# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007172
**Filing Date:** 2026-5
**Character Count:** 296722
**Document Hash:** 9f15d4e82228525db2ef4c6d3eb78017
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007172.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007172

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043326

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Total Return Fund II (Series ID: S000009709)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026656 | Institutional | PMBIX           |
| C000082492 | I-2           | PMTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Total Return Fund II

- **b. EDGAR series identifier (if any):** S000009709

- **c. LEI of Series:** T7JTTTWHW1CB4D04VW48

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1139634829.74

**Total Liabilities:** $534094749.02

**Net Assets:** $605540080.72

**Cash Not Reported:** $5911816.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18495.915400 | **1-Year:** 24163.198300 | **5-Year:** 169692.548000 | **10-Year:** 51666.512300 | **30-Year:** 1259.788100

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

- **3-Month:** 33.122700 | **1-Year:** 439.899700 | **5-Year:** 441.954300 | **10-Year:** 13.229400 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000082492 | 0.37%                | 1.46%                | -2.02%               |
| Class ID C000026656 | 0.38%                | 1.47%                | -2.01%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $551442.64               | $-441163.09                                |
| Month 2  | $424986.79               | $11790193.44                               |
| Month 3  | $-1162722.09             | $-18634410.18                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                                 | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN EXPRESS COMPANY                                             | AMERICAN EXPRESS CO SR UNSECURED 01/31 VAR              | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    800000 | PA      | $813723.02    | 0.13%             | 2031-01-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AB2503 FN 03/31 FIXED 4.5                     | CUSIP: 31416XX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5768 | PA      | $5781.36      | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121978 | PA      | $125968.34    | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/46 4.625                             | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10200000 | PA      | $9834234.32   | 1.62%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60364 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $150467.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04630 FG 11/29 FIXED 6               | CUSIP: 3128M6PP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.37         | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                   | AMERICAN TOWER CORP SR UNSECURED 03/29 3.95             | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196876.80    | 0.03%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60000 01/17/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9997.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AA2207 FN 03/39 FIXED 5.5                     | CUSIP: 31416KNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.32        | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    750000 | PA      | $745315.97    | 0.12%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 642423 GN 11/35 FIXED 5                       | CUSIP: 36291YVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5240 | PA      | $5306.79      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A       | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1687855.50   | 0.28%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 05/29 5.55          | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512007.58    | 0.08%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $4797431.63   | 0.79%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 02/29 VAR                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1011283.93   | 0.17%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107326 | PA      | $110473.15    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 07/28 4.125                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1913322.27   | 0.32%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DIRECT LENDING FUND                                   | MORGAN STANLEY DIRECT SR UNSECURED 02/27 4.5            | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1691700.53   | 0.28%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.8724* 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $105445.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INCORPORATED                                    | MICROCHIP TECHNOLOGY INC COMPANY GUAR 03/28 4.9         | CUSIP: 595017BK9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201271.74    | 0.03%             | 2028-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03616 FG 12/37 FIXED 6               | CUSIP: 3128M5K58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $126.84       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 548695 FN 10/30 FIXED 8                       | CUSIP: 31385PRQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $75.32        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03551 FG 11/37 FIXED 6               | CUSIP: 3128M5H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13420 | PA      | $14100.10     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 07/28 3.875                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $9011777.31   | 1.49%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03504 FG 11/37 FIXED 6               | CUSIP: 3128M5GM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2250 | PA      | $2363.88      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                 | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15         | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1416291 | PA      | $1321883.32   | 0.22%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 889174 FN 08/37 FIXED VAR                     | CUSIP: 31410G2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5642 | PA      | $5820.15      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                | BBCCRE TRUST BBCCR 2015 GTP A 144A                      | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2150483.90   | 0.36%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8400000 | PA      | $8013796.90   | 1.32%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELECTRIC AND POWER COMPANY                                  | VIRGINIA ELEC + POWER CO SR UNSECURED 05/27 3.75        | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1491108.66   | 0.25%             | 2027-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                               | PROLOGIS TARGETED US COMPANY GUAR 144A 03/33 4.625      | CUSIP: 74350LAF1<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194577.40    | 0.03%             | 2033-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6491998 | PA      | $6127341.04   | 1.01%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                         | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15175 | PA      | $15438.70     | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                  | COMMONSPIRIT HEALTH SECURED 09/30 4.352                 | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    600000 | PA      | $591414.48    | 0.10%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                 | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6050000 | PA      | $6225029.22   | 1.03%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 685628 GN 04/38 FIXED 5                       | CUSIP: 36296AVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14357 | PA      | $14549.14     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                 | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11320 | PA      | $3684.75      | 0.00%             | 2036-11-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -300 | NC      | $1261170.90   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                              | SIMON PROPERTY GROUP LP SR UNSECURED 10/35 5.125        | CUSIP: 828807EA1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400834.18    | 0.07%             | 2035-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                             | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A3 144A          | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1272808 | PA      | $1058904.06   | 0.17%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                              | HCA INC COMPANY GUAR 03/35 5.75                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1954181.01   | 0.32%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER COMPANY                                            | APPALACHIAN POWER CO SR UNSECURED 04/31 2.7             | CUSIP: 037735CZ8<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1455753.47   | 0.24%             | 2031-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 745325 GN 08/40 FIXED 5                       | CUSIP: 3620C1A22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4098 | PA      | $4174.15      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G06566 FG 01/38 FIXED 6               | CUSIP: 3128M8TX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    109017 | PA      | $114541.10    | 0.02%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                               | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1         | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407053 | PA      | $406017.17    | 0.07%             | 2033-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1       | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14802 | PA      | $13216.67     | 0.00%             | 2036-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA5712 G2 01/49 FIXED 5                    | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4486 | PA      | $4525.15      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10994124 | PA      | $10592561.88  | 1.75%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/28 4                                 | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1908238.29   | 0.32%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL          | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    167882 | PA      | $167825.86    | 0.03%             | 2065-06-20      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER COMPANY OF MINNESOTA                           | NORTHERN STATES PWR MINN 1ST MORTGAGE 04/31 2.25        | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1442280.42   | 0.24%             | 2031-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL MOTORS COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $22369.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL BT3503 GN 02/50 FIXED 4                       | CUSIP: 3617MR3L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     92919 | PA      | $87672.87     | 0.01%             | 2050-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                         | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99053 | PA      | $98732.91     | 0.02%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 05/41 0.00000                                    | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $14270.90     | 0.00%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G05531 FG 08/38 FIXED 6               | CUSIP: 3128M7PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2781 | PA      | $2921.93      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLECO POWER LLC                                                      | CLECO POWER LLC SR UNSECURED 144A 01/36 5.3             | CUSIP: 185508AJ7<br>LEI: TM1ZH54SJKLNHFCBFK92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99283.52     | 0.02%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA7937 G2 03/52 FIXED 3                    | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8957132 | PA      | $8007887.60   | 1.32%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4042.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $36371.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                    | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12185 | PA      | $12415.17     | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 687984 FN 03/33 FIXED 5.5                     | CUSIP: 31400HJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       294 | PA      | $296.76       | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                 | KEURIG DR PEPPER INC COMPANY GUAR 03/27 5.1             | CUSIP: 49271VAW0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100418.03    | 0.02%             | 2027-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                            | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281 | PA      | $273.49       | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11120.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/47 3                                 | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $2683406.23   | 0.44%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORPORATION                                            | SOUTHWEST GAS CORP SR UNSECURED 03/32 4.05              | CUSIP: 845011AE5<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1721255.54   | 0.28%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1400000 | PA      | $1447156.84   | 0.24%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                         | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162999 | PA      | $969779.23    | 0.16%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDEX FREIGHT HOLDING COMPANY INC                                    | FEDEX FREIGHT HOLDING CO COMPANY GUAR 144A 03/31 4.65   | CUSIP: 314352AC9<br>LEI: 984500Y1DA5A58ICE336 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491654.89    | 0.08%             | 2031-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3280000 | PA      | $3270006.23   | 0.54%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3               | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2969008 | PA      | $2616729.07   | 0.43%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US LOGISTICS FUND LP                               | PROLOGIS TARGETED US COMPANY GUAR 144A 01/31 4.25       | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195783.51    | 0.03%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21727 | PA      | $22243.58     | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03941 FG 02/38 FIXED 6               | CUSIP: 3128M5WA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6401 | PA      | $6725.28      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                       | LENDMARK FUNDING TRUST LFT 2021 1A A 144A               | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1665258.29   | 0.28%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91365 FG 04/31 FIXED 4               | CUSIP: 3128P7QS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20278 | PA      | $20170.67     | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 831377 FN 04/36 FIXED 6.5                     | CUSIP: 31407HUA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332 | PA      | $343.84       | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                      | TYSON FOODS INC SR UNSECURED 03/34 5.7                  | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310662.85    | 0.05%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES HOLDINGS LLC / BAKER HUGHES CO-OBLIGOR INC              | BAKER HUGHES LLC/CO OBL COMPANY GUAR 06/33 4.65         | CUSIP: 05724BAN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $295356.85    | 0.05%             | 2033-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1041634.32   | 0.17%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELECTRIC                                            | LOUISVILLE GAS + ELEC 1ST MORTGAGE 04/33 5.45           | CUSIP: 546676AZ0<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206927.96    | 0.03%             | 2033-04-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES INC                                          | SYSTEM ENERGY RESOURCES 1ST REF MORT 12/34 5.3          | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $399127.58    | 0.07%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60806 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $78105.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $33697.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                               | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998973.30    | 0.16%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -223 | NC      | $839509.82    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB          | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85858 | PA      | $86205.15     | 0.01%             | 2066-04-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                    | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9      | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625697 | PA      | $575265.17    | 0.10%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE INTERNATIONAL US LLC | COTY/HFC PRESTIGE/INT US COMPANY GUAR 144A 01/31 5.6    | CUSIP: 22207AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $290592.21    | 0.05%             | 2031-01-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                         | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    659517 | PA      | $653222.01    | 0.11%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 739289 FN 09/33 FIXED 5.5                     | CUSIP: 31402VKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       284 | PA      | $287.82       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/54 6.858                  | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $330442.63    | 0.05%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                   | ORACLE CORP SR UNSECURED 08/28 4.8                      | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300175.43    | 0.05%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G02781 FG 04/37 FIXED 5.5             | CUSIP: 3128M4M67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10604 | PA      | $10954.26     | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENNSYLVANIA ELECTRIC CO                                 | FIRSTENERGY PENN ELECTRI SR UNSECURED 144A 01/29 4.3    | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1391979.40   | 0.23%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                        | CITIGROUP INC SR UNSECURED 03/31 VAR                    | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296641.65    | 0.05%             | 2031-03-31      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16492 | PA      | $16689.86     | 0.00%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A90393 FG 12/39 FIXED 5               | CUSIP: 312938NJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6382 | PA      | $6431.29      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8329 FR 06/53 FIXED 5               | CUSIP: 3132DWHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17116923 | PA      | $16971190.42  | 2.80%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52278 | PA      | $50950.38     | 0.01%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                 | BAYER US FINANCE LLC COMPANY GUAR 144A 11/26 6.125      | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201848.76    | 0.03%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                  | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5           | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    337212 | PA      | $311697.59    | 0.05%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL BB4481 GN 07/47 FIXED 5                       | CUSIP: 3617AU6S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146998 | PA      | $146296.89    | 0.02%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 782105 GN 03/36 FIXED 5                       | CUSIP: 36241KKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5458 | PA      | $5574.22      | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       991 | NC      | $-1564334.95  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 701692 GN 02/39 FIXED 5                       | CUSIP: 36296URM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22059 | PA      | $22531.14     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                     | SAN DIEGO G + E 1ST MORTGAGE 08/51 2.95                 | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1068514.77   | 0.18%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080046 G2 02/27 FLOATING VAR               | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2126 | PA      | $2120.48      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                 | JACKSON NATL LIFE GLOBAL SECURED 144A 01/30 5.35        | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303359.80    | 0.05%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/47 2.75                              | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7300000 | PA      | $5151347.64   | 0.85%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK 2022-BNK40                                                      | BANK BANK 2022 BNK40 A4                                 | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1393624.65   | 0.23%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                           | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75         | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1151303 | PA      | $1022826.90   | 0.17%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -415625 | PA      | $-415973.20   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 647841 GN 10/35 FIXED 5                       | CUSIP: 36292FWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2198 | PA      | $2242.91      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A48628 FG 05/36 FIXED 6               | CUSIP: 3128K9SR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2760 | PA      | $2861.28      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                           | US BANCORP SR UNSECURED 02/31 VAR                       | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608906.02    | 0.10%             | 2031-02-12      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADSTONE NET LEASE LLC                                             | BROADSTONE NET LEASE LLC COMPANY GUAR 11/32 5           | CUSIP: 11134GAA8<br>LEI: 54930089IBT6J4WBTI50 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98407.77     | 0.02%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                                  | PAYPAL HOLDINGS INC SR UNSECURED 04/35 5.1              | CUSIP: 70450YAT0<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298004.82    | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZT2021 FR 05/34 FIXED 3.5             | CUSIP: 3132AEG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4441 | PA      | $4359.16      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-45631.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/45 2.5                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    880000 | PA      | $617409.37    | 0.10%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 766177 FN 02/34 FIXED 5.5                     | CUSIP: 31404EFS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11849 | PA      | $11928.89     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 357628 FN 10/34 FIXED 5.5                     | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4582 | PA      | $4693.49      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/41 2.25                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $947857.42    | 0.16%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3756.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $5081671.88   | 0.84%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                            | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A     | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309348 | PA      | $311985.35    | 0.05%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080096 G2 07/27 FLOATING VAR               | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7826 | PA      | $7825.41      | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 660737 FN 07/31 FIXED 6.5                     | CUSIP: 31391ABE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       204 | PA      | $210.65       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/43 3.625                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $1964972.66   | 0.32%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                           | EQUINIX EU 2 FINANCING C COMPANY GUAR 11/30 4.6         | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198223.46    | 0.03%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 799982 FN 12/34 FIXED 5.5                     | CUSIP: 31405UXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346 | PA      | $347.61       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 745423 FN 04/36 FIXED VAR                     | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41498 | PA      | $43547.98     | 0.01%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZT1403 FR 11/33 FIXED 3.5             | CUSIP: 3132ADRY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103677 | PA      | $101892.17    | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6882875 | PA      | $-6899409.19  | -1.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03330 FG 09/37 FIXED 6               | CUSIP: 3128M5A75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50873 | PA      | $53453.27     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A97059 FG 02/41 FIXED 4               | CUSIP: 312945ZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105475 | PA      | $102054.77    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                         | GS MORTGAGE BACKED SECURITIES GSMBS 2022 GR2 A2 144A    | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1544037 | PA      | $1341907.06   | 0.22%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AC1841 FN 09/39 FIXED 4.5                     | CUSIP: 31417LBK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11821 | PA      | $11705.57     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C73627 FG 11/32 FIXED 6               | CUSIP: 31288CA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5493 | PA      | $5608.98      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                  | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58863 | PA      | $56701.28     | 0.01%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                   | VICI PROPERTIES LP SR UNSECURED 11/31 5.125             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198652.19    | 0.03%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                              | DAIMLER TRUCK FINAN NA COMPANY GUAR 144A 12/26 2        | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1675255.82   | 0.28%             | 2026-12-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                       | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A    | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130300 | PA      | $128175.18    | 0.02%             | 2034-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 778975 FN 06/34 FIXED 5.5                     | CUSIP: 31404UMY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       971 | PA      | $976.26       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A63809 FG 08/37 FIXED 6               | CUSIP: 3128KUGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8175 | PA      | $8590.46      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5693.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                               | EXTRA SPACE STORAGE LP COMPANY GUAR 01/33 4.95          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395558.21    | 0.07%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                  | ABBOTT LABORATORIES SR UNSECURED 03/36 4.65             | CUSIP: 002824BU3<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195648.58    | 0.03%             | 2036-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS INC                                           | ZIMMER BIOMET HOLDINGS ZIMMER BIOMET HOLDINGS           | CUSIP: 98956PAZ5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200082.36    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                  | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    124491 | PA      | $122719.99    | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3866 FN 12/34 FIXED 3.5                     | CUSIP: 31418DJL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6628 | PA      | $6488.81      | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2957.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 647734 GN 08/35 FIXED 5                       | CUSIP: 36292FSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1508 | PA      | $1536.03      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4163.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.99400 07/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-17212.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                      | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A    | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1415618.85   | 0.23%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZT2092 FR 06/34 FIXED 3.5             | CUSIP: 3132AEKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18565 | PA      | $18142.37     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3822 FN 09/29 FIXED 3.5                     | CUSIP: 31418DG89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56360 | PA      | $55908.08     | 0.01%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 11/41 0.00000                                    | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    180000 | PA      | $83097.36     | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                               | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34612 | PA      | $33824.34     | 0.01%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 04/31 VAR                   | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1116648.89   | 0.18%             | 2031-04-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                              | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A      | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1802171.88   | 0.30%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                     | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A          | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1726318 | PA      | $1705399.24   | 0.28%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                                   | DTE ENERGY CO SR UNSECURED 04/30 5.2                    | CUSIP: 233331BN6<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    500000 | PA      | $510113.59    | 0.08%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3559 FN 01/34 FIXED 3.5                     | CUSIP: 31418C5V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28866 | PA      | $28355.54     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                      | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237456 | PA      | $229714.31    | 0.04%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 06/30 2.25             | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1357509.02   | 0.22%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 667571 FN 11/32 FIXED 5.5                     | CUSIP: 31391HT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31193 | PA      | $31365.77     | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A3       | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1417608.50   | 0.23%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60933 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $38188.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                          | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    800000 | PA      | $805345.75    | 0.13%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/44 3.125                             | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2117496.09   | 0.35%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5             | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445 | PA      | $456.00       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                           | ARES STRATEGIC INCOME FU SR UNSECURED 144A 01/29 4.85   | CUSIP: 04020EAP2<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387471.18    | 0.06%             | 2029-01-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04626 FG 05/31 FIXED 6               | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $76.15        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL BP1218 GN 09/49 FIXED 4                       | CUSIP: 3617L7K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40560 | PA      | $38336.79     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                           | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396032.95    | 0.07%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G02168 FG 04/36 FIXED 6               | CUSIP: 3128LXMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23740 | PA      | $24942.02     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $4808982.27   | 0.79%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                        | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A               | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1771618.32   | 0.29%             | 2036-09-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168982 | PA      | $172599.63    | 0.03%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL Q06448 FG 02/42 FIXED 4               | CUSIP: 3132GRP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69924 | PA      | $67757.91     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                  | DOLP TRUST DOLP 2021 NYC A 144A                         | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1706917.82   | 0.28%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H18                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H18 FB          | CUSIP: 38376REZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    221088 | PA      | $221227.33    | 0.04%             | 2065-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                           | PACIFICORP 1ST MORTGAGE 02/34 5.45                      | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598036.86    | 0.10%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18900000 | PA      | $12180533.27  | 2.01%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                 | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99870.98     | 0.02%             | 2028-01-14      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA          | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    216195 | PA      | $216972.43    | 0.04%             | 2066-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS COMPANY                                            | KRAFT HEINZ FOODS CO COMPANY GUAR 03/32 5.2             | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202135.84    | 0.03%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                               | SEMPRA JR SUBORDINA 04/56 VAR                           | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301437.90    | 0.05%             | 2056-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 03/32 VAR                   | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    600000 | PA      | $596090.18    | 0.10%             | 2032-03-12      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                     | TENN VALLEY AUTHORITY SR UNSECURED 05/35 4.875          | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3500000 | PA      | $3600818.41   | 0.59%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 794994 FN 10/34 FIXED 5.5                     | CUSIP: 31405PGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300 | PA      | $303.70       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.71500 08/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8512.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                           | AVIATION CAPITAL GROUP SR UNSECURED 144A 04/30 5.125    | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $502824.07    | 0.08%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080354 G2 12/29 FLOATING VAR               | CUSIP: 36225CMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21375 | PA      | $21445.37     | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/46 2.875                             | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $1754906.26   | 0.29%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KEURIG GREEN MOUNTAIN (MAPLE PARENT HOLDINGS CORP)                   | MAPLE PARENT HLDS CO COMPANY GUAR 144A 03/29 4.75       | CUSIP: 56530KAA4<br>LEI: 254900J6FBJ1E892Q074 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200012.67    | 0.03%             | 2029-03-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/45 3                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12810000 | PA      | $9752613.22   | 1.61%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03698 FG 12/37 FIXED 6               | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34997 | PA      | $36771.73     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  JUN27 XCME 20270914                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       161 | NC      | $-186187.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                   | AMERICAN TOWER CORP SR UNSECURED 10/26 3.375            | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $795468.01    | 0.13%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 780165 FN 05/34 FIXED 5.5                     | CUSIP: 31404VW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24458 | PA      | $24619.45     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL FM1107 FN 06/49 FIXED VAR                     | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    407103 | PA      | $390107.95    | 0.06%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/43 2.875                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1383046.88   | 0.23%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3588 FN 02/34 FIXED 3.5                     | CUSIP: 31418C7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2695 | PA      | $2646.45      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25100000 | PA      | $24725306.20  | 4.08%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                          | SOUTHERN CO SR UNSECURED 04/30 3.7                      | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1354988.47   | 0.22%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.56900 08/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $14843.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/28 1.5                               | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4800000 | PA      | $4520531.23   | 0.75%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -665 | NC      | $1781674.65   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247180 | PA      | $252751.65    | 0.04%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -5319000 | PA      | $-5335666.20  | -0.88%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                   | AMERICAN TOWER CORP SR UNSECURED 11/28 5.8              | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    800000 | PA      | $825140.51    | 0.14%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308107 | PA      | $1163456.74   | 0.19%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                               | EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    133000 | PA      | $132723.43    | 0.02%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $50047.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                  | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1827672 | PA      | $1773433.08   | 0.29%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 782213 GN 12/36 FIXED 5                       | CUSIP: 36241KN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45844 | PA      | $46821.07     | 0.01%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                       | MORGAN STANLEY SR UNSECURED 04/30 VAR                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514438.67    | 0.08%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL FM3100 FN 02/35 FIXED VAR                     | CUSIP: 3140X6NS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19110 | PA      | $18725.89     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)               | CBRE SERVICES INC COMPANY GUAR 06/30 4.8                | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |    500000 | PA      | $501474.23    | 0.08%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63019 | PA      | $58579.88     | 0.01%             | 2036-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                | BX TRUST BX 2021 21M A 144A                             | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505780 | PA      | $505528.85    | 0.08%             | 2036-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP INC                                         | CITIZENS FINANCIAL GROUP SR UNSECURED 04/35 VAR         | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1393928.71   | 0.23%             | 2035-04-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                            | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9         | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200242.00    | 0.03%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                 | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $865785.13    | 0.14%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                              | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    600000 | PA      | $603994.17    | 0.10%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A77766 FG 06/38 FIXED 6               | CUSIP: 3128LBTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    255365 | PA      | $267600.84    | 0.04%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3610 FN 03/34 FIXED 3.5                     | CUSIP: 31418DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21082 | PA      | $20697.11     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NLG GLOBAL FUNDING                                                   | NLG GLOBAL FUNDING SECURED 144A 01/30 5.4               | CUSIP: 62915W2A0<br>LEI: 635400SKBQOWEJZLTW68 | Long             | DBT              | CORP              | US        |    500000 | PA      | $511946.19    | 0.08%             | 2030-01-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| SELECTIVE INSURANCE GROUP INC                                        | SELECTIVE INSURANCE GROU SR UNSECURED 04/35 5.9         | CUSIP: 816300AJ6<br>LEI: 549300R3WGJWLE40R258 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206212.86    | 0.03%             | 2035-04-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1918007.81   | 0.32%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/44 4.5                               | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3539642.59   | 0.58%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26700000 | PA      | $22312230.40  | 3.68%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04216 FG 12/37 FIXED 5.5             | CUSIP: 3128M6AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1049 | PA      | $1084.02      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A63820 FG 08/37 FIXED 6               | CUSIP: 3128KUG50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       459 | PA      | $482.57       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 714055 GN 05/39 FIXED 5                       | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28430 | PA      | $29038.77     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3364031.23   | 0.56%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 844615 FN 12/35 FIXED 5.5                     | CUSIP: 31407YK40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7138 | PA      | $7350.12      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                          | PIMCO MORTGAGE BACKED SECURITI PIMCO MBS ACTIVE ETF     | CUSIP: 72201R569<br>LEI: 2549001WTPP9QU7A6W04 | Long             | EC               | RF                | US        |    700428 | NS      | $34741228.80  | 5.74%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 962003 FN 03/38 FIXED 5.5                     | CUSIP: 31414CGL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5628 | PA      | $5779.17      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                   | RGA GLOBAL FUNDING SECURED 144A 12/31 5.05              | CUSIP: 76209PAF0<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400264.96    | 0.07%             | 2031-12-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                              | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6931 | PA      | $6575.05      | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                  | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A              | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1800000 | PA      | $1796872.95   | 0.30%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                              | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A9 144A      | CUSIP: 90355RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268353 | PA      | $1190272.85   | 0.20%             | 2051-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3769 FN 09/34 FIXED 3.5                     | CUSIP: 31418DFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3470 | PA      | $3398.74      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5532                                              | FREDDIE MAC FHR 5532 FA                                 | CUSIP: 3137HKPJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    505546 | PA      | $509001.84    | 0.08%             | 2055-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18059.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4           | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1639882.61   | 0.27%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682185 | PA      | $667141.58    | 0.11%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                   | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95              | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1614535.04   | 0.27%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3756.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888890 FN 10/37 FIXED VAR                     | CUSIP: 31410GRK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577 | PA      | $611.95       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                             | CONSTELLATION BRANDS INC SR UNSECURED 01/29 4.8         | CUSIP: 21036PBQ0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    300000 | PA      | $301871.99    | 0.05%             | 2029-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                              | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A      | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753495 | PA      | $753186.28    | 0.12%             | 2052-06-17      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  MAR27 XCME 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       161 | NC      | $-214756.29   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888223 FN 01/36 FIXED VAR                     | CUSIP: 31410FYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10888 | PA      | $11225.94     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                   | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15        | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    794735 | PA      | $778978.39    | 0.13%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17350872 | PA      | $17284230.94  | 2.85%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    322744 | PA      | $338747.36    | 0.06%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LLC                                                 | EMERA US FINANCE LLC COMPANY GUAR 04/29 4.5             | CUSIP: 29103HAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $199801.50    | 0.03%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.64750 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7743.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 555417 FN 05/33 FIXED VAR                     | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $449.81       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.95561 02/11/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $104300.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                      | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75791 | PA      | $39681.28     | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G06238 FG 01/38 FIXED 6               | CUSIP: 3128M8HP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106594 | PA      | $111994.57    | 0.02%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 6                                             | SEQUOIA MORTGAGE TRUST SEMT 6 A                         | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24382 | PA      | $24209.27     | 0.00%             | 2027-04-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A92821 FG 07/40 FIXED 5               | CUSIP: 312941D20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18645 | PA      | $18877.36     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                            | DUKE ENERGY CAROLINAS 1ST MORTGAGE 04/31 2.55           | CUSIP: 26442CBB9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1464175.14   | 0.24%             | 2031-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                | GEORGIA POWER CO SR UNSECURED 03/51 3.25                | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1004528.49   | 0.17%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15489 | PA      | $15523.95     | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080076 G2 05/27 FLOATING VAR               | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1499 | PA      | $1499.74      | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $4809853.51   | 0.79%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-12590.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                              | CENTERPOINT ENER HOUSTON GENL REF MOR 03/30 4.8         | CUSIP: 15189XBG2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202670.27    | 0.03%             | 2030-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                           | ABBVIE INC SR UNSECURED 03/31 4.125                     | CUSIP: 00287YEE5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394282.93    | 0.07%             | 2031-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03339 FG 08/37 FIXED 6               | CUSIP: 3128M5BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21210 | PA      | $22285.19     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SALES TAX SECURITIZATION CORPORATION                                 | SALES TAX SECURITIZATION CORP STSGEN 01/34 FIXED 3.057  | CUSIP: 79467BDH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1400000 | PA      | $1254703.80   | 0.21%             | 2034-01-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-2831.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AL5548 FN 05/38 FLOATING VAR                  | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    162084 | PA      | $168546.63    | 0.03%             | 2038-05-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       197 | NC      | $21578.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4010 | PA      | $3982.51      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                     | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975532 | PA      | $938853.51    | 0.16%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORPORATION                                              | BLACK HILLS CORP SR UNSECURED 01/31 4.55                | CUSIP: 092113AY5<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    900000 | PA      | $890793.64    | 0.15%             | 2031-01-31      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3489 FN 10/33 FIXED 3.5                     | CUSIP: 31418C2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90068 | PA      | $88507.33     | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-UBS12                            | MORGAN STANLEY CAPITAL I TRUST MSC 2016 UB12 ASB        | CUSIP: 61691EAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471822 | PA      | $470017.53    | 0.08%             | 2049-12-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91310 FG 06/30 FIXED 4               | CUSIP: 3128P7N33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10648 | PA      | $10591.93     | 0.00%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                     | LAZARD GROUP LLC SR UNSECURED 03/31 6                   | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311786.72    | 0.05%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/29 6.298                  | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $420046.98    | 0.07%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BN6656 FN 05/34 FIXED 3.5                     | CUSIP: 3140JPME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    439959 | PA      | $431808.19    | 0.07%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                       | OMEGA HLTHCARE INVESTORS COMPANY GUAR 01/28 4.75        | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    600000 | PA      | $599722.70    | 0.10%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                   | PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/35 5.15         | CUSIP: 744448DC2<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199443.53    | 0.03%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04219 FG 04/38 FIXED 5.5             | CUSIP: 3128M6AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2254 | PA      | $2321.76      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZT1872 FR 04/34 FIXED 3.5             | CUSIP: 3132AECH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45656 | PA      | $44816.08     | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                                   | CNO GLOBAL FUNDING SECURED 144A 06/27 5.875             | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1216855.48   | 0.20%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                           | FIDELITY NATL INFO SERV SR UNSECURED 03/28 4.45         | CUSIP: 31620MCA2<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199495.67    | 0.03%             | 2028-03-10      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                 | LXP INDUSTRIAL TRUST SR UNSECURED 11/28 6.75            | CUSIP: 529043AF8<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    149000 | PA      | $156307.58    | 0.03%             | 2028-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICALS                                            | REGENERON PHARMACEUTICAL SR UNSECURED 09/30 1.75        | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1418621.10   | 0.23%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080107 G2 08/27 FLOATING VAR               | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10025 | PA      | $10082.75     | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 781766 GN 07/34 FIXED 5                       | CUSIP: 36225B6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2732 | PA      | $2775.17      | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2686 | PA      | $2733.50      | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORPORATION                                          | PROTECTIVE LIFE CORP SR UNSECURED 144A 01/31 4.7        | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    700000 | PA      | $694082.59    | 0.11%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11516.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04222 FG 04/38 FIXED 5.5             | CUSIP: 3128M6AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7537 | PA      | $7789.38      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AMERICA INC                                    | AMCOR FLEXIBLES NORTH AM COMPANY GUAR 03/28 4.8         | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    500000 | PA      | $503325.99    | 0.08%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18248.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                              | GA GLOBAL FUNDING TRUST SECURED 144A 09/30 4.5          | CUSIP: 36143L2V6<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    350000 | PA      | $337222.90    | 0.06%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR            | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1561959.15   | 0.26%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                     | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A     | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2076449.60   | 0.34%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SD8225 FR 07/52 FIXED 3               | CUSIP: 3132DWD67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29440514 | PA      | $25932155.49  | 4.28%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                       | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36171 | PA      | $16576.78     | 0.00%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/29 3.25                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4900000 | PA      | $4811857.43   | 0.79%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                         | SYNOPSYS INC SR UNSECURED 04/30 4.85                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302286.01    | 0.05%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                             | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5         | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297793.00    | 0.05%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                      | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A              | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164071 | PA      | $162601.46    | 0.03%             | 2040-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5             | CUSIP: 3128M5W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       557 | PA      | $571.85       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER COMPANY                                                | ALABAMA POWER CO SR UNSECURED 09/30 1.45                | CUSIP: 010392FU7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $966533.84    | 0.16%             | 2030-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                   | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415863 | PA      | $1367634.87   | 0.23%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $12139.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PARTNERS                                        | SIXTH STREET LENDING PAR SR UNSECURED 03/29 6.5         | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304236.41    | 0.05%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                   | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1301033 | PA      | $1135780.15   | 0.19%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.84598 03/20/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $40268.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19700000 | PA      | $20058445.05  | 3.31%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                           | COPT DEFENSE PROP LP COMPANY GUAR 10/30 4.5             | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98749.99     | 0.02%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZS7122 FR 08/27 FIXED 3.5             | CUSIP: 3132A74F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.36        | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       604 | PA      | $599.67       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL CA4067 FN 08/34 FIXED 3.5                     | CUSIP: 3140QBQV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3326 | PA      | $3257.24      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                             | SCE RECOVERY FUNDING LLC SR SECURED 03/36 4.453         | CUSIP: 78433LAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $198161.21    | 0.03%             | 2036-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV2                                                        | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV2 A9 144A      | CUSIP: 90354TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245196 | PA      | $1169892.55   | 0.19%             | 2051-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1709780.44   | 0.28%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                        | BGC GROUP INC SR UNSECURED 04/30 6.15                   | CUSIP: 05555LAD3<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    400000 | PA      | $407054.25    | 0.07%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $35100.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196063.14    | 0.03%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL FM1842 FN 06/34 FIXED VAR                     | CUSIP: 3140X5BL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26624 | PA      | $26137.77     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                           | MARRIOTT INTERNATIONAL SR UNSECURED 04/32 5.1           | CUSIP: 571903BT9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406612.57    | 0.07%             | 2032-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 04/28 1.25                              | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2562679.67   | 0.42%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 985720 FN 06/38 FIXED 5.5                     | CUSIP: 31415QAV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1417 | PA      | $1424.38      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 804450 FN 12/34 FIXED 5.5                     | CUSIP: 31406AWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2430 | PA      | $2459.38      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                              | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A     | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370031 | PA      | $1188149.67   | 0.20%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT COMPANY                                        | FLORIDA POWER + LIGHT CO 1ST MORTGAGE 12/47 3.7         | CUSIP: 341081FP7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $970918.55    | 0.16%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 940804 FN 07/37 FIXED 6                       | CUSIP: 31413BU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103944 | PA      | $108799.47    | 0.02%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVANGRID INC                                                         | AVANGRID INC SR UNSECURED 06/29 3.8                     | CUSIP: 05351WAB9<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1073935.36   | 0.18%             | 2029-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LENDING FUND                                      | BLACKSTONE SECURED LEND SR UNSECURED 09/29 5.25         | CUSIP: 09261XAM4<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294208.49    | 0.05%             | 2029-09-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/45 4.625                             | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1639968.75   | 0.27%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                                   | ESSEX PORTFOLIO LP COMPANY GUAR 04/35 5.375             | CUSIP: 29717PBB2<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201753.23    | 0.03%             | 2035-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMAZONCOM INC                                                        | AMAZON.COM INC SR UNSECURED 03/33 4.55                  | CUSIP: 023135DE3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $990667.24    | 0.16%             | 2033-03-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H07                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H07 FG          | CUSIP: 38376RY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90451 | PA      | $90416.07     | 0.01%             | 2067-02-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AH1515 FN 12/30 FIXED 4                       | CUSIP: 3138A2VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37914 | PA      | $37632.91     | 0.01%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                    | CAPITAL ONE FINANCIAL CO SR UNSECURED 09/31 VAR         | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1080354.07   | 0.18%             | 2031-09-11      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                             | AT+T INC SR UNSECURED 04/33 4.75                        | CUSIP: 00206RNG3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    600000 | PA      | $594493.11    | 0.10%             | 2033-04-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                 | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240588 | PA      | $1078926.11   | 0.18%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    725501 | PA      | $729343.35    | 0.12%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZT1732 FR 02/34 FIXED 3.5             | CUSIP: 3132AD4R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9413 | PA      | $9244.79      | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                  | SYNCHRONY FINANCIAL SR UNSECURED 03/31 VAR              | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    700000 | PA      | $700158.05    | 0.12%             | 2031-03-06      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -291 | NC      | $243370.54    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                            | FANNIE MAE FNR 2024 54 FC                               | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    825294 | PA      | $829714.99    | 0.14%             | 2054-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.81358 03/10/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55839.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 782011 GN 12/35 FIXED 5                       | CUSIP: 36241KGU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6521 | PA      | $6527.43      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                                    | ITC HOLDINGS CORP SR UNSECURED 144A 04/31 4.875         | CUSIP: 465685AU9<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300273.08    | 0.05%             | 2031-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL Q06186 FG 02/42 FIXED 4               | CUSIP: 3132GRF30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34874 | PA      | $33700.57     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $28050.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                 | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1867121.07   | 0.31%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H31                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H31 FT          | CUSIP: 38376RMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16759 | PA      | $16826.33     | 0.00%             | 2065-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                           | HPS CORPORATE LENDING FU SR UNSECURED 144A 06/27 5.3    | CUSIP: 40440VAL9<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497685.59    | 0.08%             | 2027-06-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LINCOLN FINANCIAL GLOBAL FUNDING                                     | LINCOLN FIN GLBL FUNDING SECURED 144A 08/30 4.625       | CUSIP: 53359KAC5<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    700000 | PA      | $693426.01    | 0.11%             | 2030-08-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                     | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175493 | PA      | $1166165.74   | 0.19%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/28 1.25                              | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2442121.08   | 0.40%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $319963.93    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MPLX LP                                                              | MPLX LP SR UNSECURED 04/35 5.4                          | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499744.62    | 0.08%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                           | HPS CORPORATE LENDING FU SR UNSECURED 144A 09/28 4.9    | CUSIP: 40440VAQ8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194964.44    | 0.03%             | 2028-09-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $9850.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/28 4.625                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $4688585.93   | 0.77%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/34 4                                 | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36500000 | PA      | $36009531.25  | 5.95%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25336 | PA      | $24295.00     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -17 | NC      | $-6326.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELECTRIC POWER COMPANY                                  | SOUTHWESTERN ELEC POWER SR UNSECURED 09/28 4.1          | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1391531.54   | 0.23%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                            | FANNIE MAE FNR 2024 38 AF                               | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    963868 | PA      | $964930.87    | 0.16%             | 2047-12-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/44 3.375                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $408808.60    | 0.07%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H06                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H06 FD          | CUSIP: 38376RSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    338351 | PA      | $340290.78    | 0.06%             | 2065-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CONVATEC (180 MEDICAL INC)                                           | 180 MEDICAL INC COMPANY GUAR 144A 10/35 5.3             | CUSIP: 682357AB4<br>LEI: 254900ZB648OPWVFVX59 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196560.76    | 0.03%             | 2035-10-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/43 4.375                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14700000 | PA      | $13879728.53  | 2.29%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G05337 FG 12/38 FIXED 5.5             | CUSIP: 3128M7HN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2579 | PA      | $2649.01      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST ELECTRIC & GAS CORP                                      | NY STATE ELECTRIC + GAS SR UNSECURED 144A 10/31 2.15    | CUSIP: 649840CT0<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1486329.74   | 0.25%             | 2031-10-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 04/28 3.5                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4472050.77   | 0.74%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03781 FG 01/38 FIXED 6               | CUSIP: 3128M5RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5038 | PA      | $5294.18      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/47 2.75                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1840617.19   | 0.30%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9200000 | PA      | $8156734.35   | 1.35%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/34 6.95          | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $657357.81    | 0.11%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                    | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A          | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104077 | PA      | $104124.05    | 0.02%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 602434 GN 03/35 FIXED 5                       | CUSIP: 36200JHK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3408 | PA      | $3499.61      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $44798.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AA7171 FN 05/39 FIXED 4.5                     | CUSIP: 31416Q6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15980 | PA      | $15823.32     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $484339.84    | 0.08%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR22        | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR22 3A1       | CUSIP: 22541QRL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313629 | PA      | $317096.28    | 0.05%             | 2033-09-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/43 3.75                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1126835.94   | 0.19%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                    | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1200580.70   | 0.20%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/44 3.625                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1274648.43   | 0.21%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                     | WILLIAMS COMPANIES INC SR UNSECURED 11/29 4.8           | CUSIP: 969457CL2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    600000 | PA      | $605593.56    | 0.10%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                             | AMERICAN HOMES 4 RENT SR UNSECURED 06/30 4.95           | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200806.01    | 0.03%             | 2030-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA0804 FN 07/31 FIXED 4                       | CUSIP: 31417Y3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15308 | PA      | $15196.38     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/1.78750 05/03/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-217677.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                        | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12526 | PA      | $11883.50     | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                             | AMERICAN EXPRESS CO SR UNSECURED 04/31 VAR              | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101688.29    | 0.02%             | 2031-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/41 4.75                              | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $160937.50    | 0.03%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -72166300 | PA      | $-72362792.79 | -11.95%           |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF2 A1 144A   | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714520 | PA      | $700622.59    | 0.12%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3084 | PA      | $3093.40      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                                | ENTERGY LOUISIANA LLC 1ST MORTGAGE 04/36 4.9            | CUSIP: 29364WBR8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97592.26     | 0.02%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 03/29 2.375                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5800000 | PA      | $5563355.48   | 0.92%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 783771 GN 04/41 FIXED 5                       | CUSIP: 3622A2FL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43888 | PA      | $44827.77     | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 602484 GN 12/35 FIXED 5                       | CUSIP: 36200JJ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3614 | PA      | $3669.98      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                            | INVITATION HOMES OP COMPANY GUAR 01/33 4.95             | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488537.21    | 0.08%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4680.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                     | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A          | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1309676 | PA      | $1091270.60   | 0.18%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3632 FN 04/34 FIXED 3.5                     | CUSIP: 31418DBA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1886 | PA      | $1851.31      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 633286 GN 11/35 FIXED 5                       | CUSIP: 36291NRF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1296 | PA      | $1292.96      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                             | AMERICAN EXPRESS CO SR UNSECURED 04/36 VAR              | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103396.97    | 0.02%             | 2036-04-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 05/42 0.00000                                    | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $121026.03    | 0.02%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                             | STATE STREET CORP SR UNSECURED 04/30 4.834              | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101597.53    | 0.02%             | 2030-04-24      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/4.00000 06/17/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $84407.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                              | ARTHUR J GALLAGHER + CO SR UNSECURED 12/29 4.85         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $303385.74    | 0.05%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/2.85000 08/29/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-47061.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB          | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    534488 | PA      | $541016.00    | 0.09%             | 2067-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59773 | PA      | $60463.25     | 0.01%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                              | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1445880.30   | 0.24%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    494249 | PA      | $463478.60    | 0.08%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04719 FG 01/38 FIXED 5.5             | CUSIP: 3128M6SG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2431 | PA      | $2512.74      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                         | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    707000 | PA      | $600964.07    | 0.10%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                        | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV4 A3 144A      | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1199162 | PA      | $999185.85    | 0.17%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS COMPANY                                              | AMEREN ILLINOIS CO 1ST MORTGAGE 11/30 1.55              | CUSIP: 02361DAV2<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1316397.20   | 0.22%             | 2030-11-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32450000 | PA      | $31287814.61  | 5.17%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                  | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45    | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1554946.92   | 0.26%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 649265 GN 11/35 FIXED 5                       | CUSIP: 36292HJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3046 | PA      | $3096.36      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                     | LPL HOLDINGS INC COMPANY GUAR 04/28 4.9                 | CUSIP: 50212YAN4<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200705.40    | 0.03%             | 2028-04-03      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                                             | MET TOWER GLOBAL FUNDING SR SECURED 144A 09/30 4.2      | CUSIP: 58989V2L7<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    500000 | PA      | $491780.81    | 0.08%             | 2030-09-16      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G08809 FG 04/48 FIXED 4               | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97769 | PA      | $93806.60     | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6400000 | PA      | $4698750.02   | 0.78%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBAL HOLDINGS LLC                               | CITADEL SECURITIES GLOBA SR SECURED 144A 01/32 5.125    | CUSIP: 17289RAE6<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297769.65    | 0.05%             | 2032-01-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV2                                    | HUNDRED ACRE WOOD TRUST HAWT 2021 INV2 A11 144A         | CUSIP: 44555PAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085804 | PA      | $1016455.92   | 0.17%             | 2051-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AH1481 FN 12/40 FIXED 4.5                     | CUSIP: 3138A2UF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144482 | PA      | $142962.53    | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                  | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29270 | PA      | $28620.67     | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                | GLP CAPITAL LP / FIN II COMPANY GUAR 11/37 5.75         | CUSIP: 361841AW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $871918.56    | 0.14%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                 | LAS VEGAS SANDS CORP SR UNSECURED 06/27 5.9             | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1519861.83   | 0.25%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 06/30 3.75                              | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3080564.46   | 0.51%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.61882 03/01/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $46079.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL CORPORATION                                    | PINNACLE WEST CAPITAL SR UNSECURED 06/26 VAR            | CUSIP: 723484AL5<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    700000 | PA      | $700531.33    | 0.12%             | 2026-06-10      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1610250 | PA      | $-1612604.55  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/30 4.625                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3702796.88   | 0.61%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                    | DELL INT LLC / EMC CORP COMPANY GUAR 04/28 4.75         | CUSIP: 24703TAL0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $302222.85    | 0.05%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 10/28 4.875                             | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2666675.78   | 0.44%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                              | GOLDMAN SACHS GROUP INC SR UNSECURED 04/30 VAR          | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4230683.32   | 0.70%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-2300.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7600000 | PA      | $6264359.36   | 1.03%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES CO                                                 | LIBERTY UTILITIES CO SR UNSECURED 144A 01/29 5.577      | CUSIP: 531542AA6<br>LEI: 549300UN1FEYPC5BKW09 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2040865.90   | 0.34%             | 2029-01-31      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                                 | CANTOR FITZGERALD LP SR UNSECURED 144A 12/28 7.2        | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |    500000 | PA      | $519676.83    | 0.09%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                    | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35     | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    473014 | PA      | $459517.42    | 0.08%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/42 3                                 | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $318937.50    | 0.05%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST 2021-A                                | MARINER FINANCE ISSUANCE TRUST MFIT 2021 AA A 144A      | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665808 | PA      | $1646921.16   | 0.27%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/30 3.75                              | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2584562.50   | 0.43%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G08793 FG 12/47 FIXED 4               | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28661 | PA      | $27499.32     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 649509 GN 10/35 FIXED 5                       | CUSIP: 36292HR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2673 | PA      | $2712.30      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                   | META PLATFORMS INC SR UNSECURED 08/54 5.4               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181293.28    | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                     | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27288 | PA      | $24404.61     | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 985525 FN 06/38 FIXED 5.5                     | CUSIP: 31415PYW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     73501 | PA      | $75735.18     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                | VICI PROPERTIES / NOTE COMPANY GUAR 144A 12/26 4.25     | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $299230.78    | 0.05%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                        | SUTTER HEALTH UNSECURED 08/32 5.213                     | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    800000 | PA      | $819712.76    | 0.14%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                | ATHENE GLOBAL FUNDING SR SECURED 144A 03/27 5.516       | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    800000 | PA      | $806772.82    | 0.13%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                           | PACIFICORP JR SUBORDINA 09/55 VAR                       | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    400000 | PA      | $382525.56    | 0.06%             | 2055-09-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $175698.39    | 0.03%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91325 FG 08/30 FIXED 4               | CUSIP: 3128P7PJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16288 | PA      | $16204.14     | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 888967 FN 12/37 FIXED VAR                     | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39045 | PA      | $40984.31     | 0.01%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 901486 FN 11/36 FIXED 6                       | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46092 | PA      | $47255.69     | 0.01%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/4.08000 06/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27226.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $377.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/45 4.75                              | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5209113.27   | 0.86%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/44 4.625                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17900000 | PA      | $17324542.92  | 2.86%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 11A1       | CUSIP: 07384M3X8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156025 | PA      | $159908.77    | 0.03%             | 2035-01-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QY0963 FR 04/55 FIXED 6.5             | CUSIP: 31426KB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    398352 | PA      | $412335.09    | 0.07%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL INC                                            | EVERGY KANSAS CENTRAL 1ST MORTGAGE 03/35 5.25           | CUSIP: 30036FAD3<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302533.21    | 0.05%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                              | ENTERGY MISSISSIPPI LLC 1ST MORTGAGE 09/33 5            | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    800000 | PA      | $803478.03    | 0.13%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL BX9727 FN 04/53 FIXED 5                       | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    612081 | PA      | $606370.40    | 0.10%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.75000 06/17/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $79537.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 654184 FN 10/32 FIXED 6                       | CUSIP: 31390RXM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       398 | PA      | $406.10       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                   | UNITED AIR 2016 1 AA PTT PASS THRU CE 01/30 3.1         | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    772086 | PA      | $752516.83    | 0.12%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                          | EQUINIX INC SR UNSECURED 05/31 2.5                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    500000 | PA      | $446481.61    | 0.07%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-367516.69   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/31 6.388                  | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    400000 | PA      | $426706.49    | 0.07%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191856.50    | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $1922437.49   | 0.32%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-56091.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5             | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14989 | PA      | $15017.32     | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 688141 GN 12/38 FIXED 5                       | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    261233 | PA      | $260996.13    | 0.04%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                          | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     49034 | PA      | $477544.95    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3641.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                 | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/31 FIXED 2.951 | CUSIP: 88880LAN3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $914491.10    | 0.15%             | 2031-06-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 741620 FN 10/33 FIXED 5.5                     | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       402 | PA      | $404.28       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                     | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1754588 | PA      | $1755155.54   | 0.29%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                    | BROWN + BROWN INC SR UNSECURED 06/34 5.65               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    600000 | PA      | $606159.62    | 0.10%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                          | BANK OF AMERICA CORP SR UNSECURED 09/27 VAR             | CUSIP: 06051GLV9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302107.98    | 0.05%             | 2027-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $10243.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.50000 06/17/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $141632.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -251625 | PA      | $-251783.52   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3609                                                     | FREDDIE MAC FHR 3609 F                                  | CUSIP: 31398LN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    222074 | PA      | $222997.05    | 0.04%             | 2036-08-15      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/30 4.375                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7200000 | PA      | $7331343.77   | 1.21%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $708060.05    | 0.12%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                           | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74793 | PA      | $73552.36     | 0.01%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3438 FN 08/33 FIXED 3.5                     | CUSIP: 31418CZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97291 | PA      | $95629.16     | 0.02%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV3                             | ONSLOW BAY FINANCIAL LLC OBX 2022 INV3 A1 144A          | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196313 | PA      | $1041256.12   | 0.17%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA6042 G2 07/49 FIXED 5                    | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    690880 | PA      | $696345.48    | 0.11%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                     | BRIXMOR OPERATING PART SR UNSECURED 02/34 5.5           | CUSIP: 11120VAM5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406526.88    | 0.07%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-PHH      | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 PHH A 144A    | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453629 | PA      | $966692.03    | 0.16%             | 2035-06-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 932511 FN 02/40 FIXED 5.5                     | CUSIP: 31412RAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2803 | PA      | $2866.40      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL               | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A    | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1577893 | PA      | $1549794.68   | 0.26%             | 2038-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL COMPANY                                             | EASTMAN CHEMICAL CO SR UNSECURED 02/31 4.5              | CUSIP: 277432BB5<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195634.40    | 0.03%             | 2031-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 08/42 0.00000                                    | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1970000 | PA      | $869076.79    | 0.14%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6200000 | PA      | $6115438.32   | 1.01%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 05/54 4.625                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1812125.00   | 0.30%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608571.55    | 0.10%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C4 MORTGAGE TRUST                                          | BMO MORTGAGE TRUST BMO 2024 5C4 A3                      | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1258187.76   | 0.21%             | 2057-05-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                      | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC           | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1023588.61   | 0.17%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1480200.09   | 0.24%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1           | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1242113.17   | 0.21%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 676102 FN 12/32 FIXED 5.5                     | CUSIP: 31391TDF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.59         | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7203000 | PA      | $-7219550.89  | -1.19%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                   | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A        | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333276 | PA      | $333800.16    | 0.06%             | 2040-07-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/42 2.375                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1239472.65   | 0.20%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                | GLP CAPITAL LP / FIN II COMPANY GUAR 03/36 5.625        | CUSIP: 361841AX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $97352.32     | 0.02%             | 2036-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRICAL CO                                          | MASSACHUSETTS ELECTRIC SR UNSECURED 144A 11/30 1.729    | CUSIP: 575634AU4<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1307997.26   | 0.22%             | 2030-11-24      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 641582 GN 08/35 FIXED 5                       | CUSIP: 36291XXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3548 | PA      | $3574.43      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8184.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                         | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044616 | PA      | $1053237.66   | 0.17%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL CB3122 FN 03/52 FIXED 3                       | CUSIP: 3140QNPG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3238919 | PA      | $2853374.55   | 0.47%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2 LLC                                | ENTERPRISE FLEET FINANCING LLC EFF 2024 2 A2 144A       | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266600 | PA      | $266974.89    | 0.04%             | 2026-12-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174000 | PA      | $159346.53    | 0.03%             | 2056-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                        | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/31 5.42        | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392939.72    | 0.06%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL CORP                                                 | BLOCK FINANCIAL LLC COMPANY GUAR 09/32 5.375            | CUSIP: 093662AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $873876.74    | 0.14%             | 2032-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE1265 FN 09/41 FIXED 4                       | CUSIP: 31419BMP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112091 | PA      | $108213.57    | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                 | JPMORGAN CHASE + CO SR UNSECURED 04/31 VAR              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1833019.33   | 0.30%             | 2031-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 02/42 0.00000                                    | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $172830.75    | 0.03%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                              | BOOZ ALLEN HAMILTON INC COMPANY GUAR 144A 09/28 3.875   | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194912.62    | 0.03%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FD          | CUSIP: 38376RLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93797 | PA      | $93947.10     | 0.02%             | 2065-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04170 FG 04/38 FIXED 6               | CUSIP: 3128M56F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21533 | PA      | $22451.36     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                    | GXO LOGISTICS INC SR UNSECURED 05/29 6.25               | CUSIP: 36262GAF8<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1452462.38   | 0.24%             | 2029-05-06      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 10/30 4.875                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3600000 | PA      | $3740695.31   | 0.62%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 781830 GN 11/34 FIXED 5                       | CUSIP: 36241KA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4547 | PA      | $4613.04      | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                   | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A        | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508320.00    | 0.08%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G05922 FG 07/39 FIXED 5.5             | CUSIP: 3128M74F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7584 | PA      | $7804.53      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                  | GLOBAL PAYMENTS INC SR UNSECURED 11/28 4.5              | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297163.41    | 0.05%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.55000 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19965.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $4044472.64   | 0.67%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/34 6.528                  | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $217951.94    | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                  | CENTENE CORP SR UNSECURED 07/28 2.45                    | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    400000 | PA      | $372755.40    | 0.06%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INC (AKA: PSEG INC)                  | PUBLIC SERVICE ENTERPRIS SR UNSECURED 04/34 5.45        | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304667.27    | 0.05%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA          | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    258273 | PA      | $259002.84    | 0.04%             | 2066-08-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034    | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1677518 | PA      | $1629842.40   | 0.27%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL MA3658 FN 05/34 FIXED 3.5                     | CUSIP: 31418DB43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118690 | PA      | $116487.83    | 0.02%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11500000 | PA      | $10085587.17  | 1.67%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                 | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A 144A      | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270747 | PA      | $1222740.71   | 0.20%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA          | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188639 | PA      | $189305.18    | 0.03%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 255364 FN 09/34 FIXED 6                       | CUSIP: 31371LTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       763 | PA      | $789.97       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                                | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A           | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1412480.58   | 0.23%             | 2029-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BN18                                                       | BANK BANK 2019 BN18 ASB                                 | CUSIP: 065402BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449649 | PA      | $444443.42    | 0.07%             | 2062-05-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                    | SYSCO CORPORATION COMPANY GUAR 09/30 5.1                | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201643.55    | 0.03%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                | ATHENE GLOBAL FUNDING SR SECURED 144A 05/26 5.62        | CUSIP: 04685A3V1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300260.41    | 0.05%             | 2026-05-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/64 7.008                  | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $221310.65    | 0.04%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                         | BROADCOM INC SR UNSECURED 144A 11/36 3.187              | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    500000 | PA      | $418076.43    | 0.07%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                   | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1191414 | PA      | $1036160.03   | 0.17%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04589 FG 08/37 FIXED 5.5             | CUSIP: 3128M6NE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1591 | PA      | $1644.91      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2504                                                     | FREDDIE MAC FHR 2504 Z                                  | CUSIP: 31392UEE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28565 | PA      | $29440.71     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                  | OCEANVIEW MORTGAGE TRUST BVINV 2021 5 A1 144A           | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260292 | PA      | $1096124.99   | 0.18%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                  | NEXTERA ENERGY CAPITAL COMPANY GUAR 05/27 3.55          | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1487291.15   | 0.25%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20300000 | PA      | $19158287.81  | 3.16%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COBANK ACB (AKA: COBANK AB)                                          | COBANK ACB JR SUBORDINA 12/99 VAR                       | CUSIP: 19075QAF9<br>LEI: P0J8I7M2E0A77CKF1705 | Long             | EP               | NUSS              | US        |   2200000 | NS      | $2249764.00   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1532.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                                 | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV2 A3 144A     | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082315 | PA      | $941331.32    | 0.16%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04701 FG 01/38 FIXED 6               | CUSIP: 3128M6RW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11446 | PA      | $11992.03     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                    | HEALTHPEAK OP LLC COMPANY GUAR 07/29 3.5                | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1257890.52   | 0.21%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                   | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7         | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1389589 | PA      | $1280069.02   | 0.21%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 08/41 0.00000                                    | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370000 | PA      | $173495.36    | 0.03%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A65652 FG 09/37 FIXED 6               | CUSIP: 3128KWH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15716 | PA      | $16469.82     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/42 2.75                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $532683.59    | 0.09%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL FM3340 FN 05/35 FIXED VAR                     | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2452020 | PA      | $2401990.67   | 0.40%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                 | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A   | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1341451.30   | 0.22%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                 | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    400000 | PA      | $405288.26    | 0.07%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-2226.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZIONS BANCORPORATION NA (AKA: ZION BANK CAPITAL MARKETS)             | ZIONS BANCORP NA SR UNSECURED 02/29 VAR                 | CUSIP: 98971DAE0<br>LEI: 8WH0EE09O9V05QJZ3V89 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297871.73    | 0.05%             | 2029-02-09      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2237                                                     | FREDDIE MAC FHR 2237 ZA                                 | CUSIP: 3133TPB81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43567 | PA      | $45701.05     | 0.01%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468604 | PA      | $467844.35    | 0.08%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                             | STATE STREET CORP SR UNSECURED 10/36 VAR                | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291811.54    | 0.05%             | 2036-10-23      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                       | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                  | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643781 | PA      | $530650.94    | 0.09%             | 2035-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                    | EVERSOURCE ENERGY SR UNSECURED 03/28 5.45               | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304966.67    | 0.05%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55662 | PA      | $57443.74     | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OAKTREE SPECIALTY LENDING CORPORATION                                | OAKTREE SPECIALTY LEND SR UNSECURED 02/30 6.34          | CUSIP: 67401PAE8<br>LEI: 549300J6MGCEU5928620 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195035.52    | 0.03%             | 2030-02-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/28 2.875                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2545562.50   | 0.42%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $21920.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                                | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A    | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114740 | PA      | $111659.72    | 0.02%             | 2035-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                     | MORGAN STANLEY PVT BANK SR UNSECURED 07/31 VAR          | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299128.30    | 0.05%             | 2031-07-18      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                          | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375       | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    115228 | PA      | $107867.02    | 0.02%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                   | ORACLE CORP SR UNSECURED 04/60 3.85                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $765825.98    | 0.13%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                      | SBA TOWER TRUST ASSET BACKED 144A 07/52 2.328           | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1639416.76   | 0.27%             | 2052-07-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                   | VICI PROPERTIES LP SR UNSECURED 04/28 4.75              | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400482.38    | 0.07%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                | TD SYNNEX CORP SR UNSECURED 04/34 6.1                   | CUSIP: 87162WAL4<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    500000 | PA      | $515965.23    | 0.09%             | 2034-04-12      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                     | KILROY REALTY LP COMPANY GUAR 01/36 6.25                | CUSIP: 49427RAS1<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198323.59    | 0.03%             | 2036-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | HESS CORPORATION SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $11123.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    299107 | PA      | $300228.48    | 0.05%             | 2066-05-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | AES CORPORATION SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $57111.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A        | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284474 | PA      | $1163340.51   | 0.19%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080426 G2 07/30 FLOATING VAR               | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2082 | PA      | $2085.13      | 0.00%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A56477 FG 01/37 FIXED 6               | CUSIP: 3128KKFS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $417.47       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $16852746.60  | 2.78%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL 080093 G2 07/27 FLOATING VAR               | CUSIP: 36225CC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $47.12        | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP INC (AKA: ALLMERICA FINANCIAL CORP)          | HANOVER INSURANCE GROUP SR UNSECURED 09/30 2.5          | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1452785.95   | 0.24%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                      | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A            | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483430 | PA      | $487279.85    | 0.08%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5             | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    520024 | PA      | $502962.86    | 0.08%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                      | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    987785 | PA      | $866106.31    | 0.14%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                         | WP CAREY INC SR UNSECURED 07/30 4.65                    | CUSIP: 92936UAN9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198789.39    | 0.03%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 982410 FN 04/38 FIXED 6                       | CUSIP: 31415B3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3677 | PA      | $3750.31      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                  | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    355921 | PA      | $349734.30    | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NARRAGANSETT ELECTRIC CO/THE                                         | NARRAGANSETT ELECTRIC SR UNSECURED 144A 05/34 5.35      | CUSIP: 631005BK0<br>LEI: VAI0KZ806W8MCH0BCZ61 | Long             | DBT              | CORP              | US        |    600000 | PA      | $609964.80    | 0.10%             | 2034-05-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL A69852 FG 12/37 FIXED 5.5             | CUSIP: 3128L15M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2198 | PA      | $2270.32      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | 3 MONTH SOFR FUT  SEP27 XCME 20271214                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       161 | NC      | $-131976.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | TSY INFL IX N/B 01/35 2.125                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1442700 | PA      | $1467529.76   | 0.24%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.77500 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9375.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                      | AES CORP/THE SR UNSECURED 06/28 5.45                    | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504690.52    | 0.08%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPERTIES LP                                              | ESSENTIAL PROPERTIES LP COMPANY GUAR 12/35 5.4          | CUSIP: 29670VAB5<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196982.12    | 0.03%             | 2035-12-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.67000 01/08/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7410.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL INC                                            | EVERGY KANSAS CENTRAL SR UNSECURED 03/28 4.7            | CUSIP: 30036FAE1<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100515.70    | 0.02%             | 2028-03-13      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A    | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    969172 | PA      | $975479.05    | 0.16%             | 2055-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5045732.72   | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL ZS8716 FR 09/33 FIXED 3.5             | CUSIP: 3132A9VH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    133785 | PA      | $131485.10    | 0.02%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL C91389 FG 08/31 FIXED 4               | CUSIP: 3128P7RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5011 | PA      | $4985.55      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                     | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210 | PA      | $209.47       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| INTEGRIS BAPTIST MEDICAL CENTER INC                                  | INTEGRIS BAPTIST MEDICAL SR SECURED 08/50 3.875         | CUSIP: 45834QAA7<br>LEI: 549300S00ZKDLJSB3927 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1528728.81   | 0.25%             | 2050-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                 | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1734279.84   | 0.29%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2519.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-624.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                  | ALEXANDRIA REAL ESTATE E COMPANY GUAR 01/27 3.95        | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1494768.32   | 0.25%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                   | F+G GLOBAL FUNDING SECURED 144A 06/27 5.875             | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607211.14    | 0.10%             | 2027-06-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H29 SA          | CUSIP: 38375BZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    477355 | PA      | $477614.78    | 0.08%             | 2062-10-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 804701 FN 01/35 FLOATING VAR                  | CUSIP: 31406BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24631 | PA      | $25014.61     | 0.00%             | 2035-01-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                             | MSCI INC SR UNSECURED 09/35 5.25                        | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    400000 | PA      | $392001.93    | 0.06%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TPG OPERATING GROUP II LP                                            | TPG OPERATING GROUP II COMPANY GUAR 03/34 5.875         | CUSIP: 872652AA0<br>LEI: 2549001H9RJQNZT7MU11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608725.75    | 0.10%             | 2034-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19700000 | PA      | $20052288.80  | 3.31%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                 | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3           | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    688415 | PA      | $667768.63    | 0.11%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3963.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                     | TENN VALLEY AUTHORITY SR UNSECURED 09/31 1.5            | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1488370.21   | 0.25%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2026000 | PA      | $1853322.03   | 0.31%             | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5700000 | PA      | $5718906.05   | 0.94%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL G03776 FG 01/38 FIXED 6               | CUSIP: 3128M5Q52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999 | PA      | $3151.21      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -19700000 | PA      | $-20058445.05 | -3.31%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                 | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4331763.42   | 0.72%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4407.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP INC                                          | SAMMONS FINANCIAL GROUP SR UNSECURED 144A 04/34 6.875   | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    600000 | PA      | $636201.02    | 0.11%             | 2034-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                         | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134411 | PA      | $945940.74    | 0.16%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL SB8001 FR 07/34 FIXED 3.5             | CUSIP: 3132D53J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23214 | PA      | $22679.26     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB          | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    210503 | PA      | $210670.31    | 0.03%             | 2065-08-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -6790000 | PA      | $-6791414.58  | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 08/30 4.125                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $6147894.52   | 1.02%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $762458.98    | 0.13%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL FUNDING                                     | EQUITABLE AMERICA GLOBAL SECURED 144A 09/32 4.7         | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194388.37    | 0.03%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | REVERSE REPO BANK OF AMERICA REVERSE REPO               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -3080000 | PA      | $-3081497.22  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1           | CUSIP: 86358ELZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89399 | PA      | $86134.33     | 0.01%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 10/32 5.05          | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298186.10    | 0.05%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                   | ALLY FINANCIAL INC SR UNSECURED 01/30 VAR               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    600000 | PA      | $626267.71    | 0.10%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                     | PUGET ENERGY INC SR SECURED 03/35 5.725                 | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    600000 | PA      | $605032.94    | 0.10%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| GRAND RIVER FUNDING TRUST II                                         | GRAND RIVER FND TRST II SR UNSECURED 144A 02/56 7.28    | CUSIP: 38644CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $209441.36    | 0.03%             | 2056-02-15      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                   | ENERGY TRANSFER LP SR UNSECURED 12/26 6.05              | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    900000 | PA      | $908449.51    | 0.15%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                                  | MFRA TRUST MFRA 2020 NQM1 A1 144A                       | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146227 | PA      | $142882.32    | 0.02%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                    | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538975 | PA      | $111866.24    | 0.02%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AE4704 FN 09/30 FIXED 4.5                     | CUSIP: 31419FGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4651 | PA      | $4642.92      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 09/29 3.875                             | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12600000 | PA      | $12603199.27  | 2.08%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4647.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                            | AMGEN INC SR UNSECURED 03/33 5.25                       | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1026572.41   | 0.17%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -17 | NC      | $-2262.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                      | TYSON FOODS INC SR UNSECURED 03/29 5.4                  | CUSIP: 902494BL6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307889.31    | 0.05%             | 2029-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $4782066.39   | 0.79%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                              | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1       | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426510 | PA      | $413842.26    | 0.07%             | 2035-11-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                    | MARS INC SR UNSECURED 144A 03/32 5                      | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607280.89    | 0.10%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE CO LLC                                        | BLACKSTONE REG FINANCE COMPANY GUAR 11/30 4.3           | CUSIP: 092914AB6<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    600000 | PA      | $590903.95    | 0.10%             | 2030-11-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 916398 FN 05/37 FIXED 6.5                     | CUSIP: 31411WDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315 | PA      | $329.20       | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                                  | CHENIERE ENERGY INC SR UNSECURED 144A 07/36 5.2         | CUSIP: 16411RAP4<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297052.67    | 0.05%             | 2036-07-30      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 831149 FN 12/35 FIXED 6                       | CUSIP: 31407HL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21838 | PA      | $22799.82     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION ENERGY GENERATION LLC                                  | CONSTELLATION EN GEN LLC SR UNSECURED 01/31 4.4         | CUSIP: 210385AQ3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493687.60    | 0.08%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL QD9196 FR 03/52 FIXED 3               | CUSIP: 3133B7GD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10573765 | PA      | $9316422.82   | 1.54%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 644028 GN 08/35 FIXED 5                       | CUSIP: 36292BPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2448 | PA      | $2493.73      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THE PROGRESSIVE CORPORATION                                          | PROGRESSIVE CORP SR UNSECURED 03/36 5.15                | CUSIP: 743315BD4<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200368.76    | 0.03%             | 2036-03-26      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR          | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2820 | PA      | $2864.71      | 0.00%             | 2030-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                   | CONAGRA BRANDS INC SR UNSECURED 08/30 5                 | CUSIP: 205887CK6<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499212.10    | 0.08%             | 2030-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                   | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1501561.98   | 0.25%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORPORATION                                         | NOVARTIS CAPITAL CORP COMPANY GUAR 03/31 4.4            | CUSIP: 66989HBG2<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400002.36    | 0.07%             | 2031-03-18      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                             | AMERICAN EXPRESS CO SR UNSECURED 07/33 VAR              | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200435.85    | 0.03%             | 2033-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                        | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1321092 | PA      | $1200864.04   | 0.20%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | US TREASURY N/B 03/30 3.625                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2573542.97   | 0.42%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                              | GA GLOBAL FUNDING TRUST SECURED 144A 12/31 5.2          | CUSIP: 36143L2Q7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $784270.74    | 0.13%             | 2031-12-09      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H20                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H20 PT          | CUSIP: 38375BVS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39739 | PA      | $39906.58     | 0.01%             | 2062-07-20      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL AL0219 FN 04/41 FLOATING VAR                  | CUSIP: 3138EGG57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3445 | PA      | $3557.50      | 0.00%             | 2041-04-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                 | GNMA POOL 744075 GN 06/41 FIXED 5                       | CUSIP: 3620AYT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4205 | PA      | $4262.48      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITADEL FINANCE LLC                                                  | CITADEL FINANCE LLC COMPANY GUAR 144A 02/29 4.75        | CUSIP: 17287HAE0<br>LEI: 549300BQL283NCR7P163 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294156.96    | 0.05%             | 2029-02-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                            | STELLANTIS FIN US INC COMPANY GUAR 144A 03/30 5.75      | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397978.59    | 0.07%             | 2030-03-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                   | STRIPS 11/42 0.00000                                    | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $195594.32    | 0.03%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4097.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                              | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV3 A3 144A      | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1716007 | PA      | $1430910.71   | 0.24%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                        | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305264.03    | 0.05%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                          | ACRES PLC ACRES 2026 FL4 A 144A                         | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $499677.88    | 0.08%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                 | FNMA POOL 745948 FN 10/36 FIXED VAR                     | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2228 | PA      | $2339.58      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer