# EDGAR Filing Document

**Accession Number:** 0001738077
**File Stem:** 0001752724-25-204402
**Filing Date:** 2025-8
**Character Count:** 925725
**Document Hash:** c5ad39d9f2704a3fc667a86e1ba42078
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-204402.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-204402

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Master Investment Portfolio II
- **CENTRAL INDEX KEY:** 0001738077

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23343
- **FILM NUMBER:** 251254562

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### Advantage CoreAlpha Bond Master Portfolio (Series ID: S000062381)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000202350 | Advantage CoreAlpha Bond Master Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Master Investment Portfolio II

- **b. Investment Company Act file number:** 811-23343

- **c. CIK number of Registrant:** 0001738077

- **d. LEI of Registrant:** 549300RCV7V0VQXTCW11

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** Advantage CoreAlpha Bond Master Portfolio

- **b. EDGAR series identifier (if any):** S000062381

- **c. LEI of Series:** 0I7UWC3FB187VDB5KB30

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $818863365.72

**Total Liabilities:** $110522176.51

**Net Assets:** $708341189.21

**Delayed Delivery Securities:** $431487.81

**Cash Not Reported:** $7621871.78

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 16015.49000000 | **1-Year:** 9248.80000000 | **5-Year:** 126778.21000000 | **10-Year:** 77402.63000000 | **30-Year:** 62701.82000000

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

- **3-Month:** 6502.88000000 | **1-Year:** -51441.23000000 | **5-Year:** 108751.04000000 | **10-Year:** 28749.75000000 | **30-Year:** -64924.29000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202350 | 0.47%                | -1.00%               | 1.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-692612.57              | $-1076805.29                               |
| Month 2  | $-304180.88              | $-3735274.90                               |
| Month 3  | $-77157.34               | $8295643.39                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2002351.00   | 0.28%             | 2030-04-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                                          | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $154230.90    | 0.02%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      35449 | PA      | $36628.81     | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732775 | PA      | $676331.97    | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     117000 | PA      | $105632.32    | 0.01%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CHF / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |          1 | NC      | $8840.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     270000 | PA      | $250851.47    | 0.04%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99730 | PA      | $91470.08     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132KESL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     195320 | PA      | $191765.60    | 0.03%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1039154.15   | 0.15%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 4.059980 17-SEP-2030 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6250000 | OU      | $10327.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2615625.00   | 0.37%             | 2042-08-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.930000 17-SEP-2030 HKD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4520000 | OU      | $-5871.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     240000 | PA      | $174636.13    | 0.02%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                            | Universal Health Services Inc                                                   | CUSIP: 913903BC3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     645000 | PA      | $615470.34    | 0.09%             | 2034-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| EVERGY INC                                                                       | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46950.50     | 0.01%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $76026.14     | 0.01%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAE4<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |     202000 | PA      | $206233.85    | 0.03%             | 2031-02-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     730338 | PA      | $648983.08    | 0.09%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GCI LLC                                                                          | GCI LLC                                                                         | CUSIP: 36166TAB6<br>LEI: 549300N3IE9H88Q20221 | Long             | DBT              | CORP              | US        |     116000 | PA      | $112164.94    | 0.02%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.562500 17-SEP-2030 PRI                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14350000 | OU      | $-2534.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                                                     | Entergy Corp                                                                    | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |      85000 | PA      | $84361.72     | 0.01%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $9650867.22   | 1.36%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.529600 17-SEP-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1470000 | OU      | $-25215.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3201 | PA      | $2965.51      | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AYT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      40065 | PA      | $35745.34     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.781500 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1250750000 | OU      | $1084.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      87000 | PA      | $91508.37     | 0.01%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJJJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4420 | PA      | $4639.10      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311088 | PA      | $285964.35    | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406617 | PA      | $373212.91    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-264.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128Q0DK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3071 | PA      | $3031.54      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                                      | Prologis LP                                                                     | CUSIP: 74340XCF6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     145000 | PA      | $135989.57    | 0.02%             | 2053-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6895623 | OU      | $-509.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     215000 | PA      | $168251.70    | 0.02%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67612 | PA      | $65325.45     | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     425000 | PA      | $434837.62    | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288JBX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      60716 | PA      | $61167.47     | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65818 | PA      | $60421.56     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436379 | PA      | $443847.09    | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57401 | PA      | $50563.32     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343814 | PA      | $308781.74    | 0.04%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XUG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1017 | PA      | $1023.04      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     945000 | PA      | $950124.76    | 0.13%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.795000 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  295344117 | OU      | $803.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3025000 | PA      | $3028969.68   | 0.43%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                                                             | Waste Management Inc                                                            | CUSIP: 94106LBY4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     915000 | PA      | $939253.43    | 0.13%             | 2031-07-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1571 | PA      | $1637.08      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBD1<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |     148000 | PA      | $114222.22    | 0.02%             | 2045-04-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7T48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      38877 | PA      | $40093.59     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47711 | PA      | $46778.09     | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    1800000 | PA      | $1859463.27   | 0.26%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32384 | PA      | $30723.47     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     557648 | PA      | $560216.93    | 0.08%             | 2030-10-21      | Fixed         | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2014 | PA      | $2005.84      | 0.00%             | 2033-05-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAQ8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81330.80     | 0.01%             | 2034-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     650000 | PA      | $681103.57    | 0.10%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                                           | Puget Sound Energy Inc                                                          | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95108.59     | 0.01%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24058 | PA      | $21420.25     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205192 | PA      | $187464.97    | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     756800 | PA      | $681275.43    | 0.10%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $30775781.40  | 4.34%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M7CK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7072 | PA      | $6929.39      | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.289140 15-APR-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      10000 | OU      | $12.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                     | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $284253.00    | 0.04%             | 2050-05-10      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1581 | PA      | $1600.35      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016HZS2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      40000 | PA      | $41148.45     | 0.01%             | 2028-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BF6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     176000 | PA      | $123365.44    | 0.02%             | 2032-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1453501 | PA      | $1291594.60   | 0.18%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181208 | PA      | $166580.13    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AQ8<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     355000 | PA      | $353973.77    | 0.05%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     230870 | PA      | $183696.47    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256365 | PA      | $263100.66    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2880000 | PA      | $2943472.90   | 0.42%             | 2028-11-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                      | Netflix Inc                                                                     | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98687.86     | 0.01%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H062685<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196022 | PA      | $200839.53    | 0.03%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66971 | PA      | $63427.95     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31238 | PA      | $30598.51     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424109 | PA      | $389830.15    | 0.06%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      54540 | PA      | $55291.29     | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | Host Hotels & Resorts LP                                                        | CUSIP: 44107TBB1<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     806000 | PA      | $811101.47    | 0.11%             | 2034-07-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407X4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33916 | PA      | $34895.49     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18665 | PA      | $18189.83     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.952590 17-SEP-2030 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7650000 | OU      | $8975.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KCN7<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |    3750000 | PA      | $4118877.00   | 0.58%             | 2033-08-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      83000 | PA      | $89636.93     | 0.01%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36295QGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        609 | PA      | $638.56       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |          1 | NC      | $7980.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.338500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   89831727 | OU      | $-5458.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925801 | PA      | $775783.31    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                                  | CUSIP: 57636QBC7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     385000 | PA      | $378621.58    | 0.05%             | 2035-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     550000 | PA      | $502289.93    | 0.07%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     780000 | PA      | $792587.73    | 0.11%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.805000 11-SEP-2030 TII                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11140000 | OU      | $2795.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60404 | PA      | $54559.20     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $386390.90    | 0.05%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED NOK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NO        |          1 | NC      | $1500.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura International PLC                                                         | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | N/A              | DFE              |  | US        |          1 | NC      | $-2268.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2024-1                                   | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     510000 | PA      | $515852.40    | 0.07%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132M7JN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     146089 | PA      | $139839.31    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6770.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65522 | PA      | $63700.23     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES                                   | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |     100000 | NS      | $100000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173703 | PA      | $167696.16    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    2243393 | PA      | $2316853.13   | 0.33%             | 2041-11-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161397 | PA      | $156974.46    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |      30000 | PA      | $16730.62     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108267 | PA      | $109613.20    | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178DVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9373 | PA      | $8715.56      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CRH AMERICA FINANCE INC                                                          | CRH America Finance Inc                                                         | CUSIP: 12636YAF9<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    1235000 | PA      | $1265636.26   | 0.18%             | 2035-01-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105916.44    | 0.01%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRWU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      19997 | PA      | $20663.24     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                                         | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     775000 | PA      | $796729.74    | 0.11%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | Jabil Inc                                                                       | CUSIP: 466313AL7<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1030370.17   | 0.15%             | 2026-04-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      47000 | PA      | $40999.97     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     135000 | PA      | $118700.08    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | MX        |          1 | NC      | $3241.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26089 | PA      | $24190.03     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557086 | PA      | $496035.34    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                                                       | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     160000 | PA      | $138885.08    | 0.02%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| US FOODS INC                                                                     | US Foods Inc                                                                    | CUSIP: 90290MAH4<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |     199000 | PA      | $209555.76    | 0.03%             | 2032-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Chile Government International Bonds                                             | Chile Government International Bonds                                            | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     650000 | PA      | $394225.00    | 0.06%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                                                         | Genting New York LLC / GENNY Capital Inc                                        | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $285315.56    | 0.04%             | 2029-10-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-1295.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62010 | PA      | $55154.14     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-8850.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COGENT COMM GROUP LLC                                                            | Cogent Communications Group LLC                                                 | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |     269000 | PA      | $270232.56    | 0.04%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                 | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |     115000 | PA      | $111150.82    | 0.02%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     797636 | PA      | $639776.72    | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38208 | PA      | $35293.43     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578129 | PA      | $1268383.15   | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUMMIT MIDSTREAM HOLDING                                                         | Summit Midstream Holdings LLC                                                   | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $112533.96    | 0.02%             | 2029-10-31      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                                        | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     385000 | PA      | $299724.45    | 0.04%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250112 | PA      | $222097.50    | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28912 | PA      | $29238.58     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371LR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17110 | PA      | $17872.53     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWP29<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      34053 | PA      | $32320.35     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUJV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       9119 | PA      | $8667.88      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.661840 17-SEP-2055 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5470000 | OU      | $140672.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18051 | PA      | $17433.70     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      60000 | PA      | $61162.82     | 0.01%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $10058203.10  | 1.42%             | 2040-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     735000 | PA      | $764898.32    | 0.11%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| IVANHOE MINES LTD                                                                | Ivanhoe Mines Ltd                                                               | CUSIP: 46579RAE4<br>LEI: 5299006XZISURYIA4G32 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $199062.00    | 0.03%             | 2030-01-23      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129696 | PA      | $119925.17    | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TIDEWATER INC                                                                    | Tidewater Inc                                                                   | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41154.38     | 0.01%             | 2030-07-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1300000 | PA      | $1271623.48   | 0.18%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBB2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     280000 | PA      | $283194.12    | 0.04%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |          1 | NC      | $18031.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3115262.40   | 0.44%             | 2042-02-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     545000 | PA      | $579375.91    | 0.08%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390QJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12658 | PA      | $12881.84     | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     670000 | PA      | $608374.39    | 0.09%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390300 | PA      | $361159.94    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |     273000 | PA      | $275816.54    | 0.04%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     155000 | PA      | $156315.28    | 0.02%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Toronto-Dominion Bank                                                            | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |          1 | NC      | $3818.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     817332 | PA      | $830037.01    | 0.12%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CA        |          1 | NC      | $595.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39584 | PA      | $39290.86     | 0.01%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.395200 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4425000 | OU      | $1404.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84631 | PA      | $83193.66     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                                                | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |     220000 | PA      | $153664.40    | 0.02%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8970 | PA      | $9273.15      | 0.00%             | 2041-08-01      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8784 | PA      | $8249.47      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                                                | Chord Energy Corp                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     125000 | PA      | $127702.87    | 0.02%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| INTER-AMERICAN DEVEL BK                                                          | Inter-American Development Bank                                                 | CUSIP: 4581X0EK0<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |    1730000 | PA      | $1736170.79   | 0.25%             | 2026-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     290000 | PA      | $299487.81    | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |          1 | NC      | $8.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WH6K6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5205 | PA      | $4800.94      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     111000 | PA      | $81928.51     | 0.01%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-B                                        | CUSIP: 00792FAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2013084.60   | 0.28%             | 2028-09-15      | Fixed         | 8.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23084 | PA      | $21977.01     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.736200 17-SEP-2030 CAD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     870000 | OU      | $3218.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4707.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     187000 | PA      | $195923.27    | 0.03%             | 2031-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-620.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13351 | PA      | $12982.07     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37053 | PA      | $34509.26     | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     815000 | PA      | $829322.93    | 0.12%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $235.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     226000 | PA      | $219543.66    | 0.03%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1162500 | PA      | $1200254.06   | 0.17%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENSTAR GROUP LTD                                                                 | Enstar Group Ltd                                                                | CUSIP: 29359UAC3<br>LEI: 213800AMAL5QFXVUCN04 | Long             | DBT              | CORP              | BM        |    1785000 | PA      | $1586847.61   | 0.22%             | 2031-09-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11600000 | PA      | $11510802.85  | 1.63%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59922 | PA      | $55348.35     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74783 | PA      | $72889.48     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296UFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4453 | PA      | $4468.13      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NZ        |          1 | NC      | $3765.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     350000 | PA      | $320501.49    | 0.05%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2234 | PA      | $2283.62      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.508680 25-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    1350000 | OU      | $-2081.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NOK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NO        |          1 | NC      | $197.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LYAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5532 | PA      | $5421.53      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.077010 17-SEP-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28210000 | OU      | $236569.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179CJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225859 | PA      | $206716.84    | 0.03%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.569590 17-SEP-2035 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6670000 | OU      | $39711.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1295000 | PA      | $1130982.86   | 0.16%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1619212 | PA      | $1635194.99   | 0.23%             | 2030-07-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | Citigroup Mortgage Loan Trust 2013-A                                            | CUSIP: 17320XAA2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       3528 | PA      | $3240.68      | 0.00%             | 2042-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |          1 | NC      | $119.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TEGNA INC                                                                        | TEGNA Inc                                                                       | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |     254000 | PA      | $246847.36    | 0.03%             | 2028-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     570000 | PA      | $583399.57    | 0.08%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                                              | LYB International Finance III LLC                                               | CUSIP: 50249AAD5<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |     160000 | PA      | $118559.88    | 0.02%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.330000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  247212788 | OU      | $-1335.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.429200 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-745.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.427510 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3880000 | OU      | $-6932.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      85000 | PA      | $87851.24     | 0.01%             | 2028-06-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85414 | PA      | $83083.89     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UCE7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     148000 | PA      | $147732.78    | 0.02%             | 2025-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                              | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     300000 | PA      | $308732.27    | 0.04%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6JK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8775 | PA      | $8634.28      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      81000 | PA      | $72127.36     | 0.01%             | 2031-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707110 | PA      | $646467.15    | 0.09%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     325000 | PA      | $333885.03    | 0.05%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31376JSZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        447 | PA      | $445.55       | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JQAP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17883 | PA      | $18387.47     | 0.00%             | 2040-02-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      65000 | PA      | $59937.57     | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143497.16    | 0.02%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     385000 | PA      | $248061.80    | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BBE4<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |      85000 | PA      | $87757.40     | 0.01%             | 2030-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63308 | PA      | $64086.39     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                                                  | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     217000 | PA      | $159483.16    | 0.02%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27494 | PA      | $26831.00     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KGR4<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1104125.60   | 0.16%             | 2033-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408H5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4734 | PA      | $4922.82      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNCOKE ENERGY INC                                                               | SunCoke Energy Inc                                                              | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |     111000 | PA      | $103305.22    | 0.01%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91086QAV0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     100000 | PA      | $95286.00     | 0.01%             | 2040-01-11      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18735 | PA      | $17247.94     | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAX8<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      50000 | PA      | $34243.82     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     516362 | PA      | $539141.48    | 0.08%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                                                         | Northern States Power Co/WI                                                     | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70417.16     | 0.01%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     403503 | PA      | $380437.12    | 0.05%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882399 | PA      | $785339.68    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0Y44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92296 | PA      | $93036.39     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389DHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7631 | PA      | $7881.57      | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.525000 16-MAY-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     320000 | OU      | $-1412.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACRISURE LLC / FIN INC                                                           | Acrisure LLC / Acrisure Finance Inc                                             | CUSIP: 004961AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50000 | PA      | $50708.65     | 0.01%             | 2032-07-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     992015 | PA      | $952670.18    | 0.13%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     257000 | PA      | $272330.05    | 0.04%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101885 | PA      | $97216.30     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143543 | PA      | $131809.34    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.237700 15-JUN-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     230000 | OU      | $-1606.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1601407 | PA      | $1329286.92   | 0.19%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      24493 | PA      | $24467.72     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12387 | PA      | $12968.86     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED SEK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | SE        |          1 | NC      | $3119.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                                                  | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |      90000 | PA      | $91499.49     | 0.01%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407KQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10774 | PA      | $11084.68     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292344 | PA      | $257862.13    | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.252790 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   47490000 | OU      | $-104348.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90206 | PA      | $80126.17     | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     530000 | PA      | $544383.77    | 0.08%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141105 | PA      | $131316.02    | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     520000 | PA      | $534125.67    | 0.08%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187187 | PA      | $166096.27    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                              | Kimberly-Clark Corp                                                             | CUSIP: 494368CA9<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |     160000 | PA      | $103145.41    | 0.01%             | 2050-02-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2865.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335ANR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      17625 | PA      | $17302.24     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413UKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10595 | PA      | $11107.32     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2860000 | PA      | $3095892.23   | 0.44%             | 2042-03-25      | Floating      | 10.56%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141180 | PA      | $129781.83    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1050000 | PA      | $1052818.10   | 0.15%             | 2029-12-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     105000 | PA      | $104955.53    | 0.01%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108726 | PA      | $108649.73    | 0.02%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46544 | PA      | $44799.11     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345224 | PA      | $339980.10    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     325000 | PA      | $200839.89    | 0.03%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: —       |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $106998.15    | 0.02%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187276 | PA      | $182817.56    | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     250000 | PA      | $199120.59    | 0.03%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |     380000 | PA      | $323903.48    | 0.05%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1371 | PA      | $1417.28      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23818 | PA      | $22356.68     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.078440 17-SEP-2028 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9050000 | OU      | $-10754.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     201000 | PA      | $208272.18    | 0.03%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     272493 | PA      | $241709.99    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837805 | PA      | $672437.83    | 0.09%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QSL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494357 | PA      | $500051.06    | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1264941.28   | 0.18%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-13436.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5631 | PA      | $5601.51      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP                                                               | Eldorado Gold Corp                                                              | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |     138000 | PA      | $138271.86    | 0.02%             | 2029-09-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E9N55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594910 | PA      | $573944.88    | 0.08%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2631467.75   | 0.37%             | 2042-04-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MPGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3813 | PA      | $3755.05      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFEV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2045 | PA      | $1998.59      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     105000 | PA      | $106295.18    | 0.02%             | 2030-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.260540 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     340000 | OU      | $-601.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W1VC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29130 | PA      | $27314.23     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                           | OKLAHOMA ST DEV FIN AUTH                                                        | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |     110000 | PA      | $105450.23    | 0.01%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312938Z48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      26472 | PA      | $26444.47     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                         | United Natural Foods Inc                                                        | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |     218000 | PA      | $215157.71    | 0.03%             | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     270000 | PA      | $217622.13    | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                                                | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122018.71    | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| IBM CORP                                                                         | International Business Machines Corp                                            | CUSIP: 459200KC4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     746000 | PA      | $600916.47    | 0.08%             | 2049-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WOLVERINE WORLD WIDE                                                             | Wolverine World Wide Inc                                                        | CUSIP: 978097AG8<br>LEI: 549300OVC7PK14LQ8D87 | Long             | DBT              | CORP              | US        |     156000 | PA      | $139869.80    | 0.02%             | 2029-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL & GAS INC                                                           | Northern Oil & Gas Inc                                                          | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |     326000 | PA      | $328896.84    | 0.05%             | 2028-03-01      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                              | CUSIP: 25243YBH1<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |     725000 | PA      | $754689.75    | 0.11%             | 2033-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      95000 | PA      | $86131.33     | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJ6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61381 | PA      | $57606.47     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416J7C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17722 | PA      | $17537.10     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     440000 | PA      | $305883.20    | 0.04%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44308 | PA      | $43140.38     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBG7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194227.33    | 0.03%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29119 | PA      | $25842.05     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406BBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34961 | PA      | $35904.59     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38719 | PA      | $36006.90     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     215000 | PA      | $215493.49    | 0.03%             | 2027-09-10      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                                           | Atlantic City Electric Co                                                       | CUSIP: 048303CJ8<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |     370000 | PA      | $328317.08    | 0.05%             | 2031-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAD8<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19052.59     | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183933 | PA      | $188313.41    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $4043.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.005000 11-SEP-2030 TII                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14250000 | OU      | $9821.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFFX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       2118 | PA      | $2108.11      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18001 | PA      | $17137.62     | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487299 | PA      | $481619.05    | 0.07%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6481 | PA      | $6761.35      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.704600 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     450000 | OU      | $-6474.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251973 | PA      | $248145.16    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     310000 | PA      | $315432.14    | 0.04%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $317.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118583 | PA      | $115564.48    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10333 | PA      | $10832.11     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6496 | PA      | $6346.36      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     505000 | PA      | $433272.59    | 0.06%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31336SBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $170.01       | 0.00%             | 2032-09-01      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     370000 | PA      | $384016.34    | 0.05%             | 2029-03-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144827 | PA      | $130176.33    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115763 | PA      | $101922.04    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4228 | PA      | $4124.54      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKEFELLER FOUNDATION                                                           | Rockefeller Foundation/The                                                      | CUSIP: 77310VAA2<br>LEI: 549300JU3NX0IK5I9038 | Long             | DBT              | CORP              | US        |      72000 | PA      | $42423.86     | 0.01%             | 2050-10-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17989 | PA      | $18858.08     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYSTEM ENERGY RESOURCES                                                          | System Energy Resources Inc                                                     | CUSIP: 871911AV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     820000 | PA      | $810387.80    | 0.11%             | 2034-12-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93578 | PA      | $91265.90     | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75588 | PA      | $71760.87     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460684 | PA      | $388795.93    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408GVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16842 | PA      | $17238.62     | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-918.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                                                         | Connect Finco SARL / Connect US Finco LLC                                       | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     280000 | PA      | $281435.84    | 0.04%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                                            | Southern California Gas Co                                                      | CUSIP: 842434CY6<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98412.63     | 0.01%             | 2053-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                                          | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     300000 | PA      | $332666.00    | 0.05%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT LIGHT & PWR                                                          | Connecticut Light and Power Co/The                                              | CUSIP: 207597ET8<br>LEI: 549300O45IUXEDS1VZ32 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81875.91     | 0.01%             | 2030-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                   | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      92000 | PA      | $57938.44     | 0.01%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |          1 | NC      | $938.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1645670.63   | 0.23%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| UMASS MEM HEALTH CARE                                                            | UMass Memorial Health Care Obligated Group                                      | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      42000 | PA      | $37947.57     | 0.01%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38036 | PA      | $39223.05     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939CK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7520 | PA      | $7480.38      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.020810 17-SEP-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $3182.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389SVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3141 | PA      | $3192.53      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.168350 17-SEP-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      45000 | OU      | $835.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ID        |          1 | NC      | $12566.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3116752.80   | 0.44%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCH5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33420.53     | 0.00%             | 2052-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $302799.19    | 0.04%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.771000 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  282608538 | OU      | $-162.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     485000 | PA      | $456132.50    | 0.06%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4419 | PA      | $4355.74      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28429 | PA      | $26294.69     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.561160 17-SEP-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     840000 | OU      | $-20391.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     150000 | PA      | $143211.99    | 0.02%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465187 | PA      | $440671.95    | 0.06%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3454.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409VDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13455 | PA      | $13843.69     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063DGC6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     200000 | PA      | $197439.47    | 0.03%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9KW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     119245 | PA      | $119095.49    | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                                   | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      75000 | PA      | $75657.75     | 0.01%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                                         | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1049000 | PA      | $1048371.11   | 0.15%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 8.235000 11-SEP-2030 TII                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12790000 | OU      | $15260.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.690820 17-SEP-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2140000 | OU      | $1323.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CV1<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      95000 | PA      | $61304.83     | 0.01%             | 2050-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178480 | PA      | $166399.35    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        112 | NC      | $345186.30    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERPUBLIC GROUP COS                                                            | Interpublic Group of Cos Inc/The                                                | CUSIP: 460690BS8<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |      78000 | PA      | $57932.38     | 0.01%             | 2041-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     130000 | PA      | $123968.40    | 0.02%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBA9<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50270.43     | 0.01%             | 2027-02-19      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAH5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      97000 | PA      | $101452.30    | 0.01%             | 2027-12-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9541 | PA      | $9733.80      | 0.00%             | 2043-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2505 | PA      | $2589.91      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8979 | PA      | $8114.97      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128E6AD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      22036 | PA      | $21672.42     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.504000 20-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    1010000 | OU      | $-1232.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55166 | PA      | $53183.59     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130894 | PA      | $120407.18    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217879 | PA      | $200018.91    | 0.03%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     172626 | PA      | $167430.69    | 0.02%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1050000 | PA      | $1004910.88   | 0.14%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-A                                        | CUSIP: 00834BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1250000 | PA      | $1256256.75   | 0.18%             | 2029-02-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.269700 15-JUN-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     210000 | OU      | $-2296.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6478 | PA      | $6302.45      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADT9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1134040.84   | 0.16%             | 2035-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1925000 | PA      | $1595768.46   | 0.23%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                                           | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |     310000 | PA      | $320910.71    | 0.05%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     240000 | PA      | $217863.14    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    3520000 | PA      | $3614843.23   | 0.51%             | 2041-10-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.910460 15-APR-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     290000 | OU      | $1925.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.627170 17-SEP-2055 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $10211.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PREMIER ENTERTAINMENT SU                                                         | Premier Entertainment Sub LLC / Premier Entertainment Finance Corp              | CUSIP: 74052HAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $71562.50     | 0.01%             | 2029-09-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                            | CUSIP: 961214EQ2<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     120000 | PA      | $88809.93     | 0.01%             | 2040-11-16      | Fixed         | 2.96%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 3.951460 17-SEP-2055 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1030000 | OU      | $-7823.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |          1 | NC      | $-568.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR MTG HLD INC                                                           | Nationstar Mortgage Holdings Inc                                                | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $132789.02    | 0.02%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1190000 | PA      | $1172635.16   | 0.17%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5575000 | PA      | $5573724.55   | 0.79%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28211 | PA      | $28809.94     | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2365.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     140000 | PA      | $136456.41    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                                                            | Georgetown University/The                                                       | CUSIP: 37310PAD3<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |      27000 | PA      | $17379.21     | 0.00%             | 2050-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.785500 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  426449309 | OU      | $603.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      75000 | PA      | $75956.57     | 0.01%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.880000 17-SEP-2030 HKD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4610000 | OU      | $-4589.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31293EAT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $328.75       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     720000 | PA      | $664117.75    | 0.09%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43825.34     | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| STONEX ESCROW ISSUER LLC                                                         | Stonex Escrow Issuer LLC                                                        | CUSIP: 86189AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $90905.26     | 0.01%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.808000 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  619033950 | OU      | $2787.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      13000 | PA      | $11567.22     | 0.00%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                                                | PURCHASED CLP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CL        |          1 | NC      | $-223.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BANK KOREA                                                         | Export-Import Bank of Korea                                                     | CUSIP: 302154DZ9<br>LEI: 549300APVP4R32PI3Y06 | Long             | DBT              | NUSS              | KR        |     220000 | PA      | $227079.60    | 0.03%             | 2033-09-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUUA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      53516 | PA      | $52672.37     | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      90000 | PA      | $79835.04     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6948.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AF3<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |     190000 | PA      | $121417.20    | 0.02%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403APE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16837 | PA      | $16912.32     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROV ST JOSEPH HLTH OBL                                                          | Providence St Joseph Health Obligated Group                                     | CUSIP: 743820AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     136000 | PA      | $75825.99     | 0.01%             | 2051-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2837 | PA      | $2991.39      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAH5<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |      75000 | PA      | $75982.68     | 0.01%             | 2034-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                                                              | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     740000 | PA      | $897686.73    | 0.13%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     170000 | PA      | $189354.71    | 0.03%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     924000 | PA      | $905483.44    | 0.13%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CB8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     315000 | PA      | $275582.42    | 0.04%             | 2032-10-13      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30926.04     | 0.00%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |          1 | NC      | $554.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.617000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  827500000 | OU      | $3876.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9069 | PA      | $8295.18      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317553 | PA      | $290926.01    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      70000 | PA      | $52896.87     | 0.01%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     240000 | PA      | $257190.12    | 0.04%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EL9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     570000 | PA      | $576803.05    | 0.08%             | 2035-11-18      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X1                                       | CUSIP: 00834XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1750000 | PA      | $1773788.28   | 0.25%             | 2029-05-15      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75848 | PA      | $71966.78     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1375000 | PA      | $1119525.14   | 0.16%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-21459.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                                           | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     570000 | PA      | $346133.85    | 0.05%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     727000 | PA      | $736577.19    | 0.10%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                                                           | Resorts World Las Vegas LLC / RWLV Capital Inc                                  | CUSIP: 76120HAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $147956.25    | 0.02%             | 2030-07-27      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BJ0<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      35000 | PA      | $24126.60     | 0.00%             | 2051-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      85000 | PA      | $52237.51     | 0.01%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      60000 | PA      | $52602.23     | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3420580 | OU      | $-252.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432000 | PA      | $362733.15    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44087 | PA      | $41267.47     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9955 | PA      | $10311.18     | 0.00%             | 2041-09-01      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     245000 | PA      | $241583.31    | 0.03%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167106 | PA      | $154355.36    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     855000 | PA      | $870705.73    | 0.12%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335742 | PA      | $294065.42    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     463000 | PA      | $236429.47    | 0.03%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2568275 | PA      | $2158741.02   | 0.30%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAG3<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     225000 | PA      | $244319.26    | 0.03%             | 2027-02-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AS6<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     253000 | PA      | $258765.24    | 0.04%             | 2032-04-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $54.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD TWD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6469.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60361 | PA      | $59121.66     | 0.01%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180616 | PA      | $173683.20    | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NZ        |          1 | NC      | $568.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243290 | PA      | $218461.94    | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI                                                         | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     163000 | PA      | $177357.04    | 0.03%             | 2029-04-15      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AV6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     156000 | PA      | $157422.25    | 0.02%             | 2033-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAR1<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     329000 | PA      | $284907.23    | 0.04%             | 2031-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40084 | PA      | $35931.67     | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8890 | PA      | $8748.42      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187763 | PA      | $172602.14    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -33 | NC      | $-6885.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ZA        |          1 | NC      | $1656.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22300 | PA      | $21465.31     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $-230.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                                             | Entergy Arkansas LLC                                                            | CUSIP: 29366MAG3<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29714.61     | 0.00%             | 2054-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                  | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      65000 | PA      | $68047.51     | 0.01%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED SEK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |          1 | NC      | $-387.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                    | Allstate Corp/The                                                               | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |     470000 | PA      | $482326.56    | 0.07%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1064.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1449724 | PA      | $1161430.98   | 0.16%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651375 | PA      | $595067.39    | 0.08%             | 2039-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     280000 | PA      | $292117.08    | 0.04%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YR68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5174 | PA      | $5251.76      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.234000 17-SEP-2028 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11590000 | OU      | $-7306.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CHF / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |          1 | NC      | $5290.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-16810.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: IFS 3.178180 15-JUN-2035 UKR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     470000 | OU      | $155.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16274 | PA      | $14619.81     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                   | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1529224.82   | 0.22%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: —       |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                                  | CUSIP: 78409VBQ6<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      95000 | PA      | $98657.61     | 0.01%             | 2033-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99144 | PA      | $90830.26     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.300300 17-SEP-2030 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6030000 | OU      | $-3647.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153653 | PA      | $149626.31    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1788896 | PA      | $1801108.45   | 0.25%             | 2041-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| VIASAT INC                                                                       | Viasat Inc                                                                      | CUSIP: 92552VAN0<br>LEI: UFC8NYMNFSYIHNSM2I38 | Long             | DBT              | CORP              | US        |     216000 | PA      | $204139.63    | 0.03%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      28567 | PA      | $30859.89     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      71000 | PA      | $62650.51     | 0.01%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     260000 | PA      | $252812.47    | 0.04%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7Q63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3882 | PA      | $3900.79      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DK2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     255000 | PA      | $260759.64    | 0.04%             | 2034-07-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28644 | PA      | $28421.31     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     200000 | PA      | $180116.36    | 0.03%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     340000 | PA      | $294183.87    | 0.04%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122602 | PA      | $903086.30    | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60846 | PA      | $59131.86     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     922887 | PA      | $769639.24    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165573 | PA      | $148711.23    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19325 | PA      | $17663.88     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.607850 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     780000 | OU      | $-7790.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     660000 | PA      | $653616.73    | 0.09%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-100.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13143 | PA      | $12824.28     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |     250000 | PA      | $239918.46    | 0.03%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |          1 | NC      | $78.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     161000 | PA      | $104139.01    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7249 | PA      | $7060.54      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CHF / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CH        |          1 | NC      | $7242.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     260000 | PA      | $261292.73    | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75974 | PA      | $67497.04     | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-4181.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83975 | PA      | $77416.85     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54723 | PA      | $54297.78     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CG1<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     115000 | PA      | $105381.69    | 0.01%             | 2053-02-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     418000 | PA      | $405804.19    | 0.06%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14464 | PA      | $13659.47     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-B                                        | CUSIP: 00835AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3487565.55   | 0.49%             | 2029-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| INOVA HEALTH SYSTEMS FOU                                                         | Inova Health System Foundation                                                  | CUSIP: 45791GAA0<br>LEI: 5493001L7PBVS286Y307 | Long             | DBT              | CORP              | US        |      18000 | PA      | $14219.97     | 0.00%             | 2052-05-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     180000 | PA      | $180252.59    | 0.03%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76034 | PA      | $69698.12     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NVR INC                                                                          | NVR Inc                                                                         | CUSIP: 62944TAF2<br>LEI: 529900RWXR4JI3JYTV70 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1280704.74   | 0.18%             | 2030-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8736 | PA      | $8316.60      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13963 | PA      | $13490.34     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.226990 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $-2174.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     430000 | PA      | $297583.55    | 0.04%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172BL2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     510000 | PA      | $433054.19    | 0.06%             | 2044-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.940000 17-SEP-2030 SOR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     380000 | OU      | $-3908.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     696435 | PA      | $580388.90    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113248 | PA      | $101547.93    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     775000 | PA      | $777981.21    | 0.11%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21918 | PA      | $20046.55     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOAG MEMORIAL HOSPITAL                                                           | Hoag Memorial Hospital Presbyterian                                             | CUSIP: 43371HAA1<br>LEI: FZFVQHQN7LISVXIZDB30 | Long             | DBT              | CORP              | US        |      73000 | PA      | $54997.09     | 0.01%             | 2052-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED NOK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |          1 | NC      | $-131.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EQN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25793 | PA      | $27166.99     | 0.00%             | 2037-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                                            | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |     280000 | PA      | $288456.56    | 0.04%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJF20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5214 | PA      | $5129.29      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                         | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1011190.00   | 0.14%             | 2041-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      70000 | PA      | $48953.99     | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                                            | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     139000 | PA      | $138546.34    | 0.02%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3915.75      | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| RAKUTEN GROUP INC                                                                | Rakuten Group Inc                                                               | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $219075.75    | 0.03%             | 2029-04-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40566 | PA      | $41736.75     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     468431 | PA      | $435938.75    | 0.06%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-1                                    | CUSIP: 96043RAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1360000 | PA      | $1387623.23   | 0.20%             | 2029-10-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3110.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     240000 | PA      | $235191.68    | 0.03%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                                 | MDC Holdings Inc                                                                | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21739.71     | 0.00%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MJWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6611 | PA      | $6485.92      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                        | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     240000 | PA      | $238283.51    | 0.03%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      70000 | PA      | $71358.09     | 0.01%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103106 | PA      | $95208.17     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                                            | Oglethorpe Power Corp                                                           | CUSIP: 677050AU0<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66399.35     | 0.01%             | 2053-12-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FRED HUTCH CNCR CTR                                                              | Fred Hutchinson Cancer Center                                                   | CUSIP: 35561RAA5<br>LEI: 549300ESFMVM81MJ8C69 | Long             | DBT              | CORP              | US        |     130000 | PA      | $114291.41    | 0.02%             | 2052-01-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     186000 | PA      | $185925.41    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.297000 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  131199968 | OU      | $-4401.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                                   | CUSIP: 053015AJ2<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |     680000 | PA      | $689766.88    | 0.10%             | 2032-05-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DELEK LOG PART/FINANCE                                                           | Delek Logistics Partners LP / Delek Logistics Finance Corp                      | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $59720.43     | 0.01%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     187000 | PA      | $193618.58    | 0.03%             | 2032-03-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403245 | PA      | $402794.10    | 0.06%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172998 | PA      | $159764.94    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15697 | PA      | $15260.05     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34330 | PA      | $30437.79     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64851 | PA      | $65657.60     | 0.01%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.275000 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   62596145 | OU      | $-1196.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     800000 | PA      | $767120.84    | 0.11%             | 2027-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316184 | PA      | $264729.81    | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216012 | PA      | $210119.35    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DS6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     610000 | PA      | $593521.00    | 0.08%             | 2054-05-13      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75707 | PA      | $73598.21     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9082 | PA      | $8946.41      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31401NJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27577 | PA      | $27728.88     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     238000 | PA      | $197539.47    | 0.03%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.491000 13-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     340000 | OU      | $-72.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     840000 | PA      | $847081.12    | 0.12%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAG2<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     335000 | PA      | $176872.64    | 0.02%             | 2060-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Peru Government International Bonds                                              | Peru Government International Bonds                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     455000 | PA      | $312130.00    | 0.04%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14038 | PA      | $13703.56     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                                             | National Fuel Gas Co                                                            | CUSIP: 636180BU4<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |     450000 | PA      | $459973.93    | 0.06%             | 2035-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259AY6<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |     192000 | PA      | $155280.00    | 0.02%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $59.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                             | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $990277.86    | 0.14%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109813 | PA      | $107801.66    | 0.02%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                   | CUSIP: 677415CW9<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     150000 | PA      | $154043.64    | 0.02%             | 2034-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $765137.18    | 0.11%             | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.791000 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1695465750 | OU      | $3679.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115242 | PA      | $119835.80    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                                                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAE5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      61000 | PA      | $61599.20     | 0.01%             | 2026-09-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| WISCONSIN PUBLIC SERVICE                                                         | Wisconsin Public Service Corp                                                   | CUSIP: 976843BM3<br>LEI: 549300BJRHJVYNUMQZ30 | Long             | DBT              | CORP              | US        |      85000 | PA      | $58063.97     | 0.01%             | 2049-09-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                                               | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     270000 | PA      | $281812.50    | 0.04%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                                    | CoreWeave Inc                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |     507000 | PA      | $518323.00    | 0.07%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78668 | PA      | $77761.18     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.662060 17-SEP-2028 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7400000 | OU      | $32328.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149711 | PA      | $145857.22    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1217954.25   | 0.17%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                                            | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |      95000 | PA      | $92455.34     | 0.01%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229191 | PA      | $182360.79    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182100 | PA      | $172099.20    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     775000 | PA      | $783929.82    | 0.11%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61655 | PA      | $63680.28     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23116 | PA      | $21359.88     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163672 | PA      | $157715.75    | 0.02%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                          | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AH5<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      80000 | PA      | $74197.60     | 0.01%             | 2063-05-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31294MAC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $101.06       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance 2019 Inc / CSL Capital LLC                 | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |     202000 | PA      | $214128.59    | 0.03%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34409 | PA      | $32584.93     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     819988 | PA      | $617086.62    | 0.09%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440428 | PA      | $441718.31    | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ZA        |          1 | NC      | $-638.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW FLYER HOLDINGS                                                               | New Flyer Holdings Inc                                                          | CUSIP: 64438WAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     266000 | PA      | $280641.10    | 0.04%             | 2030-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175000 | PA      | $162702.19    | 0.02%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                                           | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PAX0<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |     160000 | PA      | $164944.46    | 0.02%             | 2028-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AJ6<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     125000 | PA      | $128856.69    | 0.02%             | 2029-07-01      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118178 | PA      | $109538.79    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12392 | PA      | $12101.45     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     750058 | PA      | $637566.85    | 0.09%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67480 | PA      | $65070.81     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71825 | PA      | $62422.85     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                                                          | Blue Bridge Funding 2023-1 LLC                                                  | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     282146 | PA      | $284702.89    | 0.04%             | 2030-11-15      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1368.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     947202 | PA      | $907741.92    | 0.13%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     240000 | PA      | $244198.35    | 0.03%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92532 | PA      | $83928.70     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                                      | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     100000 | PA      | $65720.67     | 0.01%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     155000 | PA      | $160917.24    | 0.02%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A9TL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32673 | PA      | $32804.15     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     104000 | PA      | $103139.40    | 0.01%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1408653.89   | 0.20%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518144 | PA      | $432105.72    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                                         | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     235000 | PA      | $260270.60    | 0.04%             | 2054-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7SJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     330835 | PA      | $320416.89    | 0.05%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1240049 | PA      | $1103809.80   | 0.16%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29338 | PA      | $27818.31     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     105000 | PA      | $55799.65     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                        | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     385000 | PA      | $364420.51    | 0.05%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNA                                                         | Compass Minerals International Inc                                              | CUSIP: 20451NAJ0<br>LEI: 2549008X9G8XP7YJGC47 | Long             | DBT              | CORP              | US        |     275000 | PA      | $284113.56    | 0.04%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1548489 | PA      | $1371758.34   | 0.19%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     370000 | PA      | $268359.95    | 0.04%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62979 | PA      | $59047.33     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FL6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     300000 | PA      | $247571.40    | 0.03%             | 2044-10-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     125000 | PA      | $133126.79    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     525000 | PA      | $538920.36    | 0.08%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36176HTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4418 | PA      | $4118.22      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6539 | PA      | $6139.49      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                              | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $506587.14    | 0.07%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| VIRIDIEN                                                                         | Viridien                                                                        | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     150000 | PA      | $147607.73    | 0.02%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1743097.12   | 0.25%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1530966 | PA      | $1513040.51   | 0.21%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4802 | PA      | $4669.04      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406XLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4693 | PA      | $4904.45      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19312 | PA      | $17316.00     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32478 | PA      | $30565.84     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312939JD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4223 | PA      | $4218.10      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $147640.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75479 | PA      | $67654.18     | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                              | Sirius XM Radio LLC                                                             | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     446000 | PA      | $411229.63    | 0.06%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1490460.02   | 0.21%             | 2042-03-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| GULFPORT ENERGY OP CORP                                                          | Gulfport Energy Operating Corp                                                  | CUSIP: 402635AT3<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |     211000 | PA      | $216243.91    | 0.03%             | 2029-09-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| AMER SPORTS COMPANY                                                              | Amer Sports Co                                                                  | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |     269000 | PA      | $280080.11    | 0.04%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD COP                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6502.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     615000 | PA      | $560892.02    | 0.08%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63441.49     | 0.01%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     812000 | PA      | $816895.82    | 0.12%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-6346.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5626763 | PA      | $4583092.46   | 0.65%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Funds III                                                              | BlackRock Cash Funds: Institutional, SL Agency Shares                           | CUSIP: 066922519<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |   27501267 | NS      | $27512267.39  | 3.88%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: HKD 2.945000 17-SEP-2030 HKD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4890000 | OU      | $-6797.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450000 | PA      | $457607.66    | 0.06%             | 2028-11-15      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     590000 | PA      | $623947.69    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                                         | TotalEnergies Capital SA                                                        | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |     440000 | PA      | $423418.23    | 0.06%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: —       |
| DAVITA INC                                                                       | DaVita Inc                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92933.73     | 0.01%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED MXN / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | MX        |          1 | NC      | $954.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3597.68      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17687.24     | 0.00%             | 2052-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AF1<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |     300000 | PA      | $287626.12    | 0.04%             | 2044-02-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AE0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     195000 | PA      | $207201.06    | 0.03%             | 2030-03-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      92000 | PA      | $99133.72     | 0.01%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40248 | PA      | $40309.88     | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                       | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |    2189000 | PA      | $1948992.66   | 0.28%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: —       |
| State of California                                                              | CALIFORNIA ST                                                                   | CUSIP: 13063BJC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     150000 | PA      | $180737.39    | 0.03%             | 2040-11-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.448250 16-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     510000 | OU      | $1844.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED THB / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $306.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-26976.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1349711.79   | 0.19%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                                                     | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57550.56     | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | KR        |          1 | NC      | $247.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ESSENTIAL UTILITIES INC                                                          | Essential Utilities Inc                                                         | CUSIP: 29670GAD4<br>LEI: 549300ILTEOF3E3QY357 | Long             | DBT              | CORP              | US        |     180000 | PA      | $165737.09    | 0.02%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AZ1<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    1575000 | PA      | $1599496.09   | 0.23%             | 2028-02-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YL2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53971 | PA      | $46359.58     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     230000 | PA      | $234507.03    | 0.03%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12520 | PA      | $12918.05     | 0.00%             | 2043-05-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412AQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1509 | PA      | $1582.15      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                              | Synchrony Financial                                                             | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     163000 | PA      | $170554.16    | 0.02%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.509700 24-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    1010000 | OU      | $-1614.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1085.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                                         | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     170000 | PA      | $106296.96    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20811 | PA      | $20749.85     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     330000 | PA      | $262483.06    | 0.04%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     145000 | PA      | $129996.63    | 0.02%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160203 | PA      | $140271.33    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CQ2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     125000 | PA      | $104895.38    | 0.01%             | 2048-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |     420000 | PA      | $438642.35    | 0.06%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8046 | PA      | $7935.33      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46225 | PA      | $47307.64     | 0.01%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| USA COM PART/USA COM FIN                                                         | USA Compression Partners LP / USA Compression Finance Corp                      | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     177000 | PA      | $181412.96    | 0.03%             | 2029-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     165000 | PA      | $156425.01    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    2332000 | PA      | $2089708.28   | 0.30%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        433 | NC      | $354730.93    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232302 | PA      | $202076.33    | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTED4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996486 | PA      | $1041728.77   | 0.15%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                         | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      25000 | PA      | $24730.94     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                            | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      85000 | PA      | $86825.16     | 0.01%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: —       |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-34.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199162.23    | 0.03%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     610000 | PA      | $615607.47    | 0.09%             | 2035-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-2728.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31404QAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34493 | PA      | $34928.06     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.934290 15-JUN-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     270000 | OU      | $1813.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         52 | NC      | $42425.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56246 | PA      | $59010.69     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     470000 | PA      | $472720.96    | 0.07%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.595860 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  143390000 | OU      | $-670593.38   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6828 | PA      | $6648.33      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                                                          | Canadian Natural Resources Ltd                                                  | CUSIP: 136385AY7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $85382.46     | 0.01%             | 2047-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| XCEL ENERGY INC                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BBA7<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101994.32    | 0.01%             | 2033-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     100000 | PA      | $105126.56    | 0.01%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2024-2                                    | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2030000 | PA      | $2067648.79   | 0.29%             | 2030-04-15      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     745000 | PA      | $598695.23    | 0.08%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3427276.05   | 0.48%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                         | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1680519.15   | 0.24%             | 2052-03-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                                            | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98600.81     | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3605224.35   | 0.51%             | 2042-03-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                                             | Eleven Madison Trust 2015-11MD Mortgage Trust                                   | CUSIP: 556227AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $148062.56    | 0.02%             | 2035-09-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS                                                                  | Eagle Materials Inc                                                             | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |     555000 | PA      | $492150.07    | 0.07%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292SAV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      50942 | PA      | $47836.82     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78907.96     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.973120 17-SEP-2030 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5870000 | OU      | $7425.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-679.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $-239.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                        | CUSIP: 970648AN1<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     940000 | PA      | $934304.67    | 0.13%             | 2054-03-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22908 | PA      | $21686.27     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1574683.80   | 0.22%             | 2042-04-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| VALARIS LTD                                                                      | Valaris Ltd                                                                     | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     262000 | PA      | $268805.19    | 0.04%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45952 | PA      | $42056.86     | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.501500 02-JUL-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     380000 | OU      | $-294.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GUJW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       9840 | PA      | $9487.47      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                          | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77554.10     | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      85000 | PA      | $82433.80     | 0.01%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |     135000 | PA      | $139084.52    | 0.02%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                                         | Diamond Foreign Asset Co / Diamond Finance LLC                                  | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     348000 | PA      | $362350.48    | 0.05%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      40000 | PA      | $27027.43     | 0.00%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                               | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |      90000 | PA      | $93168.09     | 0.01%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| DIVERSIFIED HEALTHCARE T                                                         | Diversified Healthcare Trust                                                    | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              |  | US        |     179000 | PA      | $151177.67    | 0.02%             | 2031-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2161506 | PA      | $1733347.73   | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3968 | PA      | $4093.48      | 0.00%             | 2041-07-01      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MBWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37070 | PA      | $36529.30     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     105000 | PA      | $64995.74     | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     535000 | PA      | $532475.34    | 0.08%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 1                                                                   | EDCON HOLDCO 1                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |    1643590 | NS      | $0.93         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Dominion Energy Inc                                                              | Dominion Energy Inc                                                             | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      58000 | PA      | $55118.91     | 0.01%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55083 | PA      | $50914.20     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409CE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5144 | PA      | $5392.06      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     370000 | PA      | $333555.50    | 0.05%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                                                | NSTAR Electric Co                                                               | CUSIP: 67021CAQ0<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |     110000 | PA      | $71789.61     | 0.01%             | 2051-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1310630 | OU      | $100699.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658769 | PA      | $552471.37    | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180NAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29117 | PA      | $27099.08     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7778 | PA      | $7383.53      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-6900.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     195000 | PA      | $183161.51    | 0.03%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                                           | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |      85000 | PA      | $61704.42     | 0.01%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132014 | PA      | $123744.81    | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4053 | PA      | $3870.52      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                       | PacifiCorp                                                                      | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     280000 | PA      | $214400.00    | 0.03%             | 2049-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              |  | US        |      50000 | PA      | $52327.80     | 0.01%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                         | Northern States Power Co/MN                                                     | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      85000 | PA      | $81945.97     | 0.01%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30936 | PA      | $27929.32     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      90000 | PA      | $59795.74     | 0.01%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                                            | Bausch Health Cos Inc                                                           | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     169000 | PA      | $167310.00    | 0.02%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      54000 | PA      | $37272.67     | 0.01%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296J3K0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      43060 | PA      | $44035.76     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7209 | PA      | $6828.34      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                                                | Atmos Energy Corp                                                               | CUSIP: 049560AT2<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25611.90     | 0.00%             | 2031-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                             | Blue Owl Finance LLC                                                            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     970000 | PA      | $998087.91    | 0.14%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE                                                         | Walgreens Boots Alliance Inc                                                    | CUSIP: 931427AW8<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |     267000 | PA      | $283173.81    | 0.04%             | 2029-08-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592719 | PA      | $499435.47    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157284 | PA      | $147892.10    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.455000 13-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     330000 | OU      | $953.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.723640 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     300000 | OU      | $-1429.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     230000 | PA      | $228422.25    | 0.03%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| NEW GOLD INC                                                                     | New Gold Inc                                                                    | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     201000 | PA      | $207145.98    | 0.03%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.366000 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  359342249 | OU      | $-28313.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED CZK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CZ        |          1 | NC      | $19508.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42066 | PA      | $41087.20     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41328 | PA      | $39853.01     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.427510 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3750000 | OU      | $6700.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                                           | CUSIP: 89417EAS8<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |     140000 | PA      | $136911.93    | 0.02%             | 2053-05-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338331 | PA      | $319479.27    | 0.05%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325517 | PA      | $299232.04    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAC3<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49947.57     | 0.01%             | 2030-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31371KP88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4797 | PA      | $5057.12      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     685000 | PA      | $670991.24    | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $1607.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     720000 | PA      | $658178.23    | 0.09%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72007 | PA      | $66766.88     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236975 | PA      | $216421.70    | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415RPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5903 | PA      | $6088.00      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NZ        |          1 | NC      | $238.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31411WXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4540 | PA      | $4528.59      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297GD64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102202 | PA      | $103491.72    | 0.01%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39337 | PA      | $38128.64     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IBM INTERNAT CAPITAL                                                             | IBM International Capital Pte Ltd                                               | CUSIP: 449276AG9<br>LEI: 2549007KTXQQBYZO7485 | Long             | DBT              | CORP              | SG        |     200000 | PA      | $187135.09    | 0.03%             | 2054-02-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1410.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $64385.64     | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185193 | PA      | $178406.48    | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFS6<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      80000 | PA      | $82339.65     | 0.01%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                                          | DCP Midstream Operating LP                                                      | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |      17000 | PA      | $15022.93     | 0.00%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5011 | PA      | $5073.60      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417Y7H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21230 | PA      | $20828.16     | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1534706.60   | 0.22%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     535000 | PA      | $483061.58    | 0.07%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XS6Q8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      17745 | PA      | $17768.75     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR                                                           | Millicom International Cellular SA                                              | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |      67500 | PA      | $67567.50     | 0.01%             | 2029-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5498.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3665.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66555.03     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9714 | PA      | $9483.79      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4303 | PA      | $4236.55      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | CUSIP: 053773BH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      68000 | PA      | $70430.32     | 0.01%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QL4T7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7279 | PA      | $6915.75      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9664 | PA      | $9210.56      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416YLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47090 | PA      | $47676.10     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.427510 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     130000 | OU      | $6700.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1065428 | PA      | $1073370.86   | 0.15%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154368 | PA      | $146436.66    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202DJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1090 | PA      | $1133.03      | 0.00%             | 2030-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1740000 | PA      | $1694506.64   | 0.24%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131519 | PA      | $125175.19    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ERP OPERATING LP                                                                 | ERP Operating LP                                                                | CUSIP: 26884ABP7<br>LEI: DX5HQV5MLU50FEWZ5072 | Long             | DBT              |  | US        |     330000 | PA      | $320228.16    | 0.05%             | 2034-09-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      75000 | PA      | $67029.29     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     720000 | PA      | $728153.89    | 0.10%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     205000 | PA      | $202923.99    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12975 | PA      | $12874.58     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                                          | CUSIP: 776696AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     665000 | PA      | $666320.65    | 0.09%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                                | Eversource Energy                                                               | CUSIP: 30040WAE8<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194708.69    | 0.03%             | 2028-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10174 | PA      | $9484.43      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                                    | Nordstrom Inc                                                                   | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     227000 | PA      | $209310.57    | 0.03%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     385000 | PA      | $356922.50    | 0.05%             | 2028-10-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                            | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95881.12     | 0.01%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $78414.15     | 0.01%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                             | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     150000 | PA      | $93668.03     | 0.01%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAJ0<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    1070000 | PA      | $1093975.88   | 0.15%             | 2035-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     535000 | PA      | $551659.03    | 0.08%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38847 | PA      | $38143.24     | 0.01%             | 2034-09-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AS3<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18010.65     | 0.00%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HMVZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      60606 | PA      | $56911.99     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                     | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     222500 | PA      | $223014.05    | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAU6<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |      90000 | PA      | $86950.65     | 0.01%             | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.245000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  745080000 | OU      | $-6252.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.579000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  850950000 | OU      | $2849.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                                            | General Dynamics Corp                                                           | CUSIP: 369550BP2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     550000 | PA      | $491829.64    | 0.07%             | 2031-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC                                                           | Match Group Holdings II LLC                                                     | CUSIP: 57665RAJ5<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     116000 | PA      | $115152.18    | 0.02%             | 2029-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| CHEVRON USA INC                                                                  | Chevron USA Inc                                                                 | CUSIP: 166756BF2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $2184589.03   | 0.31%             | 2035-04-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     340000 | PA      | $248625.00    | 0.04%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CZ8<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     700000 | PA      | $568348.03    | 0.08%             | 2046-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4420.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076BZ4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     110000 | PA      | $74232.14     | 0.01%             | 2049-12-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAF4<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143500.00    | 0.02%             | 2033-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| COMMSCOPE LLC                                                                    | CommScope LLC                                                                   | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     220000 | PA      | $219152.23    | 0.03%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11666 | PA      | $11969.14     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620C0XW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95024 | PA      | $95835.81     | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAG2<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      95000 | PA      | $97134.65     | 0.01%             | 2032-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8LM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205660 | PA      | $185845.60    | 0.03%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RALPH LAUREN CORP                                                                | Ralph Lauren Corp                                                               | CUSIP: 751212AD3<br>LEI: HO1QNWM0IXBZ0QSMMO20 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1217860.98   | 0.17%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     318012 | PA      | $285642.55    | 0.04%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR PRODUCTS & CHEMICALS                                                         | Air Products and Chemicals Inc                                                  | CUSIP: 009158AZ9<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |      87000 | PA      | $63293.41     | 0.01%             | 2040-05-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TUTOR PERINI CORP                                                                | Tutor Perini Corp                                                               | CUSIP: 901109AG3<br>LEI: 549300FHXYVPW8LJ6D98 | Long             | DBT              | CORP              | US        |     184000 | PA      | $207132.30    | 0.03%             | 2029-04-30      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KR5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623561 | PA      | $646037.80    | 0.09%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7ME3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $837.33       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807CL9<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     700000 | PA      | $629610.24    | 0.09%             | 2042-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101127 | PA      | $93190.89     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBE9<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1125000 | PA      | $1135184.14   | 0.16%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: AUD 3.591000 17-SEP-2030 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $-889.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168201 | PA      | $154933.65    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE HOLD                                                            | Freedom Mortgage Holdings LLC                                                   | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40431.08     | 0.01%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24541500 | PA      | $24937178.68  | 3.52%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $2078.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                                                          | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              |  | US        |     161000 | PA      | $148713.77    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $14075.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                                 | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     370000 | PA      | $262569.08    | 0.04%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6193 | PA      | $6015.71      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     734420 | PA      | $624268.82    | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     904476 | PA      | $768823.95    | 0.11%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.612250 17-SEP-2035 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     240000 | OU      | $365.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YPAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36978 | PA      | $32713.71     | 0.00%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075000 | PA      | $913147.33    | 0.13%             | 2054-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419AVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94898 | PA      | $97084.18     | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2981157 | PA      | $2389325.17   | 0.34%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        538 | PA      | $553.85       | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1269.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154396 | PA      | $150402.53    | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8330 | PA      | $8530.60      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     350000 | PA      | $354555.61    | 0.05%             | 2029-12-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20376 | PA      | $19314.76     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-18012.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53954 | PA      | $50146.73     | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.726400 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     440000 | OU      | $-2171.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ITHACA ENERGY NORTH                                                              | Ithaca Energy North Sea PLC                                                     | CUSIP: 46567TAC8<br>LEI: 213800BMMUN3AKWBIO91 | Long             | DBT              | CORP              | GB        |     350000 | PA      | $360448.20    | 0.05%             | 2029-10-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                                     | CUSIP: 713448FT0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     365000 | PA      | $321774.51    | 0.05%             | 2053-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                                              | Fifth Third Bancorp                                                             | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     140000 | PA      | $147462.14    | 0.02%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49497 | PA      | $49021.61     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.301660 17-SEP-2030 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3710000 | OU      | $-2269.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                                         | American Water Capital Corp                                                     | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      65000 | PA      | $62870.86     | 0.01%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55096 | PA      | $52453.33     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3132 | PA      | $2966.09      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54821 | PA      | $52962.21     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7204 | PA      | $7012.10      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5401 | PA      | $4840.74      | 0.00%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                  | AstraZeneca PLC                                                                 | CUSIP: 046353AM0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $174080.60    | 0.02%             | 2045-11-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15338 | PA      | $14508.80     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448DA6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     130000 | PA      | $127857.59    | 0.02%             | 2054-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     790000 | PA      | $811803.52    | 0.11%             | 2028-03-02      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     140000 | PA      | $126182.79    | 0.02%             | 2052-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WX90<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     200000 | PA      | $163624.12    | 0.02%             | 2048-09-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70224.16     | 0.01%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      38445 | PA      | $37100.95     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288BLZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3374 | PA      | $3518.06      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     401979 | PA      | $341686.85    | 0.05%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187114 | PA      | $172729.27    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                                         | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     175000 | PA      | $185046.45    | 0.03%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KZC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36669 | PA      | $38127.38     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE MORTGAGE TR                                                           | Blackstone Mortgage Trust Inc                                                   | CUSIP: 09257WAF7<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | DBT              |  | US        |      45000 | PA      | $47867.12     | 0.01%             | 2029-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BC5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     180000 | PA      | $181381.23    | 0.03%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ABZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24874 | PA      | $24791.56     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE SEP25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         18 | NC      | $38385.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| IQVIA INC                                                                        | IQVIA Inc                                                                       | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      95000 | PA      | $99289.35     | 0.01%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     625000 | PA      | $637408.36    | 0.09%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAJ5<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1194834.83   | 0.17%             | 2034-06-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                            | Arrow Electronics Inc                                                           | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     944000 | PA      | $974850.20    | 0.14%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255283 | PA      | $237366.48    | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914869 | PA      | $767244.81    | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371771 | PA      | $358787.24    | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133A9NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340799 | PA      | $272327.68    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53122 | PA      | $47695.15     | 0.01%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                                                                   | Phillips 66 Co                                                                  | CUSIP: 718547AW2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |     120000 | PA      | $111422.75    | 0.02%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     195000 | PA      | $174510.10    | 0.02%             | 2037-03-03      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41499 | PA      | $37079.29     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6688 | PA      | $6652.77      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15793 | PA      | $16543.26     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7424 | PA      | $6561.09      | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16408870 | OU      | $-1212.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EASTMAN CHEMICAL CO                                                              | Eastman Chemical Co                                                             | CUSIP: 277432AY6<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | DBT              | CORP              | US        |     600000 | PA      | $611518.24    | 0.09%             | 2034-02-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XJH48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71976 | PA      | $67370.44     | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                                           | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |     271000 | PA      | $173398.21    | 0.02%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     990937 | PA      | $930640.90    | 0.13%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163909 | PA      | $154504.93    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     130000 | PA      | $109044.13    | 0.02%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Amgen Inc                                                                        | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     800000 | PA      | $785229.48    | 0.11%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $211.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     528619 | PA      | $469941.49    | 0.07%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279261 | PA      | $260312.81    | 0.04%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48176 | PA      | $44433.68     | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33605 | PA      | $33357.93     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | BR        |          1 | NC      | $4605.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     106765 | PA      | $101316.57    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     235000 | PA      | $237142.90    | 0.03%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36210BBZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3846 | PA      | $3999.99      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2024-2                                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     790000 | PA      | $790981.26    | 0.11%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                                                         | Aston Martin Capital Holdings Ltd                                               | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |     400000 | PA      | $378755.40    | 0.05%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75079 | PA      | $70359.51     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                             | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |     730000 | PA      | $748600.94    | 0.11%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     308000 | PA      | $325521.42    | 0.05%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                              | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |      30000 | PA      | $19473.90     | 0.00%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     283000 | PA      | $291812.05    | 0.04%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      55000 | PA      | $56267.76     | 0.01%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     111000 | PA      | $105464.50    | 0.01%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.907860 17-SEP-2055 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1010000 | OU      | $29.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1336840.40   | 0.19%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475431 | PA      | $481097.72    | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17009 | PA      | $14886.82     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178454 | PA      | $164747.19    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.397500 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1199360000 | OU      | $-3634.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1975000 | PA      | $1949066.71   | 0.28%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     425000 | PA      | $400491.71    | 0.06%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      41000 | PA      | $41097.06     | 0.01%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      93000 | PA      | $97622.04     | 0.01%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.467500 17-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     340000 | OU      | $655.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                                            | Republic Services Inc                                                           | CUSIP: 760759BL3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     115000 | PA      | $117150.57    | 0.02%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 3.743690 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     370000 | OU      | $-2217.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GF5X1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5191 | PA      | $5174.15      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3000 | PA      | $2991.70      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      95700 | PA      | $85126.11     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138M8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5297 | PA      | $5224.24      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     435000 | PA      | $424763.52    | 0.06%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-4665.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36294UU67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3895 | PA      | $3631.28      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                                       | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |     325000 | PA      | $321310.57    | 0.05%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-4197.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                                 | Black Hills Corp                                                                | CUSIP: 092113AX7<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |     150000 | PA      | $155571.38    | 0.02%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED SEK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | SE        |          1 | NC      | $1049.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91646 | PA      | $85002.69     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEDOM MORTGAGE CORP                                                            | Freedom Mortgage Corp                                                           | CUSIP: 35640YAL1<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |      81000 | PA      | $89818.38     | 0.01%             | 2030-10-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                                                | National Grid PLC                                                               | CUSIP: 636274AF9<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |      90000 | PA      | $92458.88     | 0.01%             | 2034-01-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                                                    | FirstCash Inc                                                                   | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |     229000 | PA      | $236967.60    | 0.03%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-31.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940EP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6896 | PA      | $6887.00      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FOOT LOCKER INC                                                                  | Foot Locker Inc                                                                 | CUSIP: 344849AA2<br>LEI: 549300X383CBNP6MTV94 | Long             | DBT              | CORP              | US        |      80000 | PA      | $75464.24     | 0.01%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| PACKAGING CORP OF AMERIC                                                         | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |     900000 | PA      | $687726.53    | 0.10%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CVR PARTNERS/CVR NITROGE                                                         | CVR Partners LP / CVR Nitrogen Finance Corp                                     | CUSIP: 12663QAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193000 | PA      | $192756.26    | 0.03%             | 2028-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AC9<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      85000 | PA      | $76351.57     | 0.01%             | 2030-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.685000 17-SEP-2030 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13710000 | OU      | $10225.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AH0<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     223000 | PA      | $235937.79    | 0.03%             | 2028-12-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                                                  | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     180000 | PA      | $130560.84    | 0.02%             | 2049-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31295NJW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4512 | PA      | $4608.57      | 0.00%             | 2032-04-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED CZK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CZ        |          1 | NC      | $354.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41037 | PA      | $37401.74     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296MF20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10841 | PA      | $10982.56     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSURED GUARANTY US HLDG                                                         | Assured Guaranty US Holdings Inc                                                | CUSIP: 04621WAF7<br>LEI: 5493007YCE0652G9TZ64 | Long             | DBT              | CORP              | US        |     335000 | PA      | $352050.24    | 0.05%             | 2028-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2T6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      22828 | PA      | $21573.52     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                                            | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |      90000 | PA      | $83531.24     | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.395200 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8850000 | OU      | $2809.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NiSource Inc                                                                    | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     130000 | PA      | $100323.58    | 0.01%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.567360 17-SEP-2028 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12060000 | OU      | $-83733.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203252 | PA      | $208025.41    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                   | NRG Energy Inc                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      80000 | PA      | $81507.84     | 0.01%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407YDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22622 | PA      | $23275.31     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2817 | PA      | $2868.79      | 0.00%             | 2043-08-01      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1535262 | PA      | $1286033.37   | 0.18%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                   | Rocket Cos Inc                                                                  | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $122784.06    | 0.02%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196263 | PA      | $190916.05    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                         | RenaissanceRe Holdings Ltd                                                      | CUSIP: 75968NAE1<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1029011.06   | 0.15%             | 2033-06-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                                                         | Fortress Transportation and Infrastructure Investors LLC                        | CUSIP: 34960PAG6<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     176000 | PA      | $181724.93    | 0.03%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Standard Chartered Bank                                                          | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $3723.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     879130 | PA      | $662716.72    | 0.09%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOEASY LTD                                                                       | goeasy Ltd                                                                      | CUSIP: 380355AN7<br>LEI: 5493009DJVZG2P8YV435 | Long             | DBT              | CORP              | CA        |     105000 | PA      | $107289.85    | 0.02%             | 2030-10-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     233000 | PA      | $198600.13    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBP7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     965000 | PA      | $681227.38    | 0.10%             | 2061-02-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102171 | PA      | $90231.64     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-3401.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46314 | PA      | $44262.04     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DARDEN RESTAURANTS INC                                                           | Darden Restaurants Inc                                                          | CUSIP: 237194AP0<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |     355000 | PA      | $355679.27    | 0.05%             | 2027-10-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3449923.97   | 0.49%             | 2033-08-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     419235 | PA      | $431469.42    | 0.06%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                                      | CUSIP: 13077DKU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     145000 | PA      | $96055.61     | 0.01%             | 2051-11-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |      35000 | PA      | $35801.40     | 0.01%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335661 | PA      | $294031.91    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128K8FX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7679 | PA      | $7797.98      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      34848 | PA      | $35767.27     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXUP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      65192 | PA      | $68412.83     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     415000 | PA      | $355051.09    | 0.05%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBS6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     750000 | PA      | $764876.27    | 0.11%             | 2034-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4250000 | PA      | $4352996.63   | 0.61%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2790.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1374000 | PA      | $1258744.24   | 0.18%             | 2031-02-11      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      31000 | PA      | $32931.65     | 0.00%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8567 | PA      | $7741.20      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-2405.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verisk Analytics Inc                                                             | Verisk Analytics Inc                                                            | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    1056000 | PA      | $1048900.40   | 0.15%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193041 | PA      | $183645.69    | 0.03%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $407.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82144 | PA      | $73782.49     | 0.01%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $-247.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                            | Waste Connections Inc                                                           | CUSIP: 94106BAA9<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     305000 | PA      | $283790.95    | 0.04%             | 2030-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     415000 | PA      | $421951.33    | 0.06%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3673610.85   | 0.52%             | 2051-01-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                                            | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     800000 | PA      | $705423.90    | 0.10%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16870 | PA      | $16011.12     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 1.980560 17-SEP-2027 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22980000 | OU      | $12537.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CX2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $125518.00    | 0.02%             | 2071-03-12      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.670700 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4285000 | OU      | $6514.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.279230 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     440000 | OU      | $-323.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.878510 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     260000 | OU      | $-3706.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174741 | PA      | $163782.22    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10764.92     | 0.00%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233998 | PA      | $246329.46    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED NZD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |          1 | NC      | $3289.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                          | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |     150000 | PA      | $149729.81    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BX1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     425000 | PA      | $370257.44    | 0.05%             | 2032-07-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186323 | PA      | $172924.23    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     140000 | PA      | $112713.58    | 0.02%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                                         | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     383000 | PA      | $254206.58    | 0.04%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10476 | PA      | $10832.68     | 0.00%             | 2041-08-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29453 | PA      | $26362.44     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUWB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      22057 | PA      | $21265.65     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     355000 | PA      | $288003.72    | 0.04%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.IG.44.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   10930050 | OU      | $245692.55    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16679 | PA      | $17213.61     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EHS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4147 | PA      | $4268.80      | 0.00%             | 2042-01-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                                                         | Omega Healthcare Investors Inc                                                  | CUSIP: 681936BP4<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    1000000 | PA      | $1005612.61   | 0.14%             | 2030-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KHUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6021598 | PA      | $4839107.36   | 0.68%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $10155.02     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: CZK 3.542000 17-SEP-2030 PRI                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12710000 | OU      | $-2817.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                         | Vistra Operations Co LLC                                                        | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     104000 | PA      | $110535.72    | 0.02%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620A82U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25497 | PA      | $25040.86     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.780000 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2610000 | OU      | $-46501.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                                          | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      30000 | PA      | $20008.92     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18050 | PA      | $16767.55     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AUZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531005 | PA      | $519713.12    | 0.07%             | 2026-09-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389MY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15351 | PA      | $15667.89     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     185000 | PA      | $193320.00    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                                            | Quest Diagnostics Inc                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1393600.19   | 0.20%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                                      | Southern Co/The                                                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     350000 | PA      | $346220.73    | 0.05%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AHP HEALTH PARTN                                                                 | AHP Health Partners Inc                                                         | CUSIP: 00150LAB7<br>LEI: 549300QMM8MQ6SM5KX05 | Long             | DBT              | CORP              | US        |     109000 | PA      | $106293.08    | 0.02%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25905 | PA      | $25975.09     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-1609.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     115000 | PA      | $118110.87    | 0.02%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23822 | PA      | $22678.83     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5967 | PA      | $6004.66      | 0.00%             | 2032-10-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     130000 | PA      | $129776.90    | 0.02%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | JP        |          1 | NC      | $3095.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10250 | PA      | $9589.06      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29003 | PA      | $29933.29     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                 | Markel Group Inc                                                                | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     485000 | PA      | $484317.36    | 0.07%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.632290 17-SEP-2030 SAR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     120000 | OU      | $3526.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     115000 | PA      | $96500.38     | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.328000 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  264250000 | OU      | $-14236.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |      55000 | PA      | $34901.83     | 0.00%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-26031.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOX CORP                                                                         | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     500000 | PA      | $489360.99    | 0.07%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                                | Tampa Electric Co                                                               | CUSIP: 875127BN1<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |     755000 | PA      | $758524.97    | 0.11%             | 2035-03-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| GREENFIRE RESOURCES LTD                                                          | Greenfire Resources Ltd                                                         | CUSIP: 39525UAA5<br>LEI: 254900MTS0G2VGMJW059 | Long             | DBT              | CORP              | CA        |     167000 | PA      | $175774.01    | 0.02%             | 2028-10-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     225000 | PA      | $218675.62    | 0.03%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61887 | PA      | $66012.30     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                           | Patrick Industries Inc                                                          | CUSIP: 703343AH6<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200549.40    | 0.03%             | 2032-11-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      91000 | PA      | $96864.13     | 0.01%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     120000 | PA      | $77172.01     | 0.01%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111EL3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     500000 | PA      | $526137.66    | 0.07%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| KENTUCKY UTILITIES CO                                                            | Kentucky Utilities Co                                                           | CUSIP: 491674BM8<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40342.87     | 0.01%             | 2050-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160380 | PA      | $162021.75    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10324 | PA      | $10664.81     | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                           | American International Group Inc                                                | CUSIP: 026874DW4<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     470000 | PA      | $477481.42    | 0.07%             | 2030-05-07      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-5693.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                              | Cardinal Health Inc                                                             | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |     158000 | PA      | $162579.57    | 0.02%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-87.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY METRO                                                                     | Evergy Metro Inc                                                                | CUSIP: 485134BP4<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299622.09    | 0.04%             | 2025-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   32848789 | OU      | $-2426.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-5333.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2470000 | PA      | $2411626.96   | 0.34%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Union Electric Co                                                                | Union Electric Co                                                               | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     230000 | PA      | $180522.47    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84858 | PA      | $83337.94     | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.362320 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22150000 | OU      | $-4866.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     589112 | PA      | $496480.27    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | CUSIP: 053773BJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     132000 | PA      | $137860.80    | 0.02%             | 2030-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728473 | PA      | $1386402.10   | 0.20%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                          | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     268000 | PA      | $281850.78    | 0.04%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBP1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     270000 | PA      | $267023.48    | 0.04%             | 2034-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.XO.43.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1831370 | OU      | $203637.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2817846.75   | 0.40%             | 2033-10-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                         | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |     154000 | PA      | $138363.33    | 0.02%             | 2029-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39602 | PA      | $39591.77     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4042000 | PA      | $4149355.52   | 0.59%             | 2041-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| EDCON HOLDCO 2                                                                   | EDCON HOLDCO 2                                                                  | CUSIP: 000000000<br>LEI: 213800QFMH6S1TYEKJ66 | Long             | EC               | CORP              | ZA        |     163560 | NS      | $0.09         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70454 | PA      | $64670.68     | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.355000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1030010000 | OU      | $-4660.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                | Johnson & Johnson                                                               | CUSIP: 478160BV5<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     279000 | PA      | $223871.40    | 0.03%             | 2046-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FFW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20321 | PA      | $20972.24     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                                            | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |          1 | NC      | $-5218.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |          1 | NC      | $3903.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1316 | PA      | $1358.86      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3366658 | PA      | $3298337.91   | 0.47%             | 2028-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                         | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20557.40     | 0.00%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AQAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6509 | PA      | $6271.35      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55264 | PA      | $49390.67     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150458 | PA      | $139098.85    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Board of Regents of the University of Texas System                               | UNIV OF TEXAS TX UNIV REVENUES                                                  | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |     105000 | PA      | $62685.15     | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     134000 | PA      | $139325.96    | 0.02%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUYA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $1983.05      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31296XKQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       4032 | PA      | $4091.76      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2557.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                   | Merck & Co Inc                                                                  | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     710000 | PA      | $652713.03    | 0.09%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| PRES & FELLOWS OF HARVAR                                                         | President and Fellows of Harvard College                                        | CUSIP: 740816AP8<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |      54000 | PA      | $32757.82     | 0.00%             | 2050-10-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     535000 | PA      | $315115.00    | 0.04%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.632500 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  586060000 | OU      | $3064.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAKEMED                                                                          | WakeMed                                                                         | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |      81000 | PA      | $54018.95     | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     433000 | PA      | $395437.22    | 0.06%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     283000 | PA      | $290617.64    | 0.04%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                                     | CUSIP: 797440CD4<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |      95000 | PA      | $88720.84     | 0.01%             | 2053-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90401 | PA      | $81959.81     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RPM International Inc                                                            | RPM International Inc                                                           | CUSIP: 749685AV5<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     105000 | PA      | $103700.89    | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1141829 | PA      | $956479.54    | 0.14%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727470 | PA      | $610774.19    | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.950000 15-MAY-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     270000 | OU      | $585.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288203 | PA      | $280306.75    | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31409GKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8399 | PA      | $8804.64      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                                         | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     550000 | PA      | $538026.78    | 0.08%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.571940 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9420000 | OU      | $-39754.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84497 | PA      | $74008.77     | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13970 | PA      | $12445.49     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50513.96     | 0.01%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HELIX ENERGY SOLUTIONS                                                           | Helix Energy Solutions Group Inc                                                | CUSIP: 42330PAL1<br>LEI: 416AP2JOUTCWEGSOZW41 | Long             | DBT              | CORP              | US        |     124000 | PA      | $131177.96    | 0.02%             | 2029-03-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     142000 | PA      | $140583.42    | 0.02%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Appalachian Power Co                                                             | Appalachian Power Co                                                            | CUSIP: 037735CW5<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |      90000 | PA      | $88280.80     | 0.01%             | 2027-06-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492844 | PA      | $396711.84    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBL4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      70000 | PA      | $67270.64     | 0.01%             | 2053-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81920 | PA      | $79020.82     | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                                                   | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     160000 | PA      | $145363.11    | 0.02%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9493 | PA      | $8820.35      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $3051.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.183000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  653410000 | OU      | $-6906.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400SHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21446 | PA      | $21789.42     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp                                                               | Southwest Gas Corp                                                              | CUSIP: 845011AA3<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |      80000 | PA      | $78390.19     | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                               | Rithm Capital Corp                                                              | CUSIP: 64828TAC6<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              |  | US        |      90000 | PA      | $90450.00     | 0.01%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BURFORD CAPITAL GLBL FIN                                                         | Burford Capital Global Finance LLC                                              | CUSIP: 12116LAE9<br>LEI: 549300JVAOO67CSCH406 | Long             | DBT              | CORP              | US        |     220000 | PA      | $231540.98    | 0.03%             | 2031-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                                | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     120000 | PA      | $114815.30    | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     445241 | PA      | $378902.21    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                                | Post Holdings Inc                                                               | CUSIP: 737446AX2<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105596.30    | 0.01%             | 2034-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $8802.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16660 | PA      | $16850.10     | 0.00%             | 2035-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     355000 | PA      | $370410.55    | 0.05%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2100000 | PA      | $2130675.27   | 0.30%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82058 | PA      | $77422.43     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13335 | PA      | $11834.05     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5540 | PA      | $5608.77      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     150000 | PA      | $148925.22    | 0.02%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      70000 | PA      | $62062.23     | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454758 | PA      | $378340.25    | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     972912 | PA      | $783387.16    | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDG7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     960000 | PA      | $987855.54    | 0.14%             | 2030-07-26      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                              | CUSIP: 756109CF9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |     630000 | PA      | $636919.88    | 0.09%             | 2029-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: KRW 2.402500 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  788360000 | OU      | $-2250.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11866 | PA      | $11103.43     | 0.00%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5199 | PA      | $4846.08      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                              | CUSIP: 925650AE3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      77000 | PA      | $71075.12     | 0.01%             | 2052-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1200102 | PA      | $1061777.97   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNJK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       6258 | PA      | $6112.68      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172486 | PA      | $161699.10    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-B                                        | CUSIP: 00792FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1507263.60   | 0.21%             | 2028-09-15      | Fixed         | 7.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53396 | PA      | $47894.42     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD ZAR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-2002.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48381000 | PA      | $48747637.02  | 6.88%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12807 | PA      | $12140.98     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                            | CUSIP: 78016EZD2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     630000 | PA      | $623934.75    | 0.09%             | 2027-05-04      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7956 | PA      | $7771.21      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                                          | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     485053 | PA      | $470199.12    | 0.07%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58940 | PA      | $53871.69     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295615 | PA      | $247270.69    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                                 | CSC Holdings LLC                                                                | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     351000 | PA      | $349679.01    | 0.05%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: —       |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                    | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      51919 | PA      | $51099.52     | 0.01%             | 2035-02-26      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBH4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |     170000 | PA      | $144712.47    | 0.02%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61829 | PA      | $57353.54     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.304250 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     550000 | OU      | $356.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Ohio Inc                                                             | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80346.60     | 0.01%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262427 | PA      | $241263.37    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79205 | PA      | $73202.03     | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                                         | Wisconsin Electric Power Co                                                     | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20219.03     | 0.00%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8143 | PA      | $7622.07      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6AR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16927 | PA      | $17490.47     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22807 | PA      | $20569.96     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA OIL GAS/MAG FIN                                                         | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp              | CUSIP: 559665AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     296000 | PA      | $298093.02    | 0.04%             | 2032-12-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3324 | PA      | $3170.66      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      55000 | PA      | $53438.56     | 0.01%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $352.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                                             | Noble Finance II LLC                                                            | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     261000 | PA      | $265756.17    | 0.04%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89972 | PA      | $82519.79     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-21935.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     665000 | PA      | $671932.56    | 0.09%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNRA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      32118 | PA      | $30995.22     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64751 | PA      | $60515.16     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                               | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      60000 | PA      | $36278.92     | 0.01%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CHAMPION IRON CANADA INC                                                         | Champion Iron Canada Inc                                                        | CUSIP: 15853BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     100000 | PA      | $101388.72    | 0.01%             | 2032-07-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $12530.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | TW        |          1 | NC      | $604.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUJL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $195.71       | 0.00%             | 2025-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                                         | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90919.48     | 0.01%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.729580 17-SEP-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4280000 | OU      | $16454.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                                          | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAE6<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61340.75     | 0.01%             | 2034-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                                 | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5690000 | PA      | $5548732.09   | 0.78%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| INDIANA MICHIGAN POWER                                                           | Indiana Michigan Power Co                                                       | CUSIP: 454889AV8<br>LEI: JHR9V15J0ZRG02MIRD06 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49076.52     | 0.01%             | 2053-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                                       | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |     280000 | PA      | $265432.82    | 0.04%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY ENERG                                                         | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659AR2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |     200000 | PA      | $165337.22    | 0.02%             | 2049-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.857280 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5170000 | OU      | $66982.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     470839 | PA      | $418688.21    | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                         | Duke Energy Progress LLC                                                        | CUSIP: 26442UAS3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50707.76     | 0.01%             | 2034-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.446000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  807220000 | OU      | $-1070.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92456 | PA      | $95834.04     | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 0.222910 17-SEP-2030 SAR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     460000 | OU      | $1497.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5LD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7716 | PA      | $7978.09      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $392.63       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207870 | PA      | $195944.51    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                                                             | Kyndryl Holdings Inc                                                            | CUSIP: 50155QAM2<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23892.34     | 0.00%             | 2041-10-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ZEGONA FINANCE PLC                                                               | Zegona Finance PLC                                                              | CUSIP: 98927UAA5<br>LEI: 254900B3KC1SS7T2TE92 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $213500.00    | 0.03%             | 2029-07-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390UXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15246 | PA      | $15835.59     | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | KR        |          1 | NC      | $1476.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39396.65     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJQH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     167456 | PA      | $161934.65    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                                    | CUSIP: 92343EAQ5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     225000 | PA      | $229301.01    | 0.03%             | 2032-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      57342 | PA      | $59425.01     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                   | CUSIP: 06654DAC1<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |     119000 | PA      | $77902.34     | 0.01%             | 2050-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFUJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5183 | PA      | $5162.78      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.159030 17-SEP-2035 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3170000 | OU      | $55565.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22882 | PA      | $21131.99     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     190000 | PA      | $121825.08    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152759 | PA      | $146076.94    | 0.02%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51118 | PA      | $45743.00     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14428 | PA      | $12959.35     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     427000 | PA      | $401539.01    | 0.06%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WDDB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1572 | PA      | $1537.11      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                            | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1080000 | PA      | $1104450.77   | 0.16%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      51253 | PA      | $48172.30     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3540000 | PA      | $3620733.24   | 0.51%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11221 | PA      | $11186.62     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                                                           | American Honda Finance Corp                                                     | CUSIP: 02665WFE6<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |     450000 | PA      | $456876.80    | 0.06%             | 2029-03-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Eurex Deutschland                                                                | EURO-BUND FUTURE SEP25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -46 | NC      | $44564.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313736 | PA      | $288399.47    | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                                            | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |     230000 | PA      | $139509.92    | 0.02%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     385000 | PA      | $359531.20    | 0.05%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     150000 | PA      | $171618.53    | 0.02%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140661 | PA      | $136953.83    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.762270 17-SEP-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13340000 | OU      | $-76750.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23570 | PA      | $23826.38     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                         | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |      84000 | PA      | $68679.07     | 0.01%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83109 | PA      | $78164.40     | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1408629 | PA      | $1373062.16   | 0.19%             | 2028-03-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-299.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                                  | CUSIP: 594918CW2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     125000 | PA      | $76702.58     | 0.01%             | 2050-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      67000 | PA      | $49043.40     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                                             | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     900000 | PA      | $1032354.00   | 0.15%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                                                           | Brookfield Capital Finance LLC                                                  | CUSIP: 11259NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     145000 | PA      | $153396.56    | 0.02%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     605000 | PA      | $429007.50    | 0.06%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                              | American Tower Corp                                                             | CUSIP: 03027XCM0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      70000 | PA      | $71459.01     | 0.01%             | 2035-01-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                                                            | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAE7<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     120000 | PA      | $124366.20    | 0.02%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     339000 | PA      | $250989.70    | 0.04%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DQ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      60000 | PA      | $49060.60     | 0.01%             | 2052-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297FFY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      55262 | PA      | $56206.49     | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22160 | PA      | $20253.88     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENPRO INC                                                                        | Enpro Inc                                                                       | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40892.87     | 0.01%             | 2033-06-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| IDAHO POWER CO                                                                   | Idaho Power Co                                                                  | CUSIP: 45138LBJ1<br>LEI: TN0LL73P2C8X3W6KM391 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70604.10     | 0.01%             | 2054-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                                                         | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NS0<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     330000 | PA      | $323548.06    | 0.05%             | 2029-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6847633 | OU      | $-505.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134510 | PA      | $129774.45    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84977 | PA      | $76349.65     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 1.940000 15-MAY-2035 CPT                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     540000 | OU      | $1762.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1569272 | PA      | $1261537.97   | 0.18%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                                                             | BlackRock Cash Funds: Treasury, SL Agency Shares                                | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    2568276 | NS      | $2569303.74   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50586.10     | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                           | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     170000 | PA      | $157340.19    | 0.02%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     358000 | PA      | $379856.57    | 0.05%             | 2029-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.759500 17-SEP-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   19720000 | OU      | $-112046.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149206 | PA      | $139282.60    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31413YMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4378 | PA      | $4567.25      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     340000 | PA      | $351900.00    | 0.05%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797QM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    9100000 | PA      | $9032099.80   | 1.28%             | 2025-09-02      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15072 | PA      | $14249.65     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297P2C4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      34995 | PA      | $35543.91     | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | PURCHASED CLP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CL        |          1 | NC      | $2094.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19303 | PA      | $19723.48     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-894.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVERSITY OF CHICAGO                                                            | University of Chicago/The                                                       | CUSIP: 91412NBE9<br>LEI: 54930099Y7GU6182V326 | Long             | DBT              | CORP              | US        |     157000 | PA      | $100863.45    | 0.01%             | 2050-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1073000 | PA      | $929384.96    | 0.13%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| GARRETT MOTION HLD/SARL                                                          | Garrett Motion Holdings Inc / Garrett LX I Sarl                                 | CUSIP: 366504AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     259000 | PA      | $269652.67    | 0.04%             | 2032-05-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                                                         | Martin Marietta Materials Inc                                                   | CUSIP: 573284BA3<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     620000 | PA      | $622879.24    | 0.09%             | 2034-12-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN UNIVERSITY                                                          | Northwestern University                                                         | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |     266000 | PA      | $165065.87    | 0.02%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                           | Sempra                                                                          | CUSIP: 816851BR9<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102073.68    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782445 | PA      | $655186.61    | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55315 | PA      | $56247.88     | 0.01%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                                         | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $205062.00    | 0.03%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PYAM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      93827 | PA      | $92446.18     | 0.01%             | 2027-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9SS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     155225 | PA      | $145732.72    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                                          | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     221000 | PA      | $215006.76    | 0.03%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                                                   | Hertz Corp/The                                                                  | CUSIP: 428040DC0<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     336000 | PA      | $351374.82    | 0.05%             | 2029-07-15      | Fixed         | 12.63%                | No            |                  2 | On Loan: —       |
| ICAHN ENTERPRISES/FIN                                                            | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     142000 | PA      | $132783.70    | 0.02%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Chicago O'Hare International Airport                                             | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                    | CUSIP: 167593H62<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     110000 | PA      | $94931.33     | 0.01%             | 2049-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: —       |
| CBRE SERVICES INC                                                                | CBRE Services Inc                                                               | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     500000 | PA      | $526408.92    | 0.07%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.367500 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  665247212 | OU      | $-2717.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: KRW 2.295000 17-SEP-2030 KRW                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  803250000 | OU      | $-5328.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1211.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     180000 | PA      | $196745.60    | 0.03%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27534 | PA      | $26240.12     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147108 | PA      | $141558.64    | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447951 | PA      | $470731.41    | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.274550 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     210000 | OU      | $-208.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AS9<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |      90000 | PA      | $77504.81     | 0.01%             | 2030-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     409000 | PA      | $409079.51    | 0.06%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                         | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |     142000 | PA      | $138406.43    | 0.02%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     880000 | PA      | $833630.25    | 0.12%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60468 | PA      | $53724.59     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588649 | PA      | $473976.08    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      80000 | PA      | $74746.48     | 0.01%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs International                                                      | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CO        |          1 | NC      | $219.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50773 | PA      | $48971.76     | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     380000 | PA      | $386857.88    | 0.05%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1620 | PA      | $1533.70      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                           | CACI International Inc                                                          | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Long             | DBT              | CORP              | US        |     204000 | PA      | $210517.39    | 0.03%             | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-5185.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     190000 | PA      | $194236.26    | 0.03%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7MH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      18181 | PA      | $18786.15     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | Comcast Corp                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     200000 | PA      | $194566.30    | 0.03%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23459 | PA      | $23416.67     | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED TWD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TW        |          1 | NC      | $201.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31400HVV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3410 | PA      | $3483.21      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ODEON FINCO PLC                                                                  | Odeon Finco PLC                                                                 | CUSIP: 67585LAA3<br>LEI: 9845003ECF9901CC5382 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $208977.20    | 0.03%             | 2027-11-01      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74452 | PA      | $66841.92     | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEADRILL FINANCE LTD                                                             | Seadrill Finance Ltd                                                            | CUSIP: 81172QAA2<br>LEI: 213800WMN3OHFUDHD642 | Long             | DBT              | CORP              | BM        |     150000 | PA      | $152773.95    | 0.02%             | 2030-08-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.707500 17-SEP-2030 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     920000 | OU      | $2386.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     432581 | PA      | $381447.66    | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59100 | PA      | $57462.74     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314787 | PA      | $293428.32    | 0.04%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     853978 | PA      | $876633.69    | 0.12%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables A LLC                                            | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1175000 | PA      | $1184903.96   | 0.17%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BT1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     105000 | PA      | $89751.77     | 0.01%             | 2031-12-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.648130 17-SEP-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   26840000 | OU      | $-75321.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                                           | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |          1 | NC      | $1219.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CO        |          1 | NC      | $-215.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416CA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35008 | PA      | $36368.55     | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     735000 | PA      | $750855.13    | 0.11%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5ED8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      16034 | PA      | $16532.46     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J2SY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8847 | PA      | $8518.20      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                           | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     120000 | PA      | $120214.32    | 0.02%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                  | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |      72000 | PA      | $62401.19     | 0.01%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| WW GRAINGER INC                                                                  | WW Grainger Inc                                                                 | CUSIP: 384802AF1<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     880000 | PA      | $858396.05    | 0.12%             | 2034-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJL65<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      44136 | PA      | $44744.21     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135495 | PA      | $127163.44    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31387WTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $225.72       | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228968 | PA      | $223328.31    | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10237 | PA      | $9534.58      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3129332E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23450 | PA      | $23425.87     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31414BWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12703 | PA      | $13043.35     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76121 | PA      | $70336.15     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $54.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3444553 | OU      | $-254.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151520 | PA      | $143810.95    | 0.02%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118852 | PA      | $120167.00    | 0.02%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     910000 | PA      | $917581.80    | 0.13%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 312940RE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1403 | PA      | $1401.17      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                  | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      67000 | PA      | $74325.40     | 0.01%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2023-X1                                       | CUSIP: 00834KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2509380.50   | 0.35%             | 2028-11-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113983 | PA      | $104322.31    | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3620ARST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56816 | PA      | $53693.73     | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65992 | PA      | $58299.22     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMAK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5681 | PA      | $5584.11      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     709958 | PA      | $682375.48    | 0.10%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $34.17        | 0.00%             | 2042-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076DG4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28802.39     | 0.00%             | 2064-06-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                                          | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     927000 | PA      | $904584.61    | 0.13%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30274 | PA      | $28851.83     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31287YYD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      56602 | PA      | $60785.56     | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                                           | Brookfield Finance Inc                                                          | CUSIP: 11271LAM4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $513151.31    | 0.07%             | 2035-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Massachusetts                                                    | MASSACHUSETTS ST                                                                | CUSIP: 57582RYY6<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |     100000 | PA      | $67180.31     | 0.01%             | 2049-09-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| CHENIERE ENERGY INC                                                              | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     600000 | PA      | $614507.78    | 0.09%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     360000 | PA      | $334130.08    | 0.05%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SEAGATE DATA STOR                                                                | Seagate Data Storage Technology Pte Ltd                                         | CUSIP: 81180LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |      70000 | PA      | $71045.03     | 0.01%             | 2030-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                                  | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      70000 | PA      | $45820.00     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121422 | PA      | $113003.53    | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.457620 17-SEP-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     640000 | OU      | $-582.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230442 | PA      | $203965.95    | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      25000 | PA      | $27963.54     | 0.00%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3054390.00   | 0.43%             | 2042-01-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82454 | PA      | $75336.67     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5A66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36368 | PA      | $37385.23     | 0.01%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: PLN 4.845000 17-SEP-2030 WIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6030000 | OU      | $-47746.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $140543.74    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13682269 | OU      | $-1010.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94969.99     | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      80000 | PA      | $76945.12     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBT9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     135000 | PA      | $137616.73    | 0.02%             | 2035-02-06      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                                         | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1659330.30   | 0.23%             | 2050-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-681.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                                | Nexstar Media Inc                                                               | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     146000 | PA      | $142212.18    | 0.02%             | 2028-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: OIS 3.362320 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11075000 | OU      | $-2433.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305659 | PA      | $270931.52    | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155923 | PA      | $138428.17    | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61588 | PA      | $62353.49     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AY69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      52309 | PA      | $51156.22     | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160424 | PA      | $152029.38    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                          | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              |  | US        |     500000 | PA      | $498210.95    | 0.07%             | 2034-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36034 | PA      | $35169.36     | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nomura International PLC                                                         | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: DGQCSV2PHVF7I2743539 | N/A              | DFE              |  | US        |          1 | NC      | $-6367.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106520 | PA      | $107482.96    | 0.02%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.920000 17-SEP-2030 SOR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     380000 | OU      | $-3621.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNDER ARMOUR INC                                                                 | Under Armour Inc                                                                | CUSIP: 904311AD9<br>LEI: 549300D4549QKWETZ406 | Long             | DBT              | CORP              | US        |     208000 | PA      | $210642.77    | 0.03%             | 2030-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177YC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3262 | PA      | $3049.30      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                             | CUSIP: 914455UH1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      38000 | PA      | $27468.34     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25971 | PA      | $23976.74     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1653.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219116 | PA      | $228597.50    | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                                                         | California Resources Corp                                                       | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |     333000 | PA      | $341816.84    | 0.05%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407SPQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19340 | PA      | $19960.41     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221270 | PA      | $205714.17    | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y4PH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202410 | PA      | $192628.96    | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17914.63     | 0.00%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157761 | PA      | $148317.33    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                          | Starwood Property Trust Inc                                                     | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |     152000 | PA      | $149417.00    | 0.02%             | 2026-07-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                                 | StoneX Group Inc                                                                | CUSIP: 861896AA6<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |     322000 | PA      | $337535.21    | 0.05%             | 2031-03-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.534000 17-SEP-2030 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9160000 | OU      | $3596.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAEZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     175589 | PA      | $164814.04    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAET2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      30721 | PA      | $29502.01     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds                                       | Philippines Government International Bonds                                      | CUSIP: 718286CL9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     200000 | PA      | $129575.00    | 0.02%             | 2045-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SNAP INC                                                                         | Snap Inc                                                                        | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |     135000 | PA      | $138527.01    | 0.02%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                         | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | USGSE             | US        |    4150000 | PA      | $4403978.34   | 0.62%             | 2042-03-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     215690 | PA      | $226765.34    | 0.03%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7004 | PA      | $7090.85      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $513.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9870 | PA      | $9608.33      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     845000 | PA      | $666158.10    | 0.09%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                                                   | TR Finance LLC                                                                  | CUSIP: 87268LAA5<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |     800000 | PA      | $790793.90    | 0.11%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     959274 | PA      | $976866.16    | 0.14%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALDWIN INSUR GRP/FIN                                                            | Baldwin Insurance Group Holdings LLC / Baldwin Insurance Group Holdings Finance | CUSIP: 05825XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $103959.10    | 0.01%             | 2031-05-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64594 | PA      | $67243.34     | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109908 | PA      | $97497.70     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203616 | PA      | $180529.20    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12503 | PA      | $12205.16     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1650000 | PA      | $1459192.83   | 0.21%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15052 | PA      | $13920.47     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221301 | PA      | $215502.96    | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31288DKG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       1833 | PA      | $1878.41      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 3.243600 15-JUN-2035 UKR                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     500000 | OU      | $-3856.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSX Corp                                                                         | CSX Corp                                                                        | CUSIP: 126408HE6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     800000 | PA      | $782815.55    | 0.11%             | 2026-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2377.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                           | Marvell Technology Inc                                                          | CUSIP: 573874AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $95042.74     | 0.01%             | 2033-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                               | CUSIP: 49456BBA8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     470000 | PA      | $461248.27    | 0.07%             | 2054-08-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2024-X2                                       | CUSIP: 00833QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     525000 | PA      | $528913.04    | 0.07%             | 2029-12-17      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292HK94<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $374.47       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CO        |          1 | NC      | $313.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.752070 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25440000 | OU      | $165553.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                                               | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     260000 | PA      | $262207.35    | 0.04%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                         | CSX Corp                                                                        | CUSIP: 126408HY2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      55000 | PA      | $49321.91     | 0.01%             | 2055-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2470964 | PA      | $1860159.89   | 0.26%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-DNA6                                         | CUSIP: 35566CBD6<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |     680000 | PA      | $725742.72    | 0.10%             | 2050-12-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56013 | PA      | $53200.66     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452656 | PA      | $460949.68    | 0.07%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                            | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     132000 | PA      | $138406.49    | 0.02%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                                                       | AbbVie Inc                                                                      | CUSIP: 00287YDX4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     165000 | PA      | $160001.10    | 0.02%             | 2064-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH METAL PACKAGING                                                           | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC     | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     313000 | PA      | $285730.50    | 0.04%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19114 | PA      | $19678.34     | 0.00%             | 2043-06-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JPLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26769 | PA      | $27366.19     | 0.00%             | 2038-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     145000 | PA      | $159699.34    | 0.02%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANC                                                                 | Credit Acceptance Corp                                                          | CUSIP: 225310AQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     192000 | PA      | $203259.26    | 0.03%             | 2028-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46265 | PA      | $43614.78     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.907860 17-SEP-2055 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     505000 | OU      | $14.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                                          | Public Service Co of Colorado                                                   | CUSIP: 744448CR0<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15214.86     | 0.00%             | 2049-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L7LF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      11152 | PA      | $10359.26     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                                         | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |      58000 | PA      | $36334.68     | 0.01%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13167 | PA      | $12472.69     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1690000 | PA      | $1696186.58   | 0.24%             | 2044-07-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1879272 | PA      | $1503076.77   | 0.21%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44083 | PA      | $40402.27     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENOVA INTERNATIONAL INC                                                          | Enova International Inc                                                         | CUSIP: 29357KAK9<br>LEI: 549300O8XOCQSB49UO63 | Long             | DBT              | CORP              | US        |     196000 | PA      | $206344.23    | 0.03%             | 2029-08-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDB2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     590000 | PA      | $614206.28    | 0.09%             | 2034-07-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                                | ONEOK Partners LP                                                               | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |      75000 | PA      | $74721.35     | 0.01%             | 2041-02-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                           | Lumen Technologies Inc                                                          | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     368000 | PA      | $375820.00    | 0.05%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680407 | PA      | $570155.57    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                            | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4346 | PA      | $4421.35      | 0.00%             | 2034-03-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5492 | PA      | $5462.51      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     170000 | PA      | $172788.12    | 0.02%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     890000 | PA      | $820455.36    | 0.12%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DN3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      72000 | PA      | $43879.73     | 0.01%             | 2052-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |     460000 | PA      | $476585.88    | 0.07%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                                                 | Ventas Realty LP                                                                | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     670000 | PA      | $658536.03    | 0.09%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| GEO GROUP INC/THE                                                                | GEO Group Inc/The                                                               | CUSIP: 36162JAG1<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |     381000 | PA      | $403376.11    | 0.06%             | 2029-04-15      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28803 | PA      | $29011.64     | 0.00%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391141 | PA      | $385058.72    | 0.05%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFDH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      36278 | PA      | $33608.97     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127318 | PA      | $130688.18    | 0.02%             | 2039-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 4.474070 17-SEP-2055 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18300000 | OU      | $-84592.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                                 | NetCredit Combined Receivables 2024 LLC                                         | CUSIP: 64113EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1025262.80   | 0.14%             | 2030-10-21      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED KRW / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | KR        |          1 | NC      | $581.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                                          | Frontier Communications Holdings LLC                                            | CUSIP: 35906ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     351000 | PA      | $355589.68    | 0.05%             | 2029-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                                                | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9647.51      | 0.00%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407CBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21141 | PA      | $21429.16     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1190000 | PA      | $1174655.19   | 0.17%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                           | CUSIP: 89788MAA0<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     430000 | PA      | $428639.60    | 0.06%             | 2025-08-05      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     420000 | PA      | $280053.19    | 0.04%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1106788 | PA      | $1041525.52   | 0.15%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                   | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 2254W0HE8<br>LEI: 549300ECVPNB3VQOQ826 | Long             | ABS-MBS          | CORP              | US        |       4524 | PA      | $2570.61      | 0.00%             | 2019-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                      | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      45000 | PA      | $46162.64     | 0.01%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                               | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1647713.44   | 0.23%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2794093.74   | 0.39%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     600000 | PA      | $596672.87    | 0.08%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                                       | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |      10000 | PA      | $6073.68      | 0.00%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                                              | Consumers Energy Co                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     110000 | PA      | $108922.51    | 0.02%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| NOVELIS CORP                                                                     | Novelis Corp                                                                    | CUSIP: 670001AL0<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      95000 | PA      | $98223.44     | 0.01%             | 2030-01-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49233 | PA      | $43871.97     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46742 | PA      | $46607.68     | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                                         | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAQ7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     180000 | PA      | $108640.80    | 0.02%             | 2060-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     360000 | PA      | $327786.30    | 0.05%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                         | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     340000 | PA      | $272580.02    | 0.04%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCJ3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77719.72     | 0.01%             | 2032-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33946 | PA      | $35587.06     | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2119190.90   | 0.30%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71419 | PA      | $69357.62     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1316200 | PA      | $1296004.35   | 0.18%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78810 | PA      | $76572.32     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.380020 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8925000 | OU      | $-4975.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                                         | University of Southern California                                               | CUSIP: 914886AH9<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9211.00      | 0.00%             | 2053-10-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: —       |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -103 | NC      | $-173528.38   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Nasdaq Inc                                                                       | Nasdaq Inc                                                                      | CUSIP: 631103AG3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      32000 | PA      | $31818.00     | 0.00%             | 2026-06-30      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-3794.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418MYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35910 | PA      | $37089.51     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817516 | PA      | $680939.18    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                                           | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     367000 | PA      | $374353.31    | 0.05%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAM4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |     185000 | PA      | $193510.00    | 0.03%             | 2030-07-15      | Fixed         | 11.13%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25985 | PA      | $24545.07     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      70000 | PA      | $53759.65     | 0.01%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3620AWSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20442 | PA      | $19461.57     | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                          | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      85000 | PA      | $90589.23     | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     205000 | PA      | $214770.13    | 0.03%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                            | Indonesia Government International Bond                                         | CUSIP: 455780CB0<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     300000 | PA      | $269700.00    | 0.04%             | 2047-07-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     805000 | PA      | $796567.62    | 0.11%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61338 | PA      | $62790.69     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259685 | PA      | $233115.14    | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED SEK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SE        |          1 | NC      | $8735.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56436 | PA      | $53485.69     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     140000 | PA      | $142932.84    | 0.02%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5QD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      14476 | PA      | $15191.45     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     631929 | PA      | $599579.57    | 0.08%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16                | CUSIP: 46629GAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $10822.90     | 0.00%             | 2045-05-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                                | CUSIP: 06368LWU6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      20000 | PA      | $20846.91     | 0.00%             | 2028-09-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BB8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      46000 | PA      | $46356.48     | 0.01%             | 2028-12-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $1681.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.358500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6834668 | OU      | $-504.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3202500.00   | 0.45%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182827.33    | 0.03%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                                 | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $72017.06     | 0.01%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     270000 | PA      | $270715.67    | 0.04%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CALUMET SPECIALTY PROD                                                           | Calumet Specialty Products Partners LP / Calumet Finance Corp                   | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     181000 | PA      | $180458.95    | 0.03%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: —       |
| NETAPP INC                                                                       | NetApp Inc                                                                      | CUSIP: 64110DAN4<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |     713000 | PA      | $732224.65    | 0.10%             | 2035-03-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     150000 | PA      | $143378.81    | 0.02%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                                                | Cisco Systems Inc                                                               | CUSIP: 17275RBY7<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1025035.78   | 0.14%             | 2032-02-24      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     265000 | PA      | $272618.05    | 0.04%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82899 | PA      | $78901.70     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31408DQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15077 | PA      | $15282.61     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424052 | PA      | $355471.27    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31415VKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $276.25       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7S64<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       3821 | PA      | $3816.69      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102132 | PA      | $96249.62     | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194100 | PA      | $182143.22    | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464469 | PA      | $441198.37    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $40406.86     | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NOK 3.902930 17-SEP-2030 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4260000 | OU      | $4054.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60506 | PA      | $59131.06     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132QWMN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8122 | PA      | $7530.70      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED CAD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |          1 | NC      | $477.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     915045 | PA      | $814016.02    | 0.11%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                               | Ally Financial Inc                                                              | CUSIP: 02005NBY5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196619.86    | 0.03%             | 2040-01-17      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.703840 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3550000 | OU      | $50954.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNH51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     882198 | PA      | $828614.46    | 0.12%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL FINANCIAL                                                          | Fidelity National Financial Inc                                                 | CUSIP: 31620RAJ4<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $933346.04    | 0.13%             | 2030-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238472 | PA      | $219909.39    | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED USD / SOLD SEK                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-49760.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41246 | PA      | $37724.37     | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      92000 | PA      | $95359.16     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36213ESA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1645 | PA      | $1708.05      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                           | Philip Morris International Inc                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     710000 | PA      | $750610.37    | 0.11%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 1.336500 17-SEP-2035 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   59896926 | OU      | $-3560.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412Q2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18333 | PA      | $18284.12     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-143.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BG9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2575.71      | 0.00%             | 2031-03-11      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                                                  | Xcel Energy Inc                                                                 | CUSIP: 98389BAV2<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     900000 | PA      | $892180.55    | 0.13%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163502 | PA      | $151077.74    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TALOS PRODUCTION INC                                                             | Talos Production Inc                                                            | CUSIP: 87485LAD6<br>LEI: 549300GZ2DZZE2Y8TX15 | Long             | DBT              | CORP              | US        |     202000 | PA      | $206820.53    | 0.03%             | 2029-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22656 | PA      | $22938.00     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                             | OneMain Finance Corp                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     201000 | PA      | $210015.25    | 0.03%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110937 | PA      | $102773.34    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11266 | PA      | $10110.62     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                                               | Athene Holding Ltd                                                              | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21194.01     | 0.00%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CO        |          1 | NC      | $355.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | Carvana Co                                                                      | CUSIP: 146869AL6<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     307245 | PA      | $315131.45    | 0.04%             | 2028-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: IFS 3.260000 15-MAY-2035 UKR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |      10000 | OU      | $45.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31368 | PA      | $30621.51     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7QT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       7482 | PA      | $7515.83      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115835 | PA      | $119950.91    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.656130 17-SEP-2027 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9350000 | OU      | $-54481.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                               | Province of Quebec Canada                                                       | CUSIP: 748148SE4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     600000 | PA      | $600657.00    | 0.08%             | 2033-09-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20160 | PA      | $18331.92     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     195000 | PA      | $197870.51    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      70000 | PA      | $46252.25     | 0.01%             | 2051-03-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAP0<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    1427000 | PA      | $1400482.56   | 0.20%             | 2027-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                                                       | Eaton Corp                                                                      | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80149.50     | 0.01%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| HONEYWELL INTERNATIONAL                                                          | Honeywell International Inc                                                     | CUSIP: 438516CM6<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     750000 | PA      | $734693.51    | 0.10%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                                                     | Allegion plc                                                                    | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |      90000 | PA      | $86215.31     | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76547 | PA      | $70422.39     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31407FN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30458 | PA      | $31025.40     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315BA0<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |      35000 | PA      | $26099.52     | 0.00%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| EVEREST REINSURANCE HLDG                                                         | Everest Reinsurance Holdings Inc                                                | CUSIP: 299808AH8<br>LEI: 254900P29PM5UJR3VU91 | Long             | DBT              | CORP              | US        |     800000 | PA      | $546296.18    | 0.08%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5252 | PA      | $5162.32      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73707 | PA      | $70325.69     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                                                         | MPH Acquisition Holdings LLC                                                    | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     125000 | PA      | $102968.75    | 0.01%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1547763 | PA      | $1527804.93   | 0.22%             | 2026-03-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31192 | PA      | $31690.57     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GQ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      55000 | PA      | $55141.70     | 0.01%             | 2033-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     129000 | PA      | $136969.75    | 0.02%             | 2030-04-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                                               | Expand Energy Corp                                                              | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     297000 | PA      | $301234.92    | 0.04%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                                         | Brighthouse Financial Inc                                                       | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |     120000 | PA      | $77161.90     | 0.01%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145735 | PA      | $919553.88    | 0.13%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     682994 | PA      | $546273.04    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LIGHT & WONDER INTL INC                                                          | Light & Wonder International Inc                                                | CUSIP: 531968AA3<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |     198000 | PA      | $207189.58    | 0.03%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.690820 17-SEP-2035 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1070000 | OU      | $661.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2877566 | PA      | $2656525.11   | 0.38%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377563 | PA      | $392877.91    | 0.06%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                           | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     220000 | PA      | $125400.00    | 0.02%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: —       |
| WHIRLPOOL CORP                                                                   | Whirlpool Corp                                                                  | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70615.21     | 0.01%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-6020.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXP4<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     200000 | PA      | $183504.78    | 0.03%             | 2045-06-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188197 | PA      | $186831.15    | 0.03%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2285000 | PA      | $2072292.64   | 0.29%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67822 | PA      | $65421.27     | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.472000 18-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     340000 | OU      | $512.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED JPY / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |          1 | NC      | $12431.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                               | CUSIP: 404280ES4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     570000 | PA      | $573141.87    | 0.08%             | 2036-03-03      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.736220 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     310000 | OU      | $-1716.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                          | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBP8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     120000 | PA      | $89076.36     | 0.01%             | 2049-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HLF FIN SARL LLC/HERBALI                                                         | HLF Financing Sarl LLC / Herbalife International Inc                            | CUSIP: 40390DAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      84000 | PA      | $70631.20     | 0.01%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                                              | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $66094.33     | 0.01%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17748 | PA      | $17233.97     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.566060 17-SEP-2027 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10300000 | OU      | $-7078.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21570 | PA      | $22530.92     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BE7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     865000 | PA      | $896923.00    | 0.13%             | 2033-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BU5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     254000 | PA      | $248792.96    | 0.04%             | 2055-03-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SG        |          1 | NC      | $29898.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 2.599150 17-SEP-2028 CAD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16610000 | OU      | $32518.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1121122 | PA      | $1144418.49   | 0.16%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     190000 | PA      | $199936.87    | 0.03%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                                                      | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     420000 | PA      | $426645.04    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161518 | PA      | $153519.92    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.43.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |       8938 | OU      | $-670.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      90000 | PA      | $70152.20     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L74A4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25011 | PA      | $23067.51     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     335000 | PA      | $337079.01    | 0.05%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| WISCONSIN POWER & LIGHT                                                          | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92068.79     | 0.01%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      80000 | PA      | $52941.64     | 0.01%             | 2050-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27106 | PA      | $26082.57     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24449 | PA      | $21851.11     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JRH82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10591 | PA      | $10473.00     | 0.00%             | 2027-11-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032674<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -756800 | PA      | $-681275.43   | -0.10%            | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.627090 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3950000 | OU      | $42908.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142FP3<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    1595000 | PA      | $1615475.14   | 0.23%             | 2035-04-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     780000 | PA      | $638574.93    | 0.09%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     591343 | PA      | $595389.68    | 0.08%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 1.391500 17-SEP-2030 THO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18050000 | OU      | $-3234.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     381419 | PA      | $350623.98    | 0.05%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KRFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214419 | PA      | $216095.09    | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23412 | PA      | $21715.46     | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17604 | PA      | $16410.25     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     165000 | PA      | $161105.33    | 0.02%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bills                                                             | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     800000 | PA      | $793204.00    | 0.11%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43289 | PA      | $37842.11     | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     515000 | PA      | $423305.91    | 0.06%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4203 | PA      | $4255.65      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                                                 | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     190000 | PA      | $173412.83    | 0.02%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5702 | PA      | $5571.86      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                                                   | William Carter Co/The                                                           | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |      85000 | PA      | $84471.62     | 0.01%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| CHARLES SCHWAB CORP                                                              | Charles Schwab Corp/The                                                         | CUSIP: 808513BY0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      45000 | PA      | $43732.06     | 0.01%             | 2027-03-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED CHF / SOLD USD                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CH        |          1 | NC      | $743.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                                              | Ford Foundation/The                                                             | CUSIP: 34531XAB0<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |       5000 | PA      | $2910.57      | 0.00%             | 2050-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                                                      | PURCHASED USD / SOLD CAD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-203.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251826 | PA      | $237375.02    | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |     119000 | PA      | $106966.28    | 0.02%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                     | CUSIP: 64966Q7G9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     130000 | PA      | $133900.35    | 0.02%             | 2053-10-01      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     710000 | PA      | $825295.84    | 0.12%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XGK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2729450 | PA      | $2276845.01   | 0.32%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (ITRAXX.EUR.43.V1)                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    9231750 | OU      | $234567.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251728 | PA      | $235515.74    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     975000 | PA      | $953570.40    | 0.13%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     265000 | PA      | $250831.06    | 0.04%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1504027 | PA      | $1315486.68   | 0.19%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED IDR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | ID        |          1 | NC      | $1354.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| YALE UNIVERSITY                                                                  | Yale University                                                                 | CUSIP: 98459LAC7<br>LEI: 9SFB6DIM0FRWV0EV8S84 | Long             | DBT              | CORP              | US        |     272000 | PA      | $160734.59    | 0.02%             | 2050-04-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| INSULET CORPORATION                                                              | Insulet Corp                                                                    | CUSIP: 45784PAL5<br>LEI: 549300TZTYD2PYN92D43 | Long             | DBT              | CORP              | US        |     207000 | PA      | $215815.31    | 0.03%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        143 | NC      | $574724.58    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD PLN                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-79310.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ZA        |          1 | NC      | $8.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                               | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     170000 | PA      | $169997.86    | 0.02%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335AUF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      74152 | PA      | $68757.84     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251197 | PA      | $233250.54    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKQ84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      10739 | PA      | $9507.38      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9898.12      | 0.00%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GC2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     190000 | PA      | $128140.77    | 0.02%             | 2049-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2023-C22                                                   | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $667719.66    | 0.09%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                                               | Ameren Illinois Co                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |      75000 | PA      | $73899.82     | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MGIC INVESTMENT CORP                                                             | MGIC Investment Corp                                                            | CUSIP: 552848AG8<br>LEI: 254900S8483WM4M98R28 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63000.72     | 0.01%             | 2028-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31292KZV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      41371 | PA      | $41936.78     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     965000 | PA      | $983315.64    | 0.14%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40478.93     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63906 | PA      | $57387.71     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273277 | PA      | $228642.94    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAM9<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      70000 | PA      | $48300.50     | 0.01%             | 2050-02-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: —       |
| COMSTOCK RESOURCES INC                                                           | Comstock Resources Inc                                                          | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     172000 | PA      | $172385.11    | 0.02%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                                                 | UWM Holdings LLC                                                                | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     160000 | PA      | $160165.36    | 0.02%             | 2030-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                                            | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |     130000 | PA      | $89920.59     | 0.01%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                          | NEW FORTRESS ENERGY INC                                                         | CUSIP: 000000000<br>LEI: 254900EICTYTCHA5X705 | Long             | STIV             | CORP              | US        |       3261 | NS      | $10826.52     | 0.00%             |  |  |  | Yes           |                  2 | On Loan: No      |
| MidAmerican Energy Co                                                            | MidAmerican Energy Co                                                           | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98364.44     | 0.01%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: NZD 3.801000 17-SEP-2030 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     355000 | OU      | $1911.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pfizer Inc                                                                       | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      80000 | PA      | $95037.79     | 0.01%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5NN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8803 | PA      | $9237.88      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264216 | PA      | $234327.39    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     415000 | PA      | $373014.83    | 0.05%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                                      | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     410000 | PA      | $304563.93    | 0.04%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TransDigm Inc                                                                   | CUSIP: 893647BY2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     350000 | PA      | $350317.26    | 0.05%             | 2033-05-31      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30739 | PA      | $27544.57     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1474057 | PA      | $1346731.92   | 0.19%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                                          | Principal Financial Group Inc                                                   | CUSIP: 74251VAT9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     233000 | PA      | $239324.02    | 0.03%             | 2033-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27964 | PA      | $27874.07     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                                          | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |      40000 | PA      | $40090.58     | 0.01%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VFH PARENT / VALOR CO                                                            | VFH Parent LLC / Valor Co-Issuer Inc                                            | CUSIP: 91824YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $104939.90    | 0.01%             | 2031-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WXQ2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      50000 | PA      | $44701.28     | 0.01%             | 2065-10-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     420000 | PA      | $375570.98    | 0.05%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9305.78      | 0.00%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                                | CUSIP: 191216DT4<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     400000 | PA      | $390221.74    | 0.06%             | 2064-05-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                     | AutoZone Inc                                                                    | CUSIP: 053332BE1<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     920000 | PA      | $925811.35    | 0.13%             | 2026-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     975000 | PA      | $979932.79    | 0.14%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD JPY                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-418.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     909991 | PA      | $758883.67    | 0.11%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aflac Inc                                                                        | Aflac Inc                                                                       | CUSIP: 001055AY8<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |      45000 | PA      | $38863.75     | 0.01%             | 2049-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423741 | PA      | $389497.40    | 0.05%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                                           | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBC6<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |     145000 | PA      | $145031.88    | 0.02%             | 2034-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ondeck Asset Securitization Trust LLC                                            | OnDeck Asset Securitization Trust IV LLC                                        | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1460000 | PA      | $1473616.69   | 0.21%             | 2030-08-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INC                                                                     | Reliance Inc                                                                    | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1396047.08   | 0.20%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26170 | PA      | $25579.30     | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     610000 | PA      | $543217.94    | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                            | Level 3 Financing Inc                                                           | CUSIP: 527298BR3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     156000 | PA      | $143047.32    | 0.02%             | 2028-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1323000 | PA      | $1358426.10   | 0.19%             | 2042-04-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED USD / SOLD MXN                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-966.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42229 | PA      | $39897.63     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED SGD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | SG        |          1 | NC      | $2733.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                                                   | NCR Atleos Corp                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |     312000 | PA      | $341753.26    | 0.05%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD                                                                    | HTA Group Ltd/Mauritius                                                         | CUSIP: 40435WAC4<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     204000 | PA      | $208100.40    | 0.03%             | 2029-06-04      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                               | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     352000 | PA      | $343005.14    | 0.05%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON GAS LIGHT CO                                                          | Washington Gas Light Co                                                         | CUSIP: 93884PDY3<br>LEI: DL22T1SB4DUBS063O841 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21533.05     | 0.00%             | 2049-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31298D3G0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $259.45       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267194 | PA      | $237011.04    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346022 | PA      | $321343.10    | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                         | CUSIP: 54627RAP5<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |      65000 | PA      | $61984.92     | 0.01%             | 2039-08-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10854 | PA      | $10599.38     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     370000 | PA      | $362007.25    | 0.05%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40636 | PA      | $39946.11     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                                    | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     169000 | PA      | $104002.32    | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: NOK 3.818960 17-SEP-2030 6M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2060000 | OU      | $1188.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2138355.40   | 0.30%             | 2042-05-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349412 | PA      | $339737.90    | 0.05%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                                           | Commonwealth Edison Co                                                          | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     190000 | PA      | $173003.79    | 0.02%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350000 | PA      | $276985.66    | 0.04%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     180000 | PA      | $176094.17    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                              | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     550000 | PA      | $558587.71    | 0.08%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      91000 | PA      | $72267.37     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $1179032.57   | 0.17%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.853700 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11210000 | OU      | $142777.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648027 | PA      | $546268.25    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48375 | PA      | $47211.68     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED CZK / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CZ        |          1 | NC      | $1934.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      65000 | PA      | $70619.30     | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                         | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     300000 | PA      | $270084.02    | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| ACHV ABS TRUST                                                                   | ACHV ABS TRUST 2024-1PL                                                         | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     439464 | PA      | $444097.67    | 0.06%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36295NPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33027 | PA      | $30186.96     | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13200000 | PA      | $12092953.09  | 1.71%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     175000 | PA      | $115924.37    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36180DLG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60319 | PA      | $55170.13     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.495500 23-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |    1010000 | OU      | $-344.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36181FM99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22065 | PA      | $20568.92     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20578 | PA      | $19811.85     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56067 | PA      | $53681.45     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                             | PURCHASED USD / SOLD CHF                                                        | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-38765.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117581 | PA      | $108078.86    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65060 | PA      | $58396.50     | 0.01%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     160000 | PA      | $161499.86    | 0.02%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TURNING POINT BRANDS INC                                                         | Turning Point Brands Inc                                                        | CUSIP: 90041LAG0<br>LEI: 549300IYG00QF0VVP302 | Long             | DBT              | CORP              | US        |     150000 | PA      | $157044.60    | 0.02%             | 2032-03-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36241KWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17837 | PA      | $18546.15     | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151109 | PA      | $141085.55    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88240 | PA      | $80827.87     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                                           | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     264000 | PA      | $175256.08    | 0.02%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36177QXM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10798 | PA      | $10065.79     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418Q4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $1005.74      | 0.00%             | 2040-04-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                                         | Tucson Electric Power Co                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28412.49     | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107679.37    | 0.02%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6097 | PA      | $5792.10      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: OIS 7.762500 11-SEP-2030 TII                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14650000 | OU      | $2312.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     683000 | PA      | $470670.69    | 0.07%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                                                      | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100044.80    | 0.01%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| Pennsylvania State University/The                                                | PENNSYLVANIA ST UNIV                                                            | CUSIP: 709235T88<br>LEI: 549300QDK4O4XCJ47X56 | Long             | DBT              | MUN               | US        |      80000 | PA      | $52460.06     | 0.01%             | 2050-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     610000 | PA      | $561458.34    | 0.08%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31391NES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1492 | PA      | $1515.62      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         96 | NC      | $88471.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320995 | PA      | $303945.36    | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GEO GROUP INC/THE                                                                | GEO Group Inc/The                                                               | CUSIP: 36162JAH9<br>LEI: 54930024XOXET7NQVZ63 | Long             | DBT              | CORP              | US        |     312000 | PA      | $342188.50    | 0.05%             | 2031-04-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1377000 | PA      | $1223950.54   | 0.17%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $996250.00    | 0.14%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BN2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     310000 | PA      | $321565.84    | 0.05%             | 2028-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404283 | PA      | $359248.40    | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                   | CUSIP: 571903BS1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     800000 | PA      | $806547.29    | 0.11%             | 2035-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                           | CenterPoint Energy Resources Corp                                               | CUSIP: 15189YAG1<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |      85000 | PA      | $87053.03     | 0.01%             | 2028-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     210000 | PA      | $183899.13    | 0.03%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15177 | PA      | $15184.75     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: AUD 3.512180 17-SEP-2028 AUD                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3750000 | OU      | $21833.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                            | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     115000 | PA      | $107267.26    | 0.02%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                                            | CUSIP: 743315AS2<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     135000 | PA      | $111049.35    | 0.02%             | 2047-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1511493.27   | 0.21%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                         | Florida Power & Light Co                                                        | CUSIP: 341081GE1<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      90000 | PA      | $56686.29     | 0.01%             | 2051-12-04      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72087 | PA      | $68284.07     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                              | Coinbase Global Inc                                                             | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |     312000 | PA      | $292500.00    | 0.04%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208816 | PA      | $185893.00    | 0.03%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416WQW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $95.69        | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     105217 | PA      | $97105.57     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36178WS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15762 | PA      | $14406.42     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIEBOLD NIXDORF INC                                                              | Diebold Nixdorf Inc                                                             | CUSIP: 253651AK9<br>LEI: 549300XZK6EWDBAZSY16 | Long             | DBT              | CORP              | US        |      25000 | PA      | $26522.38     | 0.00%             | 2030-03-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                          | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     140000 | PA      | $146804.15    | 0.02%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66817 | PA      | $61836.43     | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                    | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     198000 | PA      | $196959.92    | 0.03%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1981973 | PA      | $1572415.92   | 0.22%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      80000 | PA      | $86151.20     | 0.01%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                                                         | FSWP: NZD 3.657500 17-SEP-2030 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     820000 | OU      | $1149.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                       | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     140000 | PA      | $91171.37     | 0.01%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: —       |
| Affirm Inc                                                                       | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2001826.60   | 0.28%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD HUF                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-8520.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17192 | PA      | $16379.89     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3471853.22   | 0.49%             | 2041-12-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                      | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2900000 | PA      | $2848226.94   | 0.40%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VALLOUREC SACA                                                                   | Vallourec SACA                                                                  | CUSIP: 92023RAA8<br>LEI: 969500P2Q1B47H4MCJ34 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $104826.00    | 0.01%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD TWD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-59.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CBF1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     530000 | PA      | $411725.13    | 0.06%             | 2049-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: SEK 2.292570 17-SEP-2030 3M                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6280000 | OU      | $-3557.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEMORIAL SLOAN-KETTERING                                                         | Memorial Sloan-Kettering Cancer Center                                          | CUSIP: 586054AD0<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |      46000 | PA      | $29762.79     | 0.00%             | 2050-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3025000 | PA      | $2964197.98   | 0.42%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34902 | PA      | $30474.58     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | Venture Global LNG Inc                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      80000 | PA      | $83090.85     | 0.01%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39033 | PA      | $38952.99     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                                                         | SLM Corp                                                                        | CUSIP: 78442PGF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $120708.03    | 0.02%             | 2030-01-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447111 | PA      | $414994.59    | 0.06%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NZD                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1203.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412QSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104821 | PA      | $106124.32    | 0.01%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2233105.48   | 0.32%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED GBP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $8246.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69868 | PA      | $65262.11     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD INR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-160.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1949959.17   | 0.28%             | 2041-11-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Dallas Area Rapid Transit                                                        | DALLAS TX AREA RAPID TRANSIT SALES TAX REVENUE                                  | CUSIP: 235241WM4<br>LEI: 75YWM81F2R6UQGJIEW47 | Long             | DBT              | MUN               | US        |     100000 | PA      | $65513.00     | 0.01%             | 2048-12-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108602 | PA      | $103538.33    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                                                      | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90614.00     | 0.01%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD PHP                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-2009.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44449 | PA      | $40490.56     | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.677610 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     380000 | OU      | $-5000.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362018 | PA      | $334384.98    | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1339.67      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200925 | PA      | $169403.78    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31417DWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8222 | PA      | $8072.29      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66551 | PA      | $63089.17     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                                      | PURCHASED ZAR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | ZA        |          1 | NC      | $11966.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                                          | Public Service Electric and Gas Co                                              | CUSIP: 74456QCQ7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     295000 | PA      | $302165.12    | 0.04%             | 2034-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31390CVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $943.17       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91493 | PA      | $91171.71     | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NOK                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $61.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                          | Shell International Finance BV                                                  | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     178000 | PA      | $114585.43    | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     175000 | PA      | $135416.46    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                                          | Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | CUSIP: 053773BK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     204000 | PA      | $213428.68    | 0.03%             | 2032-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1063000 | PA      | $949337.55    | 0.13%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56022 | PA      | $50590.04     | 0.01%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPRTN CORP TX SYS TOLL REVENUE                                | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $66482.38     | 0.01%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22882 | PA      | $22275.87     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New York City Municipal Water Finance Authority                                  | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                        | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |     250000 | PA      | $252640.36    | 0.04%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.633410 17-SEP-2030 SOF                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   60400000 | OU      | $673485.87    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2250000 | PA      | $2287852.43   | 0.32%             | 2044-02-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                                           | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BR2<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     330000 | PA      | $334223.31    | 0.05%             | 2054-03-22      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67672 | PA      | $69217.88     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31405RRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1019 | PA      | $1035.81      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                                                  | Oklahoma Gas and Electric Co                                                    | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |      65000 | PA      | $63307.26     | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED USD / SOLD SGD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-544.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36178EDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35273 | PA      | $32881.66     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| METHODIST HOSPITAL/THE                                                           | Methodist Hospital/The                                                          | CUSIP: 591539AA9<br>LEI: 549300Y1E42JLBRENF23 | Long             | DBT              | CORP              | US        |      87000 | PA      | $52449.68     | 0.01%             | 2050-12-01      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                                    | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     483000 | PA      | $440314.89    | 0.06%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412RND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41373 | PA      | $38924.34     | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TASEKO MINES LTD                                                                 | Taseko Mines Ltd                                                                | CUSIP: 876511AG1<br>LEI: 549300XKUO1JSLU7KX54 | Long             | DBT              | CORP              | CA        |      65000 | PA      | $68047.08     | 0.01%             | 2030-05-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183391 | PA      | $170707.07    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                       | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     300000 | PA      | $290712.29    | 0.04%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Maryland Health & Higher Educational Facilities Authority                        | MARYLAND ST HLTH & HGR EDUCTNL FACS AUTH REVENUE                                | CUSIP: 57421CAV6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     115000 | PA      | $87783.42     | 0.01%             | 2040-07-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                                                    | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     260000 | PA      | $231006.17    | 0.03%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31416W4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4303 | PA      | $4046.08      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                                             | Ares Management Corp                                                            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |     463000 | PA      | $436943.97    | 0.06%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -138 | NC      | $-270524.84   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| EZCORP INC                                                                       | EZCORP Inc                                                                      | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |      55000 | PA      | $57893.50     | 0.01%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31389VBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $822.16       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                                | CUSIP: 74949LAG7<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     120000 | PA      | $122791.66    | 0.02%             | 2035-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: JPY 0.768500 17-SEP-2027 FTO                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  423848336 | OU      | $-388.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26707 | PA      | $24666.79     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43268 | PA      | $43906.19     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                       | Phinia Inc                                                                      | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      69000 | PA      | $70075.26     | 0.01%             | 2032-10-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                                               | Trane Technologies Financing Ltd                                                | CUSIP: 456873AF5<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |      95000 | PA      | $79434.26     | 0.01%             | 2049-03-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70430.18     | 0.01%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | PURCHASED COP / SOLD USD                                                        | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CO        |          1 | NC      | $1551.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14102 | PA      | $13425.78     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W3F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33907 | PA      | $29676.05     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                                      | Walmart Inc                                                                     | CUSIP: 931142EZ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |     200000 | PA      | $174822.81    | 0.02%             | 2052-09-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     280000 | PA      | $275829.02    | 0.04%             | 2027-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9845 | PA      | $8892.06      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $3396414.05   | 0.48%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97150 | PA      | $89607.73     | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688619 | PA      | $577863.48    | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2323 | PA      | $2269.55      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                                      | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      90000 | PA      | $92187.45     | 0.01%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.274920 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $-389.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AY7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010173 | PA      | $985494.84    | 0.14%             | 2027-12-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600116 | PA      | $619097.40    | 0.09%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     300000 | PA      | $294365.16    | 0.04%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                          | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       5000 | PA      | $3544.43      | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                                            | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |     160000 | PA      | $136878.61    | 0.02%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297M4D7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      66176 | PA      | $67946.53     | 0.01%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: EUR 2.214080 17-SEP-2030 EUR                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     530000 | OU      | $-2299.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNEK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      25672 | PA      | $25038.84     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | SWP: IFS 2.453200 16-JUN-2035 USC                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | US        |     510000 | OU      | $1627.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38058 | PA      | $34045.97     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                                                            | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAU0<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     785000 | PA      | $798725.69    | 0.11%             | 2035-03-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 3618N5EX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74340 | PA      | $76420.56     | 0.01%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                                         | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      55000 | PA      | $39557.28     | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     830000 | PA      | $806742.41    | 0.11%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331958 | PA      | $340256.61    | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125527 | PA      | $115001.34    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179DK41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4173 | PA      | $3814.70      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131067 | PA      | $120485.82    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: ZAR 7.622500 17-SEP-2030 JIB                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13860000 | OU      | $8310.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                                   | Sabre GLBL Inc                                                                  | CUSIP: 78573NAJ1<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |      51000 | PA      | $52211.25     | 0.01%             | 2027-06-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: —       |
| GENESIS ENERGY LP/FIN                                                            | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128000 | PA      | $133848.32    | 0.02%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31297F3M3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       5115 | PA      | $5239.42      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95178 | PA      | $95413.91     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                                      | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1025.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MKE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6242 | PA      | $6139.92      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128PUHH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8223 | PA      | $8189.39      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | FSWP: OIS 3.758470 17-SEP-2030 SON                                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     340000 | OU      | $-2345.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      57000 | PA      | $40648.81     | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     170000 | PA      | $165215.73    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60181 | PA      | $60125.65     | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461349 | PA      | $450534.31    | 0.06%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132WFNV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       8774 | PA      | $8143.11      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                          | PURCHASED INR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $31.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27751 | PA      | $28998.92     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                              | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33017 | PA      | $31011.86     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                                   | CVR Energy Inc                                                                  | CUSIP: 12662PAF5<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     142000 | PA      | $142055.66    | 0.02%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                                      | Equinor ASA                                                                     | CUSIP: 29446MAC6<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |     500000 | PA      | $349509.67    | 0.05%             | 2049-11-18      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2257348 | PA      | $1798327.36   | 0.25%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444972 | PA      | $375575.65    | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TELECOM ITALIA CAPITAL                                                           | Telecom Italia Capital SA                                                       | CUSIP: 87927VAM0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      70000 | PA      | $70121.59     | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     721912 | PA      | $659555.06    | 0.09%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      25000 | PA      | $28895.14     | 0.00%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115572 | PA      | $103412.12    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                                         | Virginia Electric and Power Co                                                  | CUSIP: 927804FZ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     750000 | PA      | $745374.45    | 0.11%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25226 | PA      | $23330.14     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                                         | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451BA5<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     565000 | PA      | $567185.93    | 0.08%             | 2033-02-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                                                         | Ameriprise Financial Inc                                                        | CUSIP: 03076CAN6<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |     720000 | PA      | $754472.39    | 0.11%             | 2028-12-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                                           | U.S. Treasury Notes                                                             | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7100000 | PA      | $7321875.00   | 1.03%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     580000 | PA      | $502558.18    | 0.07%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40276 | PA      | $35743.04     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                              | CUSIP: 437076AU6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202167.25    | 0.03%             | 2040-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     285693 | PA      | $254596.75    | 0.04%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD KRW                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-144.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4B40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      35069 | PA      | $34235.64     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-7355.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                               | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62054 | PA      | $56259.77     | 0.01%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                          | Simon Property Group LP                                                         | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              |  | US        |     330000 | PA      | $220843.78    | 0.03%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                 | CUSIP: 31412PKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $491.18       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8GW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35179 | PA      | $33931.30     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Colgate-Palmolive Co                                                             | Colgate-Palmolive Co                                                            | CUSIP: 19416QEK2<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23549.82     | 0.00%             | 2047-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

**Name of Applicant:** Master Investment Portfolio II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer