                  | BHMS 2018-ATLS                                                                                                    | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500000 | PA      | $3366214.95   | 0.14%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD EUR                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-41909.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       510000 | PA      | $393434.56    | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       972968 | PA      | $870923.89    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                  | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      4824820 | PA      | $1313266.02   | 0.05%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       266825 | PA      | $260255.92    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                | United Airlines, Inc. 2021 Term Loan B                                                                            | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |      2572754 | PA      | $2545953.18   | 0.11%             | 2028-04-21      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS         | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA2 Trust                                  | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3161780 | PA      | $2506701.30   | 0.10%             | 2047-01-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                             | Fox Corp                                                                                                          | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      1010000 | PA      | $922979.31    | 0.04%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1500000 | PA      | $1140012.45   | 0.05%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1100000 | PA      | $896267.23    | 0.04%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282359 | PA      | $277641.92    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1178377 | PA      | $1245295.82   | 0.05%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2552262 | PA      | $2475439.01   | 0.10%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       820000 | PA      | $551344.67    | 0.02%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                         | Comcast Corp                                                                                                      | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       620000 | PA      | $394016.13    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AFRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       366503 | PA      | $18387.73     | 0.00%             | 2028-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                   | Banco Santander SA                                                                                                | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      1200000 | PA      | $1124135.14   | 0.05%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1637163 | PA      | $1500350.60   | 0.06%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      3760000 | PA      | $2926093.48   | 0.12%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                            | Towd Point Mortgage Trust 2022-4                                                                                  | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2478703 | PA      | $2329522.11   | 0.10%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $923574.00    | 0.04%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                               | National Securities Clearing Corp                                                                                 | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $927813.41    | 0.04%             | 2025-04-23      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       798285 | PA      | $792568.35    | 0.03%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 3 MONTH SOFR FUT DEC25                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          238 | NC      | $258498.29    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       990346 | PA      | $917711.18    | 0.04%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1300504 | PA      | $1074957.16   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6149761 | PA      | $5191225.74   | 0.22%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                  | Suzano Austria GmbH                                                                                               | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      2620000 | PA      | $2203895.53   | 0.09%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                   | Ford Motor Co                                                                                                     | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $925282.50    | 0.04%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1723966.99   | 0.07%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       780000 | PA      | $800786.79    | 0.03%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1147203 | PA      | $985357.53    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                     | Connecticut Avenue Securities Trust 2020-R01                                                                      | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1248326 | PA      | $1240500.33   | 0.05%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                                                    | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       170000 | PA      | $158563.34    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378ES38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       132566 | PA      | $2682.77      | 0.00%             | 2027-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GXE9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       420000 | PA      | $412918.75    | 0.02%             | 2024-02-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                      | Sands China Ltd                                                                                                   | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      3980000 | PA      | $3810420.48   | 0.16%             | 2025-08-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                               | CVS Pass-Through Trust                                                                                            | CUSIP: 126650AW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       279136 | PA      | $276198.06    | 0.01%             | 2027-01-11      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       739709 | PA      | $121852.05    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       650000 | PA      | $588914.37    | 0.02%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      1490000 | PA      | $1101022.43   | 0.05%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA                                     | HSBC Bank USA NA                                                                                                  | CUSIP: 4042Q1AD9<br>LEI: 1IE8VN30JCEQV1H4R804 | Long             | DBT              | CORP              | US        |      1240000 | PA      | $1341645.42   | 0.06%             | 2039-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                               | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       160000 | PA      | $116445.15    | 0.00%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5499249 | PA      | $108828.48    | 0.00%             | 2054-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 133 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -19 | NC      | $-2968.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AHQK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1405013 | PA      | $77007.52     | 0.00%             | 2041-09-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                            | Apple Inc                                                                                                         | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      2770000 | PA      | $2552629.10   | 0.11%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       270000 | PA      | $272626.54    | 0.01%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138M8J38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2189839 | PA      | $1994821.07   | 0.08%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                                      | Hershey Co/The                                                                                                    | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |       340000 | PA      | $310617.22    | 0.01%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                                                       | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       645871 | PA      | $595251.28    | 0.02%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                 | Colombia Government International Bond                                                                            | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      1810000 | PA      | $1322109.78   | 0.06%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       450000 | PA      | $401774.22    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       300000 | PA      | $272340.00    | 0.01%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      2790000 | PA      | $2342443.38   | 0.10%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                               | Credit Agricole SA/London                                                                                         | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      1500000 | PA      | $1368623.52   | 0.06%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38377GQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1186306 | PA      | $116667.83    | 0.00%             | 2040-06-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       590000 | PA      | $498598.83    | 0.02%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       383425 | PA      | $319145.12    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                         | Chevron Corp                                                                                                      | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       600000 | PA      | $558683.05    | 0.02%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                              | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     12050000 | PA      | $11967596.44  | 0.50%             | 2023-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       257837 | PA      | $256087.26    | 0.01%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XJ4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94089 | PA      | $92913.17     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                           | Humana Inc                                                                                                        | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       300000 | PA      | $296624.68    | 0.01%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                           | CUSIP: 105756CB4<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      3780000 | PA      | $2660423.76   | 0.11%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       890000 | PA      | $745375.00    | 0.03%             | 2030-05-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417EQW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46416 | PA      | $42041.84     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378N6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6731666 | PA      | $166529.30    | 0.01%             | 2055-11-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                           | Air Canada 2021 Term Loan B                                                                                       | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |      1661653 | PA      | $1646421.09   | 0.07%             | 2028-08-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       725924 | PA      | $721156.63    | 0.03%             | 2061-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        30000 | PA      | $33109.80     | 0.00%             | 2039-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                               | Teck Resources Ltd                                                                                                | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |        90000 | PA      | $86261.83     | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       130000 | PA      | $107120.24    | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6996423 | PA      | $185356.25    | 0.01%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       300456 | PA      | $288079.68    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38374YVW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19081 | PA      | $216.35       | 0.00%             | 2040-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $1661253.43   | 0.07%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       168728 | PA      | $149848.54    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                                                                 | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $182173.87    | 0.01%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       370000 | PA      | $238292.69    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       394382 | PA      | $367509.68    | 0.02%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       459644 | PA      | $440978.56    | 0.02%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202ESC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6618 | PA      | $6996.05      | 0.00%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US BOND FUTR OPTN FEB23C 125.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           38 | NC      | $69468.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                                                              | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1635247.04   | 0.07%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320520 | PA      | $327612.08    | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1525784 | PA      | $45707.30     | 0.00%             | 2027-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $1083289.91   | 0.05%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                               | Philip Morris International Inc                                                                                   | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       980000 | PA      | $967973.65    | 0.04%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                | Phoenix Guarantor Inc 2020 Term Loan B                                                                            | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |      2443338 | PA      | $2298264.62   | 0.10%             | 2026-03-05      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       631548 | PA      | $624613.88    | 0.03%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1560000 | PA      | $1586533.35   | 0.07%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1869772 | PA      | $61016.65     | 0.00%             | 2059-12-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $2799231.49   | 0.12%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                               | Philip Morris International Inc                                                                                   | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       760000 | PA      | $616311.15    | 0.03%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10880000 | PA      | $7127675.03   | 0.30%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202DWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1957 | PA      | $1872.31      | 0.00%             | 2033-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1576841 | PA      | $921316.19    | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       454799 | PA      | $373805.33    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                              | RXG3C133.50                                                                                                       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |           26 | NC      | $34232.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                                   | Ford Motor Co                                                                                                     | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      2140000 | PA      | $1608684.44   | 0.07%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31413AGT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10957 | PA      | $11069.94     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31415AWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          975 | PA      | $972.44       | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                              | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384CU1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     22310000 | PA      | $22138360.92  | 0.92%             | 2023-03-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                 | Las Vegas Sands Corp                                                                                              | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4599325.50   | 0.19%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                         | Ecopetrol SA                                                                                                      | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       850000 | PA      | $651002.12    | 0.03%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11688 | PA      | $10537.78     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust               | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                                                        | CUSIP: 59020UYN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531943 | PA      | $491684.33    | 0.02%             | 2035-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      2550000 | PA      | $2147323.99   | 0.09%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Trust 2017-CHOP                                                                                              | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3408061.50   | 0.14%             | 2032-07-15      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       510000 | PA      | $399225.45    | 0.02%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1709 | PA      | $1773.85      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       560000 | PA      | $485943.76    | 0.02%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       201296 | PA      | $199931.19    | 0.01%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      3060000 | PA      | $2850449.03   | 0.12%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       440076 | PA      | $410173.79    | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS069120 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS069120 IRS USD P F  1.63000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     10060000 | OU      | $2825016.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                         | Morgan Stanley Resecuritization Trust 2015-R2                                                                     | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5535652 | PA      | $4776910.30   | 0.20%             | 2046-12-27      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWS075747 CDS USD R F  5.00000 2 CCPCDX / Short: SWS075747 CDS USD P V 03MEVENT 1 CCPCDX                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      2134400 | OU      | $12466.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5365886 | PA      | $9158.49      | 0.00%             | 2048-10-16      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247592 | PA      | $224631.07    | 0.01%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                             | Devon Energy Corp                                                                                                 | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      3290000 | PA      | $3335446.09   | 0.14%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175875 | PA      | $144720.13    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                    | L3Harris Technologies Inc                                                                                         | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       780000 | PA      | $702907.41    | 0.03%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36700000 | PA      | $31084278.30  | 1.30%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC SER                                             | CSMC SER                                                                                                          | CUSIP: 12662TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5098025 | PA      | $5123712.44   | 0.21%             | 2066-10-15      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11743798 | PA      | $10111566.03  | 0.42%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2007-3T1                                                                                   | CUSIP: 02149VAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10791 | PA      | $10641.76     | 0.00%             | 2027-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: SWS031724 IRS MXN R F  7.45000 2 CCPVANILLA / Short: SWS031724 IRS MXN P V 01MTIIE 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    331270000 | OU      | $-1089456.61  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       494409 | PA      | $474628.26    | 0.02%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4732390 | PA      | $4027258.81   | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380LEB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       488307 | PA      | $482026.29    | 0.02%             | 2068-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      4010000 | PA      | $3774853.96   | 0.16%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                               | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1850000 | PA      | $1751388.90   | 0.07%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       750030 | PA      | $673272.96    | 0.03%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      4040000 | PA      | $3651155.45   | 0.15%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       644880 | PA      | $553313.56    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6080 | PA      | $6426.88      | 0.00%             | 2041-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26100000 | PA      | $22911572.06  | 0.96%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1666110 | PA      | $1443950.89   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       305150 | PA      | $253928.65    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FLEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       633675 | PA      | $27620.34     | 0.00%             | 2027-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                        | Radnor RE 2021-1 Ltd                                                                                              | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      8010000 | PA      | $7488924.67   | 0.31%             | 2033-12-27      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       470000 | PA      | $314702.05    | 0.01%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138NXKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130904 | PA      | $118381.81    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138X75N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48136 | PA      | $47331.57     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS065540 IRS JPY R V 00MTONA 1 CCPOIS / Short: BWS065540 IRS JPY P F   .64079 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   2649800000 | OU      | $2679200.58   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                              | Exxon Mobil Corp                                                                                                  | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       170000 | PA      | $168425.87    | 0.01%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1096975 | PA      | $903405.68    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                                                    | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      1010000 | PA      | $887533.94    | 0.04%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       110000 | PA      | $106179.13    | 0.00%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA, Inc.                       | Harbor Freight Tools USA, Inc. 2021 Term Loan B                                                                   | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      2042563 | PA      | $1953519.39   | 0.08%             | 2027-10-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       180000 | PA      | $178058.33    | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |       940000 | PA      | $887680.42    | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Parexel International Corporation                    | Parexel International Corporation 2021 1st Lien Term Loan                                                         | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |       251000 | PA      | $242284.78    | 0.01%             | 2028-11-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       250000 | PA      | $196604.20    | 0.01%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                               | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       490000 | PA      | $306207.44    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                          | Walmart Inc                                                                                                       | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       630000 | PA      | $541089.04    | 0.02%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       336529 | PA      | $312605.68    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       735167 | PA      | $629999.79    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       366916 | PA      | $318502.48    | 0.01%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2020000 | PA      | $1860149.54   | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                              | Fannie Mae Grantor Trust 2017-T1                                                                                  | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |       536730 | PA      | $500919.36    | 0.02%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                           | Sprint LLC                                                                                                        | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       910000 | PA      | $941425.94    | 0.04%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1182470 | PA      | $184098.99    | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS075580 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075580 IRS USD P F  3.05000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     12094000 | OU      | $555094.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074823 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074823 IRS USD P F  2.85000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     14627000 | OU      | $653521.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2022-MARK                                                                                                    | CUSIP: 12666KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1830000 | PA      | $1816968.94   | 0.08%             | 2039-06-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2194453 | PA      | $1881609.95   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FG4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       102751 | PA      | $21494.35     | 0.00%             | 2039-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                             | Constellation Brands Inc                                                                                          | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       850000 | PA      | $829081.34    | 0.03%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                         | Centene Corp                                                                                                      | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |       370000 | PA      | $313621.25    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       160000 | PA      | $135754.69    | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                  | Intesa Sanpaolo SpA                                                                                               | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      1040000 | PA      | $1039497.48   | 0.04%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967GT2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       560000 | PA      | $557379.67    | 0.02%             | 2023-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       350256 | PA      | $303038.08    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1237000 | PA      | $1159147.62   | 0.05%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                          | Oracle Corp                                                                                                       | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       260000 | PA      | $222263.59    | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       480000 | PA      | $423693.36    | 0.02%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       228655 | PA      | $241709.47    | 0.01%             | 2041-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       895084 | PA      | $771656.39    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11600000 | PA      | $10331545.92  | 0.43%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2154588 | PA      | $2001117.32   | 0.08%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468608 | PA      | $487038.22    | 0.02%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                | Lehman Mortgage Trust 2005-2                                                                                      | CUSIP: 52520MBY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2830832 | PA      | $1478726.87   | 0.06%             | 2035-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1110655 | PA      | $1043487.57   | 0.04%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2013-CCRE12 Mortgage Trust                                                                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |       510000 | PA      | $465407.49    | 0.02%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Scientific Games International, Inc.                 | Scientific Games International, Inc. 2022 USD Term Loan                                                           | CUSIP: 80875AAT8<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |      3323300 | PA      | $3287298.69   | 0.14%             | 2029-04-14      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4200000 | PA      | $3942270.78   | 0.16%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       286000 | PA      | $278990.19    | 0.01%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81260 | PA      | $82141.37     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                               | Mitsubishi UFJ Financial Group Inc                                                                                | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |       910000 | PA      | $877215.33    | 0.04%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners, LLC                                | EyeCare Partners, LLC 2020 Term Loan                                                                              | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |       944819 | PA      | $803883.47    | 0.03%             | 2027-02-18      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                | Vale Overseas Ltd                                                                                                 | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      1193000 | PA      | $1261463.88   | 0.05%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Athenahealth, Inc.                                   | Athenahealth, Inc. 2022 Delayed Draw Term Loan                                                                    | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       207824 | PA      | $188167.46    | 0.01%             | 2029-02-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                | Argentine Republic Government International Bond                                                                  | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      4140000 | PA      | $1178198.96   | 0.05%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                             | Berkshire Hathaway Energy Co                                                                                      | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       586000 | PA      | $617252.53    | 0.03%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800358 | PA      | $744483.15    | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                               | Southwestern Energy Co                                                                                            | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |        60000 | PA      | $55710.30     | 0.00%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      5860000 | PA      | $3699162.39   | 0.15%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       469647 | PA      | $400516.90    | 0.02%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        30000 | PA      | $26439.68     | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                         | CD 2017-CD4 Mortgage Trust                                                                                        | CUSIP: 12515DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25549830 | PA      | $1013359.89   | 0.04%             | 2050-05-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31395BT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94143 | PA      | $4110.31      | 0.00%             | 2036-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       188972 | PA      | $169178.92    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84283 | PA      | $82875.32     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       469009 | PA      | $387662.72    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                          | BNP Paribas SA                                                                                                    | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       920000 | PA      | $876142.15    | 0.04%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Loan Trust               | National Collegiate Student Loan Trust 2006-3                                                                     | CUSIP: 63543VAG8<br>LEI: 635400CI2B1FTO6YXF12 | Long             | ABS-O            | CORP              | US        |      1200000 | PA      | $917475.72    | 0.04%             | 2032-01-26      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | Credit Suisse Mortgage Capital Certificates 2019-ICE4                                                             | CUSIP: 12653VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5430000 | PA      | $5198613.58   | 0.22%             | 2036-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W9T34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        77570 | PA      | $76274.84     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DP WORLD PLC                                         | DP World Ltd/United Arab Emirates                                                                                 | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |      2290000 | PA      | $2156089.96   | 0.09%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED USD / SOLD IDR                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |            1 | NC      | $307671.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8089730 | PA      | $111220.03    | 0.00%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                      | Nissan Motor Co Ltd                                                                                               | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      3790000 | PA      | $3524234.21   | 0.15%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                        | Nomura Resecuritization Trust 2015-2R                                                                             | CUSIP: 65540UAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3397538 | PA      | $3090089.89   | 0.13%             | 2046-08-26      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| UFC Holdings, LLC                                    | UFC Holdings, LLC 2021 Term Loan B                                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |      3305120 | PA      | $3268710.58   | 0.14%             | 2026-04-29      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                               | Berkshire Hathaway Finance Corp                                                                                   | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      2370000 | PA      | $2123034.72   | 0.09%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       995908 | PA      | $819494.66    | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       870000 | PA      | $791054.66    | 0.03%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                     | ABN AMRO Bank NV                                                                                                  | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      2220000 | PA      | $2155539.70   | 0.09%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       259051 | PA      | $215084.44    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                          | Oracle Corp                                                                                                       | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2240923.68   | 0.09%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       551541 | PA      | $456396.60    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       113120 | PA      | $101773.23    | 0.00%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       686614 | PA      | $642195.87    | 0.03%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                   | Banco Santander SA                                                                                                | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       200000 | PA      | $185796.40    | 0.01%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                    | NatWest Group PLC                                                                                                 | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       500000 | PA      | $472021.57    | 0.02%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1650000 | PA      | $1332754.02   | 0.06%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                       | Mastercard Inc                                                                                                    | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1133895.36   | 0.05%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2524662 | PA      | $2198290.12   | 0.09%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       326929 | PA      | $270835.11    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       335762 | PA      | $277529.88    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9500000 | PA      | $9413411.97   | 0.39%             | 2053-02-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2488699 | PA      | $2056273.25   | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 2YR NOTE (CBT) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -379 | NC      | $95437.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136B7GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2017259 | PA      | $1867044.14   | 0.08%             | 2027-02-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1140000 | PA      | $774556.03    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       879548 | PA      | $755520.27    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       980000 | PA      | $834510.66    | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                           | Sprint LLC                                                                                                        | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |        40000 | PA      | $40647.44     | 0.00%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3131Y6VV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        46236 | PA      | $43230.67     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                                                   | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      1470000 | PA      | $1458419.13   | 0.06%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                    | Service Corp International/US                                                                                     | CUSIP: 817565BT0<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |       510000 | PA      | $523924.90    | 0.02%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138X5UW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97206 | PA      | $95582.92     | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       546728 | PA      | $501108.25    | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       265917 | PA      | $227983.79    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                  | Delta Air Lines Inc                                                                                               | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      7110000 | PA      | $7272452.20   | 0.30%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                  | Gilead Sciences Inc                                                                                               | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      1160000 | PA      | $1119690.64   | 0.05%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5462 | PA      | $5644.78      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138A6V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22955 | PA      | $23012.68     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                           | Humana Inc                                                                                                        | CUSIP: 444859BB7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $956552.82    | 0.04%             | 2042-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                             | NIKE Inc                                                                                                          | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      1060000 | PA      | $991642.78    | 0.04%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418UGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12771 | PA      | $12753.95     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Great Outdoors Group, LLC                            | Great Outdoors Group, LLC 2021 Term Loan B1                                                                       | CUSIP: 07014QAN1<br>LEI: 549300IYLDI2E8I2AU46 | Long             | LON              | CORP              | US        |      1215316 | PA      | $1171767.81   | 0.05%             | 2028-03-06      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       590000 | PA      | $561848.03    | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5071929 | PA      | $4807482.02   | 0.20%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9UJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        64771 | PA      | $65208.52     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64755 | PA      | $61822.88     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                   | Coterra Energy Inc                                                                                                | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |      2260000 | PA      | $2113677.07   | 0.09%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                    | HSBC Holdings PLC                                                                                                 | CUSIP: 404280AU3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1100000 | PA      | $1059219.83   | 0.04%             | 2025-08-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC Series 2014-11R                                                                                              | CUSIP: 12649FDY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8107517 | PA      | $7391386.89   | 0.31%             | 2036-01-27      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      1190000 | PA      | $1181156.31   | 0.05%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                                                    | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      2320000 | PA      | $1675290.91   | 0.07%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                    | EURO-OAT FUTURE MAR23                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          126 | NC      | $-1325999.18  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |        40000 | PA      | $37550.91     | 0.00%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2928714 | PA      | $2748677.27   | 0.11%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                                 | Tencent Holdings Ltd                                                                                              | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      2350000 | PA      | $1669395.40   | 0.07%             | 2051-04-22      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       714084 | PA      | $702841.90    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202ETA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       103670 | PA      | $109594.84    | 0.00%             | 2038-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3748280 | PA      | $3144553.92   | 0.13%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1688413 | PA      | $52676.63     | 0.00%             | 2057-04-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                         | Alphabet Inc                                                                                                      | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       960000 | PA      | $640808.80    | 0.03%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Horizon Therapeutics USA Inc.                        | Horizon Therapeutics USA Inc. 2021 Term Loan B2                                                                   | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |      3280424 | PA      | $3281244.16   | 0.14%             | 2028-03-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       390000 | PA      | $331987.50    | 0.01%             | 2023-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       825823 | PA      | $811935.61    | 0.03%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                              | Bristol-Myers Squibb Co                                                                                           | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       473000 | PA      | $438790.31    | 0.02%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ELVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28249 | PA      | $27749.54     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412XXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1701 | PA      | $1765.43      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                  | Abbott Laboratories                                                                                               | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $994009.55    | 0.04%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2518908 | PA      | $2516343.21   | 0.11%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       318541 | PA      | $263297.08    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       194346 | PA      | $161706.70    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       339085 | PA      | $293375.67    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132A4KN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       867963 | PA      | $879738.74    | 0.04%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       680000 | PA      | $627599.20    | 0.03%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                      | CVS Health Corp                                                                                                   | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1278000 | PA      | $1248351.00   | 0.05%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       708319 | PA      | $582842.35    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                       | Salesforce Inc                                                                                                    | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1195810.72   | 0.05%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       208817 | PA      | $200346.83    | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                       | Wynn Macau Ltd                                                                                                    | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |       340000 | PA      | $275646.50    | 0.01%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137APW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       639903 | PA      | $48909.80     | 0.00%             | 2039-08-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12109 | PA      | $12568.70     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       949268 | PA      | $886534.21    | 0.04%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-AHL2                                                                           | CUSIP: 17312TAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147019 | PA      | $101074.11    | 0.00%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GES9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1733000 | PA      | $1781403.50   | 0.07%             | 2027-01-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| AllSpring Buyer LLC                                  | AllSpring Buyer LLC Term Loan B                                                                                   | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1849028 | PA      | $1824374.42   | 0.08%             | 2028-11-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       360000 | PA      | $403630.96    | 0.02%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                           | AbbVie Inc                                                                                                        | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      3270000 | PA      | $3189741.28   | 0.13%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                | General Dynamics Corp                                                                                             | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       630000 | PA      | $610984.50    | 0.03%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1796970 | PA      | $107870.29    | 0.00%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       690000 | PA      | $438000.15    | 0.02%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1916935 | PA      | $1671640.69   | 0.07%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H7CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2754241 | PA      | $2732112.82   | 0.11%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23C 108.2 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           84 | NC      | $40687.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 112.7 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           73 | NC      | $52468.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       442807 | PA      | $403354.25    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                            | College Ave Student Loans 2019-A LLC                                                                              | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1427646 | PA      | $1281686.74   | 0.05%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAL5<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |       250000 | PA      | $245534.47    | 0.01%             | 2024-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       974779 | PA      | $889133.78    | 0.04%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1291389 | PA      | $1158556.94   | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                       | Wynn Macau Ltd                                                                                                    | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      2500000 | PA      | $2140737.50   | 0.09%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $1807834.12   | 0.08%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162298 | PA      | $133394.82    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       940000 | PA      | $753468.75    | 0.03%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                          | Asurion LLC 2021 Term Loan B9                                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       717722 | PA      | $629083.73    | 0.03%             | 2027-07-31      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       638011 | PA      | $629265.94    | 0.03%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658783 | PA      | $103935.96    | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23P 113 EXP 01/27/2023                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           21 | NC      | $27562.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       170201 | PA      | $173260.54    | 0.01%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                    | EURO-BOBL FUTURE MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          144 | NC      | $-655813.88   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164055 | PA      | $162942.79    | 0.01%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                     | WFRBS Commercial Mortgage Trust 2014-C19                                                                          | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |      6340384 | PA      | $48810.81     | 0.00%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                     | WFRBS Commercial Mortgage Trust 2014-C19                                                                          | CUSIP: 92938VAT2<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |       340000 | PA      | $325357.83    | 0.01%             | 2047-03-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      2920000 | PA      | $2527915.31   | 0.11%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       315999 | PA      | $278258.05    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8420000 | PA      | $6939921.88   | 0.29%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS074104 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS074104 IRS USD P F  2.00000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     16189000 | OU      | $1971887.71   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167813 | PA      | $139332.62    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                          | Allied Universal Holdco LLC 2021 USD Incremental Term Loan B                                                      | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      2614788 | PA      | $2486989.90   | 0.10%             | 2028-05-12      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       520000 | PA      | $494848.41    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Capital II                             | Goldman Sachs Capital II                                                                                          | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       298000 | PA      | $225389.32    | 0.01%             | 2023-01-30      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2697000 | PA      | $2476288.47   | 0.10%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137BF4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       574061 | PA      | $23086.08     | 0.00%             | 2041-04-15      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1070027 | PA      | $158555.18    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                   | Ford Motor Co                                                                                                     | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       300000 | PA      | $216014.37    | 0.01%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS036004 IRS USD R V 00MSOFR 20450720 IRS P F L / Short: BWS036004 IRS USD P F   .56000 20450720 IRS P F S | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     30684000 | OU      | $13499086.74  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       271835 | PA      | $241491.55    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                | DB Master Finance LLC                                                                                             | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      2326500 | PA      | $1799212.50   | 0.08%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1212672.92   | 0.05%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138NXKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40386 | PA      | $36122.47     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                       | Morgan Stanley                                                                                                    | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3162418.57   | 0.13%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       210000 | PA      | $190898.68    | 0.01%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                         | Barclays PLC                                                                                                      | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      3556000 | PA      | $3345979.23   | 0.14%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132QVLG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       502717 | PA      | $483668.13    | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                              | Becton Dickinson and Co                                                                                           | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1368855.60   | 0.06%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      2244000 | PA      | $1507385.30   | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                     | CSC Holdings LLC                                                                                                  | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       330000 | PA      | $215744.19    | 0.01%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       715000 | PA      | $688893.44    | 0.03%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FG4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       129859 | PA      | $26586.17     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132MAVM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       253952 | PA      | $249805.64    | 0.01%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                             | EQT Corp                                                                                                          | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       630000 | PA      | $593572.27    | 0.02%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       340000 | PA      | $273157.13    | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                            | Apple Inc                                                                                                         | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      1610000 | PA      | $1495188.49   | 0.06%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       547252 | PA      | $450306.00    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FG4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94045 | PA      | $21300.28     | 0.00%             | 2039-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202ED63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         3454 | PA      | $3651.50      | 0.00%             | 2035-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       307000 | PA      | $342771.44    | 0.01%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       274639 | PA      | $265113.79    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       853102 | PA      | $817608.58    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WBS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66958 | PA      | $65839.86     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112550 | PA      | $115040.42    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                    | Citigroup Mortgage Loan Trust 2007-12                                                                             | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1281218 | PA      | $733596.30    | 0.03%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                             | AT&T Inc                                                                                                          | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       490000 | PA      | $469181.40    | 0.02%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87545 | PA      | $79753.82     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                       | Microsoft Corp                                                                                                    | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      1497000 | PA      | $1066870.64   | 0.04%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 112.2 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           19 | NC      | $18406.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99208 | PA      | $92145.62     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5762091 | PA      | $5512937.28   | 0.23%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137BAQX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2395605 | PA      | $215398.23    | 0.01%             | 2044-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3230000 | PA      | $2940060.54   | 0.12%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                               | National Securities Clearing Corp                                                                                 | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |       950000 | PA      | $940267.51    | 0.04%             | 2023-04-23      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                             | Teachers Insurance & Annuity Association of America                                                               | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       132000 | PA      | $145983.91    | 0.01%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1195148 | PA      | $1087725.87   | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                     | ML-CFC Commercial Mortgage Trust 2007-9                                                                           | CUSIP: 60688CAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41115 | PA      | $40421.26     | 0.00%             | 2049-09-12      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H3Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        19393 | PA      | $18153.42     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       436776 | PA      | $376034.39    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                                                       | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       190000 | PA      | $181013.86    | 0.01%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       425130 | PA      | $397314.09    | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                             | New York Life Global Funding                                                                                      | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |       840000 | PA      | $761376.83    | 0.03%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                | Charter Communications Operating, LLC 2019 Term Loan B2                                                           | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |       487406 | PA      | $476781.52    | 0.02%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      2760000 | PA      | $2741350.13   | 0.11%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140633 | PA      | $142541.63    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       601705 | PA      | $629004.98    | 0.03%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      5770000 | PA      | $4637489.10   | 0.19%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       854216 | PA      | $700850.69    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                         | Chevron Corp                                                                                                      | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       720000 | PA      | $647714.88    | 0.03%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617WHHM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       620518 | PA      | $555552.47    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                             | Pioneer Natural Resources Co                                                                                      | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       780000 | PA      | $612585.80    | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       670000 | PA      | $609037.32    | 0.03%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31413K6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1563 | PA      | $1571.20      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                                                                | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       870000 | PA      | $786858.09    | 0.03%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | 90DAY EUR FUTR MAR23                                                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          291 | NC      | $-105786.02   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       370000 | PA      | $343209.99    | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        51547 | PA      | $46476.06     | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $950141.54    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                       | Merck & Co Inc                                                                                                    | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       800000 | PA      | $640112.50    | 0.03%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                      | Sands China Ltd                                                                                                   | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      2010000 | PA      | $1644807.28   | 0.07%             | 2029-03-08      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1880967 | PA      | $1805624.28   | 0.08%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2060 | PA      | $2176.39      | 0.00%             | 2040-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2733274 | PA      | $2243047.71   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31414DFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12157 | PA      | $12132.97     | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                      | Fannie Mae Interest Strip                                                                                         | CUSIP: 3136FLFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       145434 | PA      | $25238.31     | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31396L4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       383352 | PA      | $25407.36     | 0.00%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       320853 | PA      | $320526.24    | 0.01%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                 | Royal Bank of Canada                                                                                              | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      1970000 | PA      | $1953185.72   | 0.08%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      3150000 | PA      | $3077569.91   | 0.13%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1237030.62   | 0.05%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                     | Altria Group Inc                                                                                                  | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      3550000 | PA      | $3173186.07   | 0.13%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31394UEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155715 | PA      | $6635.61      | 0.00%             | 2035-10-25      | Floating      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4FT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767867 | PA      | $631847.05    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202E6G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10247 | PA      | $10825.55     | 0.00%             | 2039-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                               | Credit Suisse Group AG                                                                                            | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       440000 | PA      | $388546.31    | 0.02%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138NXKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       438042 | PA      | $391802.57    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      3130000 | PA      | $2921658.50   | 0.12%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                       | ConocoPhillips                                                                                                    | CUSIP: 20825CAQ7<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | DBT              | CORP              | US        |       370000 | PA      | $416379.59    | 0.02%             | 2039-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                             | Devon Energy Corp                                                                                                 | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |        70000 | PA      | $59548.99     | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                | Wells Fargo & Co                                                                                                  | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     10420000 | PA      | $9232361.64   | 0.39%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114938 | PA      | $118989.92    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       575330 | PA      | $571428.91    | 0.02%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                                                    | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1450000 | PA      | $1442345.41   | 0.06%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       147825 | PA      | $121104.75    | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446305 | PA      | $383714.36    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                                                    | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       560000 | PA      | $528044.06    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                             | Lloyds Banking Group PLC                                                                                          | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1910000 | PA      | $1875592.86   | 0.08%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                                                       | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       400000 | PA      | $287787.30    | 0.01%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                             | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                                                  | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1409999 | PA      | $1417006.70   | 0.06%             | 2025-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31416WLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11195 | PA      | $11344.95     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3074786 | PA      | $584833.00    | 0.02%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED JPY / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | JP        |            1 | NC      | $34153.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Asurion LLC                                          | Asurion LLC 2020 Term Loan B8                                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      1426378 | PA      | $1273297.79   | 0.05%             | 2026-12-23      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31398W2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       113367 | PA      | $10321.74     | 0.00%             | 2040-01-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                       | PMT Credit Risk Transfer Trust 2019-2R                                                                            | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3062813 | PA      | $2942394.97   | 0.12%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                | Indonesia Government International Bond                                                                           | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       400000 | PA      | $365329.40    | 0.02%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2015-GC30                                                                            | CUSIP: 36250GAT2<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |      3880000 | PA      | $3643805.00   | 0.15%             | 2050-05-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                    | Clarios Global LP 2021 USD Term Loan B                                                                            | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | CA        |      3675191 | PA      | $3613936.81   | 0.15%             | 2026-04-30      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1361333 | PA      | $1269100.18   | 0.05%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132A3YH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       115531 | PA      | $119663.66    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L2NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       259931 | PA      | $213887.78    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       400000 | PA      | $290673.15    | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                          | Workday Inc                                                                                                       | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       650000 | PA      | $608452.33    | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138Y17B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       139126 | PA      | $136526.80    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       388670 | PA      | $382164.81    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                             | Time Warner Cable Enterprises LLC                                                                                 | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       990000 | PA      | $1103022.94   | 0.05%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132QQ4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129535 | PA      | $124333.65    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       607826 | PA      | $504665.10    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR FUT OPTN  FEB23C 114.5 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -84 | NC      | $-17062.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3300000 | PA      | $2798008.95   | 0.12%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                     | Altice France SA/France                                                                                           | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       450000 | PA      | $343941.75    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       455230 | PA      | $394181.09    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                      | CVS Health Corp                                                                                                   | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      1396000 | PA      | $1352873.09   | 0.06%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS053009 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS053009 IRS USD P F  1.72875 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     10330000 | OU      | $2725372.47   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                             | Provincia de Buenos Aires/Government Bonds                                                                        | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |      3514172 | PA      | $1225567.49   | 0.05%             | 2037-09-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                    | Republic of Kenya Government International Bond                                                                   | CUSIP: 491798AG9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      1210000 | PA      | $1064449.10   | 0.04%             | 2028-02-28      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1020413 | PA      | $930342.44    | 0.04%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $4978580.38   | 0.21%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1858374.21   | 0.08%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                       | Home Depot Inc/The                                                                                                | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       190000 | PA      | $183305.04    | 0.01%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3454929 | PA      | $183231.13    | 0.01%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                              | Shell International Finance BV                                                                                    | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      1070000 | PA      | $941343.98    | 0.04%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       150000 | PA      | $137448.36    | 0.01%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        79448 | PA      | $76226.75     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50077LBJ4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       830000 | PA      | $797807.55    | 0.03%             | 2050-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                               | General Motors Financial Co Inc                                                                                   | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1245016.81   | 0.05%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1380000 | PA      | $953241.04    | 0.04%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| II-VI Incorporated                                   | II-VI Incorporated 2022 Term Loan B                                                                               | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      2556868 | PA      | $2539609.00   | 0.11%             | 2029-07-02      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35400000 | PA      | $28813086.95  | 1.20%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                       | Halliburton Co                                                                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        79000 | PA      | $76925.66     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      4580000 | PA      | $4408578.43   | 0.18%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                         | Chevron Corp                                                                                                      | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       220000 | PA      | $158977.42    | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       361311 | PA      | $350961.21    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Shops at Crystals Trust 2016-CSTL                    | Shops at Crystals Trust 2016-CSTL                                                                                 | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7500000 | PA      | $6523248.75   | 0.27%             | 2036-07-05      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XJBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27458 | PA      | $26701.00     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       422714 | PA      | $445720.08    | 0.02%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | SOFR 1YR MIDCURVE JAN23P 95.87 EXP 01/13/2023                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |          990 | NC      | $358875.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                             | PURCHASED JPY / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |            1 | NC      | $2326879.82   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       551685 | PA      | $453958.62    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2336719.18   | 0.10%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                         | Barclays PLC                                                                                                      | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      4250000 | PA      | $3923287.88   | 0.16%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                             | Delta Air Lines Inc / SkyMiles IP Ltd                                                                             | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      1650000 | PA      | $1553490.72   | 0.06%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                              | United Rentals North America Inc                                                                                  | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |      1210000 | PA      | $988727.30    | 0.04%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1970000 | PA      | $1820530.43   | 0.08%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1172324 | PA      | $907205.93    | 0.04%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ziggo Financing Partnership                          | Ziggo Financing Partnership USD Term Loan I                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       796000 | PA      | $777734.98    | 0.03%             | 2028-04-30      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                           | Intel Corp                                                                                                        | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       620000 | PA      | $605315.39    | 0.03%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                      | Impac CMB Trust Series 2005-7                                                                                     | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1039234 | PA      | $878436.97    | 0.04%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3131XTRV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        61075 | PA      | $58556.38     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       258189 | PA      | $212455.30    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                                                      | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1050000 | PA      | $1027176.27   | 0.04%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                      | McDonald's Corp                                                                                                   | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      1320000 | PA      | $1105124.12   | 0.05%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2911412 | PA      | $2710605.87   | 0.11%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      3350000 | PA      | $2557726.31   | 0.11%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       800000 | PA      | $711937.89    | 0.03%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                | General Dynamics Corp                                                                                             | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       340000 | PA      | $303523.08    | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | PURCHASED GBP / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | GB        |            1 | NC      | $240739.86    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                  | Freddie Mac Structured Agency Credit Risk Debt Notes                                                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2833498 | PA      | $2921253.99   | 0.12%             | 2028-04-25      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| MDC Holdings Inc                                     | MDC Holdings Inc                                                                                                  | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |        90000 | PA      | $73442.57     | 0.00%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                       | Lowe's Cos Inc                                                                                                    | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       500000 | PA      | $480398.58    | 0.02%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1210103.98   | 0.05%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1332310 | PA      | $1151561.90   | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                    | General Motors Co                                                                                                 | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       660000 | PA      | $578164.17    | 0.02%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       960000 | PA      | $799668.00    | 0.03%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                | Citadel Securities LP 2021 Term Loan B                                                                            | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |       604681 | PA      | $594382.87    | 0.02%             | 2028-02-02      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                             | AT&T Inc                                                                                                          | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       744000 | PA      | $601711.70    | 0.03%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                  | NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3                                                    | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1082002 | PA      | $956605.28    | 0.04%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                            | Prosus NV                                                                                                         | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      2450000 | PA      | $1536975.99   | 0.06%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                 | Freeport-McMoRan Inc                                                                                              | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       500000 | PA      | $466537.25    | 0.02%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                             | Telefonica Emisiones SA                                                                                           | CUSIP: 87938WAX1<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |      1050000 | PA      | $882333.91    | 0.04%             | 2049-03-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                 | Glencore Funding LLC                                                                                              | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      6520000 | PA      | $6418513.46   | 0.27%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196438 | PA      | $210018.51    | 0.01%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                | Northrop Grumman Corp                                                                                             | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      1790000 | PA      | $1717999.83   | 0.07%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos Inc                                | Bausch Health Cos Inc                                                                                             | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       800000 | PA      | $387540.00    | 0.02%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1838556 | PA      | $1640126.78   | 0.07%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                | Republic Services Inc                                                                                             | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $958908.30    | 0.04%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                             | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      2180000 | PA      | $2108347.39   | 0.09%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2730000 | PA      | $2690275.69   | 0.11%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                 | Kraft Heinz Foods Co                                                                                              | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       140000 | PA      | $152512.25    | 0.01%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                  | Gilead Sciences Inc                                                                                               | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |       920000 | PA      | $832585.37    | 0.03%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through C    | Freddie Mac Structured Pass-Through Certificates FRESR 2017-SR01                                                  | CUSIP: 3137FCJG0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |       473007 | PA      | $439730.80    | 0.02%             | 2027-11-25      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                 | Lockheed Martin Corp                                                                                              | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       605000 | PA      | $588393.53    | 0.02%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                              | Schlumberger Holdings Corp                                                                                        | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |      1232000 | PA      | $1150118.37   | 0.05%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       336184 | PA      | $278506.89    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658762 | PA      | $647726.83    | 0.03%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38381ETU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1700000 | PA      | $1001519.30   | 0.04%             | 2061-02-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90946 | PA      | $92179.89     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       440000 | PA      | $367618.34    | 0.02%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                                                      | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      7030000 | PA      | $6933853.22   | 0.29%             | 2024-01-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1427808.00   | 0.06%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                                                              | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3040000 | PA      | $2388473.01   | 0.10%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31397KL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       665398 | PA      | $48103.24     | 0.00%             | 2037-09-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                     | WFRBS Commercial Mortgage Trust 2014-C24                                                                          | CUSIP: 92939KBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3830000 | PA      | $3484651.20   | 0.15%             | 2047-11-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                             | Principal Life Global Funding II                                                                                  | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |       640000 | PA      | $582645.95    | 0.02%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                           | Verus Securitization Trust 2022-6                                                                                 | CUSIP: 92539AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1722887 | PA      | $1649081.34   | 0.07%             | 2067-06-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                  | CommonSpirit Health                                                                                               | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       420000 | PA      | $356150.82    | 0.01%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| XPO Logistics, Inc.                                  | XPO Logistics, Inc. 2018 Term Loan B                                                                              | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |      2170000 | PA      | $2163822.01   | 0.09%             | 2025-02-24      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2482008 | PA      | $111568.49    | 0.00%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                    | HSBC Holdings PLC                                                                                                 | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1190000 | PA      | $1034428.62   | 0.04%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3229435 | PA      | $2651931.44   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89118 | PA      | $79435.63     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7771547 | PA      | $860352.27    | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                              | Reliance Industries Ltd                                                                                           | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |       850000 | PA      | $689916.58    | 0.03%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       630000 | PA      | $634511.66    | 0.03%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12459225 | PA      | $723851.04    | 0.03%             | 2061-01-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       701302 | PA      | $672297.08    | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       258948 | PA      | $223637.09    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378H4E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       587316 | PA      | $58192.51     | 0.00%             | 2042-10-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                          | Lennar Corp                                                                                                       | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      1040000 | PA      | $1026638.22   | 0.04%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                             | Devon Energy Corp                                                                                                 | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      1240000 | PA      | $1162239.51   | 0.05%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                                                      | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       850000 | PA      | $659041.01    | 0.03%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       170000 | PA      | $143265.80    | 0.01%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3093760 | PA      | $2683209.58   | 0.11%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                             | Ford Motor Credit Co LLC                                                                                          | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       650000 | PA      | $537643.65    | 0.02%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Instar Leasing III, LLC                              | InStar Leasing III LLC                                                                                            | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3379944 | PA      | $2799632.58   | 0.12%             | 2054-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                          | Lennar Corp                                                                                                       | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       200000 | PA      | $198908.81    | 0.01%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                           | Cigna Corp                                                                                                        | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      1010000 | PA      | $987901.52    | 0.04%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3465922 | PA      | $3408023.73   | 0.14%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                  | COMM 2013-CCRE12 Mortgage Trust                                                                                   | CUSIP: 12591KAK1<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |       220000 | PA      | $150829.76    | 0.01%             | 2046-10-10      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       786498 | PA      | $705640.98    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                             | International Business Machines Corp                                                                              | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2724572.56   | 0.11%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       418245 | PA      | $422784.10    | 0.02%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                             | Petrobras Global Finance BV                                                                                       | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |       150000 | PA      | $150809.45    | 0.01%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| The Federal Republic of Nigeria                      | Nigeria Government International Bond                                                                             | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       650000 | PA      | $526480.50    | 0.02%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       320000 | PA      | $267499.60    | 0.01%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1612177 | PA      | $1324197.77   | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                     | Coca-Cola Co/The                                                                                                  | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1536938.18   | 0.06%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD CAD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-79524.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                                                                | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      1950000 | PA      | $1432300.86   | 0.06%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust       | Structured Adjustable Rate Mortgage Loan Trust Series 2006-4                                                      | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1144970 | PA      | $785002.74    | 0.03%             | 2036-05-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                             | JP Morgan Mortgage Trust 2005-A6                                                                                  | CUSIP: 466247TT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       262598 | PA      | $242201.97    | 0.01%             | 2035-08-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2453384 | PA      | $2016521.57   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       642286 | PA      | $617500.22    | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs    | United States Small Business Administration                                                                       | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      1233145 | PA      | $1079590.31   | 0.05%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2746047 | PA      | $2344137.27   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30337206 | PA      | $1508356.78   | 0.06%             | 2035-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                                | China Government Bond                                                                                             | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |     20500000 | PA      | $3004859.96   | 0.13%             | 2025-05-21      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR FUTR OPTN  FEB23C 108.7 EXP 01/27/2023                                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |           56 | NC      | $16625.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                    | HSBC Holdings PLC                                                                                                 | CUSIP: 404280AP4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      2900000 | PA      | $2849885.42   | 0.12%             | 2024-03-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       260297 | PA      | $224402.35    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                              | RXG3P 136                                                                                                         | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | DE        |          -77 | NC      | $-289310.38   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1130000 | PA      | $1057941.84   | 0.04%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                  | Abbott Laboratories                                                                                               | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       760000 | PA      | $745254.69    | 0.03%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| VOC Escrow Ltd                                       | VOC Escrow Ltd                                                                                                    | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1320000 | PA      | $1137417.60   | 0.05%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84345 | PA      | $69403.91     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                                                        | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       920000 | PA      | $803237.81    | 0.03%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31412YCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          723 | PA      | $742.30       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                             | AT&T Inc                                                                                                          | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       550000 | PA      | $529513.86    | 0.02%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157657 | PA      | $158742.20    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                | Phoenix Guarantor Inc 2021 Term Loan B3                                                                           | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       559227 | PA      | $526022.93    | 0.02%             | 2026-03-05      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1241132.97   | 0.05%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       521616 | PA      | $500784.59    | 0.02%             | 2070-07-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       569785 | PA      | $487199.06    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                              | HCA Inc                                                                                                           | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1333000 | PA      | $1325976.38   | 0.06%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        49046 | PA      | $434.69       | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175583 | PA      | $164465.14    | 0.01%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       290000 | PA      | $215505.86    | 0.01%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                               | Brazilian Government International Bond                                                                           | CUSIP: 105756BZ2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      1480000 | PA      | $1421165.94   | 0.06%             | 2028-01-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                   | Union Pacific Corp                                                                                                | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       430000 | PA      | $418199.02    | 0.02%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                    | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       450000 | PA      | $431887.50    | 0.02%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | Long: BWS075820 IRS USD R V 00MSOFR 1 CCPOIS / Short: BWS075820 IRS USD P F  3.85000 2 CCPOIS                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     51410000 | OU      | $-591079.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLIS IV BV                                          | Solis IV BV USD Term Loan B1                                                                                      | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      2531775 | PA      | $2241570.29   | 0.09%             | 2029-02-26      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                 | Lockheed Martin Corp                                                                                              | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      2980000 | PA      | $2544416.53   | 0.11%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                              | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384BX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     12260000 | PA      | $12195571.86  | 0.51%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-J5                                                                                    | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1026919 | PA      | $591182.43    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FIN X DAC 2020 1                            | MAGNOLIA FIN X DAC 2020 1                                                                                         | CUSIP: 55968FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |      4213467 | PA      | $4119296.34   | 0.17%             | 2024-08-13      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       870000 | PA      | $839730.55    | 0.04%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19520000 | PA      | $19530675.10  | 0.82%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                          | Swedbank AB                                                                                                       | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |      2200000 | PA      | $2160861.67   | 0.09%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                     | Williams Cos Inc/The                                                                                              | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       100000 | PA      | $110611.32    | 0.00%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                            | Boeing Co/The                                                                                                     | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      3160000 | PA      | $2945975.41   | 0.12%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140MJ7H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       749495 | PA      | $690707.76    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | BP CURRENCY FUT MAR23                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           96 | NC      | $-215640.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE OF ISRAEL                                      | State of Israel                                                                                                   | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |       990000 | PA      | $764844.30    | 0.03%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90323 | PA      | $88075.01     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       530000 | PA      | $503797.09    | 0.02%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                          | NVIDIA Corp                                                                                                       | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      2950000 | PA      | $2241277.19   | 0.09%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                             | BHP Billiton Finance USA Ltd                                                                                      | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       850000 | PA      | $827855.02    | 0.03%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                             | OCP SA                                                                                                            | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       970000 | PA      | $815973.70    | 0.03%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242578 | PA      | $198575.57    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                              | HCA Inc                                                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1160000 | PA      | $1003197.89   | 0.04%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                 | Bank of America Corp                                                                                              | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       660000 | PA      | $647498.09    | 0.03%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      2702000 | PA      | $2987804.05   | 0.12%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8000000 | PA      | $7701487.84   | 0.32%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                                                                | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      1000000 | PA      | $1000147.56   | 0.04%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Setanta Aircraft Leasing Designated Activity Company | Setanta Aircraft Leasing Designated Activity Company Term Loan B                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |      2290000 | PA      | $2282843.75   | 0.10%             | 2028-11-05      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                   | Energy Transfer LP                                                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       590000 | PA      | $502396.28    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                      | Israel Government International Bond                                                                              | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      1290000 | PA      | $1174899.75   | 0.05%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                               | Toll Brothers Finance Corp                                                                                        | CUSIP: 88947EAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       770000 | PA      | $766712.24    | 0.03%             | 2023-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                 | Targa Resources Corp                                                                                              | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      1030000 | PA      | $1011200.41   | 0.04%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Castlelake Aviation Limited                          | Castlelake Aviation Limited Term Loan B                                                                           | CUSIP: 14855NAB2<br>LEI: 2138003EQK2PETKID103 | Long             | LON              | CORP              | IE        |      2760087 | PA      | $2740371.52   | 0.11%             | 2026-10-22      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2301446 | PA      | $2072744.15   | 0.09%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                               | Anglo American Capital PLC                                                                                        | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      1080000 | PA      | $1019268.13   | 0.04%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ELC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       551937 | PA      | $534906.36    | 0.02%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132A1CV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       322814 | PA      | $329968.46    | 0.01%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                    | EURO-BUXL 30Y BND MAR23                                                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -81 | NC      | $2172458.83   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334128 | PA      | $319716.40    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust     | GoodLeap Sustainable Home Solutions Trust 2021-4                                                                  | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1978800 | PA      | $1512756.14   | 0.06%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| First Eagle Holdings, Inc.                           | First Eagle Holdings, Inc. 2020 Term Loan B                                                                       | CUSIP: 05554JAH0<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |      2067365 | PA      | $2013096.31   | 0.08%             | 2027-02-01      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                             | AT&T Inc                                                                                                          | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       550000 | PA      | $370671.98    | 0.02%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16746131 | PA      | $311692.39    | 0.01%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                    | Kinder Morgan Inc                                                                                                 | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |        60000 | PA      | $52079.93     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                | Northrop Grumman Corp                                                                                             | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      2990000 | PA      | $2762770.14   | 0.12%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                 | Bank of America Corp                                                                                              | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3820000 | PA      | $3007919.68   | 0.13%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       940793 | PA      | $917571.25    | 0.04%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                | Continental Resources Inc/OK                                                                                      | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1179852.50   | 0.05%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                | Toronto-Dominion Bank/The                                                                                         | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      1720000 | PA      | $1570636.59   | 0.07%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Belron Finance US LLC                                | Belron Finance US LLC 2018 Term Loan B                                                                            | CUSIP: 08078UAD5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       649872 | PA      | $648653.61    | 0.03%             | 2025-11-13      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWS075507 CDS USD R F  1.00000 2 CCPCDX / Short: SWS075507 CDS USD P V 03MEVENT 1 CCPCDX                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    445029000 | OU      | $3547588.73   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae I Pool                                                                                                 | CUSIP: 36297F6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1020975 | PA      | $1046088.32   | 0.04%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                               | CHL Mortgage Pass-Through Trust 2005-14                                                                           | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472117 | PA      | $256191.19    | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                       | Microsoft Corp                                                                                                    | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      1380000 | PA      | $1331983.59   | 0.06%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                          | Asurion LLC 2018 Term Loan B7                                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |      1950745 | PA      | $1899537.94   | 0.08%             | 2024-11-03      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       511741 | PA      | $458064.79    | 0.02%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Aetna Inc                                            | Aetna Inc                                                                                                         | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       540000 | PA      | $534413.01    | 0.02%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED CAD / SOLD USD                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |            1 | NC      | $596899.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                                                  | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       550000 | PA      | $485173.00    | 0.02%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6139 | PA      | $6485.93      | 0.00%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                   | Union Pacific Corp                                                                                                | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       365000 | PA      | $284006.46    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        99537 | PA      | $85492.39     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                              | Park Aerospace Holdings Ltd                                                                                       | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       630000 | PA      | $622066.00    | 0.03%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31410F2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2164 | PA      | $2245.74      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund           | Oak Street Investment Grade Net Lease Fund Series 2020-1                                                          | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4269052 | PA      | $3793989.22   | 0.16%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                  | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2660000 | PA      | $2182518.38   | 0.09%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4989579 | PA      | $203713.54    | 0.01%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       651798 | PA      | $601432.75    | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                 | Southern Copper Corp                                                                                              | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      2640000 | PA      | $2525232.28   | 0.11%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                   | Alternative Loan Trust 2006-18CB                                                                                  | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       730240 | PA      | $688477.79    | 0.03%             | 2036-07-25      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LHUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600000 | PA      | $595265.68    | 0.02%             | 2032-12-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                             | Occidental Petroleum Corp                                                                                         | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      2110000 | PA      | $2105526.80   | 0.09%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                           | 3M Co                                                                                                             | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       340000 | PA      | $299290.39    | 0.01%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       248879 | PA      | $206176.15    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Trans Union, LLC                                     | Trans Union, LLC 2019 Term Loan B5                                                                                | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |       997070 | PA      | $985229.88    | 0.04%             | 2026-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                | Mexico Government International Bond                                                                              | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      1450000 | PA      | $1225401.51   | 0.05%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                              | Consolidated Edison Co of New York Inc                                                                            | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       610000 | PA      | $550052.87    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43035 | PA      | $40330.11     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                   | Panama Government International Bond                                                                              | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      1230000 | PA      | $901338.06    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       335946 | PA      | $314369.44    | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                      | Long: SWS062869 CDS USD R F  1.00000 2 CCPCORPORATE / Short: SWS062869 CDS USD P V 03MEVENT 1 CCPCORPORATE        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |      8446000 | OU      | $-224000.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                                                                   | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       533403 | PA      | $502177.81    | 0.02%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                                                                        | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8800000 | PA      | $8845081.08   | 0.37%             | 2053-02-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84386 | PA      | $75671.64     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd.                                     | SkyMiles IP Ltd. 2020 Skymiles Term Loan B                                                                        | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |       620000 | PA      | $633013.80    | 0.03%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Non Gold Pool                                                                                         | CUSIP: 31347AX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       653992 | PA      | $620712.33    | 0.03%             | 2047-03-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1883234 | PA      | $62880.42     | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132QNEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        82144 | PA      | $79091.17     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                               | Anglo American Capital PLC                                                                                        | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      4260000 | PA      | $4124045.42   | 0.17%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       242828 | PA      | $201618.49    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                  | Cheniere Energy Inc                                                                                               | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |      1020000 | PA      | $923908.20    | 0.04%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3030000 | PA      | $2976783.90   | 0.12%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       587073 | PA      | $577201.05    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                                                               | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       880000 | PA      | $821153.04    | 0.03%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                           | Intel Corp                                                                                                        | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1064192.14   | 0.04%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | JPN YEN CURR FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          286 | NC      | $868020.19    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA CORP                                          | NVIDIA Corp                                                                                                       | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      1590000 | PA      | $1181138.88   | 0.05%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       230000 | PA      | $167874.16    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                                                                | CUSIP: 3137FFZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5338304 | PA      | $616584.27    | 0.03%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109739 | PA      | $111711.62    | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FIN CO II                                  | KKR Group Finance Co II LLC                                                                                       | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       350000 | PA      | $323422.27    | 0.01%             | 2043-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1510373 | PA      | $1300344.83   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                     | ML-CFC Commercial Mortgage Trust 2007-5                                                                           | CUSIP: 55312YAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       427008 | PA      | $110130.65    | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust 2013-C17                                                               | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       510000 | PA      | $495116.36    | 0.02%             | 2047-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                               | UnitedHealth Group Inc                                                                                            | CUSIP: 91324PAR3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       860000 | PA      | $910634.12    | 0.04%             | 2036-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       138442 | PA      | $129971.15    | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82513 | PA      | $70974.92     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust 2021-GS5                                                                              | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3814948 | PA      | $3434083.35   | 0.14%             | 2067-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90091 | PA      | $84409.46     | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                         | Comcast Corp                                                                                                      | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       290000 | PA      | $304985.47    | 0.01%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1868730 | PA      | $1613365.37   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                       | JPN 10Y BOND(OSE) MAR23                                                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          -34 | NC      | $676347.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       589457 | PA      | $550212.58    | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       600000 | PA      | $495345.00    | 0.02%             | 2050-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | AUDUSD EURO 9AM   FEB23C 68 EXP 02/03/2023                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |           13 | OU      | $16380.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138ENWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1939529 | PA      | $1879700.82   | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ML-CFC Commercial Mortgage Trust                     | ML-CFC Commercial Mortgage Trust 2007-5                                                                           | CUSIP: 55312YAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53915 | PA      | $13905.33     | 0.00%             | 2048-08-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XPZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36352 | PA      | $35356.15     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                              | Federal Home Loan Bank Discount Notes                                                                             | CUSIP: 313384CE7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |     36100000 | PA      | $35875281.11  | 1.50%             | 2023-02-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                     | T-Mobile USA Inc                                                                                                  | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      4560000 | PA      | $4141212.20   | 0.17%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31398PFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       249329 | PA      | $24115.46     | 0.00%             | 2040-04-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                          | Lennar Corp                                                                                                       | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      1360000 | PA      | $1313412.93   | 0.05%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       630000 | PA      | $567868.30    | 0.02%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 10Y NOTE W5 OP DEC22C 114 EXP 12/30/2022                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -19 | NC      | $-19.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                              | Teva Pharmaceutical Finance Netherlands III BV                                                                    | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      5940000 | PA      | $5297572.01   | 0.22%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       755503 | PA      | $111375.55    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                                                    | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       200000 | PA      | $183495.49    | 0.01%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52941 | PA      | $46716.27     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1331591 | PA      | $1191251.58   | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Magenta Buyer LLC                                    | Magenta Buyer LLC 2021 USD 1st Lien Term Loan                                                                     | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4048100 | PA      | $3486426.13   | 0.15%             | 2028-07-27      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2021-RPL2Trust                                                                                               | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1505212 | PA      | $1261659.13   | 0.05%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1910000 | PA      | $1883222.54   | 0.08%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       626551 | PA      | $538971.67    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132WEKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       344407 | PA      | $320685.15    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202EKB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5690 | PA      | $6014.97      | 0.00%             | 2036-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H34M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36485 | PA      | $34152.51     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138XJCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200053 | PA      | $196711.41    | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                             | NIKE Inc                                                                                                          | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      1470000 | PA      | $1157873.74   | 0.05%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       374399 | PA      | $308771.14    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31419KXG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48989 | PA      | $47751.07     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                              | Becton Dickinson and Co                                                                                           | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       272000 | PA      | $265444.66    | 0.01%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       168579 | PA      | $166777.84    | 0.01%             | 2070-08-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140QCK96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       514420 | PA      | $489070.59    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                               | Mondelez International Inc                                                                                        | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      1760000 | PA      | $1630188.19   | 0.07%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9995472 | PA      | $291695.86    | 0.01%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                        | Citigroup Inc                                                                                                     | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      2520000 | PA      | $2386440.00   | 0.10%             | 2024-05-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                        | Citigroup Inc                                                                                                     | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3180000 | PA      | $2728366.10   | 0.11%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| TARGET CORP                                          | Target Corp                                                                                                       | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |      1160000 | PA      | $1101463.26   | 0.05%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust       | Structured Adjustable Rate Mortgage Loan Trust Series 2006-7                                                      | CUSIP: 86361BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2693361 | PA      | $1911853.59   | 0.08%             | 2036-08-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                             | Sunrun Vulcan Issuer 2021-1 LLC                                                                                   | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2003341 | PA      | $1628946.23   | 0.07%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                             | Enterprise Products Operating LLC                                                                                 | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       470000 | PA      | $402810.63    | 0.02%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2102909 | PA      | $338308.18    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1286273 | PA      | $1249383.35   | 0.05%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      2560000 | PA      | $2350283.60   | 0.10%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                             | Charter Communications Operating LLC / Charter Communications Operating Capital                                   | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       200000 | PA      | $157680.23    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EOG Resources Inc                                    | EOG Resources Inc                                                                                                 | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      1460000 | PA      | $1307505.72   | 0.05%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                               | Anglo American Capital PLC                                                                                        | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       500000 | PA      | $484110.14    | 0.02%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                               | United States Treasury Note/Bond                                                                                  | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1860000 | PA      | $1421047.27   | 0.06%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132HBA47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        64676 | PA      | $60461.77     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140X65C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       198105 | PA      | $189531.39    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138X8RD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166566 | PA      | $162795.84    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                               | Verizon Communications Inc                                                                                        | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1620000 | PA      | $1260675.40   | 0.05%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                  | PURCHASED USD / SOLD GBP                                                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |            1 | NC      | $-82836.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                      | CVS Health Corp                                                                                                   | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       180000 | PA      | $144141.11    | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings, Inc                           | Triton Water Holdings, Inc Term Loan                                                                              | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |      2922836 | PA      | $2727736.50   | 0.11%             | 2028-03-31      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2587042 | PA      | $2126315.64   | 0.09%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                           | FIXED INC CLEARING CORP.REPO                                                                                      | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |     32881348 | PA      | $32881348.01  | 1.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust 2021-GS2                                                                              | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2018602 | PA      | $1834559.10   | 0.08%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | EURO FX CURR FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |          421 | NC      | $170191.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                             | Warnermedia Holdings Inc                                                                                          | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       570000 | PA      | $514113.19    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1055643.55   | 0.04%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                             | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                               | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       540000 | PA      | $508898.70    | 0.02%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                  | Elevance Health Inc                                                                                               | CUSIP: 036752AC7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       560000 | PA      | $543206.51    | 0.02%             | 2024-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                      | Danske Bank A/S                                                                                                   | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      3400000 | PA      | $3175980.39   | 0.13%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                                                                          | CUSIP: 38378TPA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       406121 | PA      | $64877.20     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417WZ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1509 | PA      | $1502.91      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                 | Indonesia Treasury Bond                                                                                           | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |  37919000000 | PA      | $2347848.02   | 0.10%             | 2032-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Jane Street Group, LLC                               | Jane Street Group, LLC 2021 Term Loan                                                                             | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |      1443538 | PA      | $1402938.48   | 0.06%             | 2028-01-26      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                       | Salesforce Inc                                                                                                    | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1057155.68   | 0.04%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        88154 | PA      | $79564.63     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                       | Amazon.com Inc                                                                                                    | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       190000 | PA      | $188127.11    | 0.01%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                             | Western Midstream Operating LP                                                                                    | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      1120000 | PA      | $1061592.00   | 0.04%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                              | Goldman Sachs Group Inc/The                                                                                       | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       370000 | PA      | $252982.69    | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 31395NQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162652 | PA      | $11662.74     | 0.00%             | 2036-07-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       385874 | PA      | $322624.90    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132H33B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        64835 | PA      | $60690.49     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 31417VPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5965 | PA      | $6030.09      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400000 | PA      | $374044.80    | 0.02%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                             | WEA Finance LLC / Westfield UK & Europe Finance PLC                                                               | CUSIP: 92890HAC6<br>LEI: N/A                  | Long             | DBT              |  | US        |      6230000 | PA      | $5892015.58   | 0.25%             | 2024-09-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                  | American International Group Inc                                                                                  | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      1887000 | PA      | $1778178.22   | 0.07%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 36202F2A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19783 | PA      | $20910.76     | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                                                                | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       686909 | PA      | $624989.55    | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                              | MPLX LP                                                                                                           | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      1510000 | PA      | $1277551.46   | 0.05%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                                                                  | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       558147 | PA      | $483258.25    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                              | Guardian Life Global Funding                                                                                      | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |       690000 | PA      | $625654.15    | 0.03%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                          | MEXICAN PESO FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |         1142 | NC      | $488205.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PEPSICO INC                                          | PepsiCo Inc                                                                                                       | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1332705.24   | 0.06%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                  | Petroleos Mexicanos                                                                                               | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       520000 | PA      | $323208.55    | 0.01%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                               | Barrick North America Finance LLC                                                                                 | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       550000 | PA      | $558170.45    | 0.02%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                               | CVS Pass-Through Trust                                                                                            | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1694173 | PA      | $1669358.74   | 0.07%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                         | UBS Group AG                                                                                                      | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1050000 | PA      | $1022023.61   | 0.04%             | 2025-09-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                                                                   | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1020472 | PA      | $949231.68    | 0.04%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                           | Humana Inc                                                                                                        | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       661000 | PA      | $634634.69    | 0.03%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1277242 | PA      | $55303.54     | 0.00%             | 2044-08-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                         | GS Mortgage Securities Trust 2013-GC16                                                                            | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1070000 | PA      | $1042742.61   | 0.04%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President