# EDGAR Filing Document

**Accession Number:** 0000814679
**File Stem:** 0001752724-23-035944
**Filing Date:** 2023-2
**Character Count:** 1610708
**Document Hash:** 0b8f434d5c1b93cec452d67b8aa78965
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035944.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035944

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVANCED SERIES TRUST
- **CENTRAL INDEX KEY:** 0000814679
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05186
- **FILM NUMBER:** 23657650

**BUSINESS ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102
- **BUSINESS PHONE:** (973) 367-8982

**MAIL ADDRESS:**
- **STREET 1:** 655 BROAD STREET
- **STREET 2:** 17TH FLOOR
- **CITY:** NEWARK
- **STATE:** NJ
- **ZIP:** 07102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN SKANDIA TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON INTERNATIONAL GROWTH FUND
- **DATE OF NAME CHANGE:** 19920506

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HENDERSON GLOBAL ASSET TRUST
- **DATE OF NAME CHANGE:** 19900302

## Series and Classes Contracts Data

### AST Core Fixed Income Portfolio (Series ID: S000019381)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000053820 | AST Core Fixed Income 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:** Advanced Series Trust

- **b. Investment Company Act file number:** 811-05186

- **c. CIK number of Registrant:** 0000814679

- **d. LEI of Registrant:** 549300VWSUPW8FKG9V43

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

  - **Street Address 1:** 655 Broad Street

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 1-888-778-2888

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

- **a. Name of Series:** AST Core Fixed Income Portfolio

- **b. EDGAR series identifier (if any):** S000019381

- **c. LEI of Series:** Z44J798WPLL9S5JNKY77

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

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

- **b. Date as of which information is reported:** 2022-12-30

**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:** $4875654453.21

**Total Liabilities:** $999611407.48

**Net Assets:** $3876043045.73

**Delayed Delivery Securities:** $16809903.14

**Stand-by Commitments:** $706183157.60

**Cash Not Reported:** $20084270.11

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4325.93706000 | **1-Year:** 129783.66536000 | **5-Year:** 967499.56594000 | **10-Year:** 664622.87430000 | **30-Year:** 35152.06862000

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

- **3-Month:** 367.59717000 | **1-Year:** 14811.77420000 | **5-Year:** 35623.25863000 | **10-Year:** 13565.19217000 | **30-Year:** 926.10739000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000053820 | -1.32%               | 4.25%                | -0.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-76842685.28            | $23178665.06                               |
| Month 2  | $-8594389.86             | $151665005.71                              |
| Month 3  | $4064795.10              | $-39707432.37                              |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays US Aggregate Bond Index

- **Index Identifier:** LBUSTRUU Index

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           18 | NC      | $12937.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       267783 | PA      | $229935.73    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383T2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3141966 | PA      | $33706.06     | 0.00%             | 2052-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       147478 | PA      | $152900.00    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1330000 | PA      | $1242245.82   | 0.03%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       146000 | PA      | $132047.06    | 0.00%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237410 | PA      | $220242.73    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                      | Commonwealth Edison Co                                                          | CUSIP: 202795HT0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |       438000 | PA      | $481591.31    | 0.01%             | 2038-01-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1816046 | PA      | $1542967.55   | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       335064 | PA      | $277797.44    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       270000 | PA      | $252535.97    | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       334660 | PA      | $314122.23    | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       133000 | PA      | $98065.72     | 0.00%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4494000 | PA      | $2023353.30   | 0.05%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           28 | NC      | $3718.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38374YVW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        22015 | PA      | $249.14       | 0.00%             | 2040-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                     | Inter-American Development Bank                                                 | CUSIP: 458182BW1<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | US        |       417000 | PA      | $440717.63    | 0.01%             | 2025-10-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      3295000 | PA      | $3031146.94   | 0.08%             | 2026-01-21      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16577 | PA      | $15798.83     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       385000 | PA      | $353187.07    | 0.01%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5594 | PA      | $5583.06      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       677000 | PA      | $613243.52    | 0.02%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        85064 | PA      | $69893.72     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -6 | NC      | $-937.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       351000 | PA      | $344344.76    | 0.01%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       268974 | PA      | $222005.63    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       530000 | PA      | $425421.45    | 0.01%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       627039 | PA      | $602160.38    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4678903 | PA      | $3998604.15   | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2017-H1                                          | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $52994.90     | 0.00%             | 2050-06-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       850000 | PA      | $787726.48    | 0.02%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BDZ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77293 | PA      | $76224.11     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-1 AA PTT                    | American Airlines 2016-1 Class AA Pass Through Trust                            | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       121444 | PA      | $108404.97    | 0.00%             | 2028-01-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151927 | PA      | $149097.14    | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138E7DY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6022 | PA      | $5969.86      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       742000 | PA      | $630841.91    | 0.02%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4249137 | PA      | $4052198.07   | 0.10%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |        73000 | PA      | $55561.01     | 0.00%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       226026 | PA      | $224431.78    | 0.01%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       315000 | PA      | $230755.12    | 0.01%             | 2062-03-15      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNWJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5825163 | PA      | $4746005.92   | 0.12%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       735000 | PA      | $729722.96    | 0.02%             | N/A             | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      4520000 | PA      | $3554512.72   | 0.09%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6757922 | PA      | $391580.36    | 0.01%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                           | Jamestown CLO XIV Ltd                                                           | CUSIP: 47048XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4045000 | PA      | $3925856.14   | 0.10%             | 2034-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        48115 | PA      | $46258.26     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312927YV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          545 | PA      | $558.19       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      1155000 | PA      | $1131506.95   | 0.03%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       278000 | PA      | $185552.86    | 0.00%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                      | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |      5683000 | PA      | $4995070.07   | 0.13%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16796 | PA      | $16519.82     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       190912 | PA      | $187874.54    | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2021-1 Ltd                                                             | CUSIP: 26983BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209519 | PA      | $209458.95    | 0.01%             | 2033-10-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     25283258 | PA      | $23150168.64  | 0.60%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        95000 | PA      | $61379.77     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       210000 | PA      | $199813.72    | 0.01%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125419 | PA      | $124450.58    | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                    | OCP SA                                                                          | CUSIP: 67091TAD7<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       344000 | PA      | $286659.50    | 0.01%             | 2031-06-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1091699 | PA      | $897011.08    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148527 | PA      | $127213.99    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                         | Sherwin-Williams Co/The                                                         | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |      2444000 | PA      | $2008136.87   | 0.05%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGHT TOOLS                        | Harbor Freight Tools USA Inc                                                    | CUSIP: 41151PAP0<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |      1089752 | PA      | $1037478.03   | 0.03%             | 2027-10-19      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       324751 | PA      | $304116.93    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       405000 | PA      | $400899.38    | 0.01%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3620E0HA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       559652 | PA      | $566598.03    | 0.01%             | 2060-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004306 | PA      | $846580.15    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2021-REV2                                          | CUSIP: 345285AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1025000 | PA      | $876198.19    | 0.02%             | 2034-05-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           28 | PA      | $28.71        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       522474 | PA      | $489088.55    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            7 | NC      | $9187.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       442274 | PA      | $378560.47    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       371016 | PA      | $389036.69    | 0.01%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404KMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1022 | PA      | $1026.68      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                      | Toll Brothers Finance Corp                                                      | CUSIP: 88947EAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       336000 | PA      | $334346.30    | 0.01%             | 2023-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       757048 | PA      | $757971.60    | 0.02%             | 2025-09-20      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38684 | PA      | $37246.90     | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXI Ltd                                                    | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4575000 | PA      | $4493400.76   | 0.12%             | 2032-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140761 | PA      | $136348.26    | 0.00%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       314000 | PA      | $293507.19    | 0.01%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| COLT Funding LLC                            | COLT 2021-4 Mortgage Loan Trust                                                 | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4394607 | PA      | $3568434.24   | 0.09%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2393693 | PA      | $2277294.15   | 0.06%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-140754.11   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK22                                                                 | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2435000 | PA      | $2122653.30   | 0.05%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                       | China Government Bond                                                           | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |      7000000 | PA      | $1027105.64   | 0.03%             | 2025-11-30      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BAAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        82102 | PA      | $74689.20     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       684999 | PA      | $610527.28    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1845000 | PA      | $1466775.00   | 0.04%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       103000 | PA      | $122310.04    | 0.00%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                        | Cantor Fitzgerald LP                                                            | CUSIP: 138616AE7<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |      4042000 | PA      | $3965210.49   | 0.10%             | 2024-05-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2057792 | PA      | $1744184.76   | 0.04%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MEAY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497614 | PA      | $436754.97    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       499000 | PA      | $412548.25    | 0.01%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167939 | PA      | $154115.05    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |       596000 | PA      | $477043.97    | 0.01%             | 2032-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FPU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       303156 | PA      | $297807.78    | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       690000 | PA      | $652030.78    | 0.02%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A1KZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       259572 | PA      | $4138.80      | 0.00%             | 2026-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2015-1 Ltd                                                    | CUSIP: 69689ABJ8<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |      1750000 | PA      | $1710887.68   | 0.04%             | 2034-05-21      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-1                                   | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1872000 | PA      | $1768289.33   | 0.05%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8936 | PA      | $8769.52      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           14 | NC      | $1837.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5G25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       159656 | PA      | $147896.06    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AUUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       293077 | PA      | $29048.52     | 0.00%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                       | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      1850000 | PA      | $1412892.42   | 0.04%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO XII Ltd                                                           | CUSIP: 07133RAA3<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |      1042000 | PA      | $1020448.84   | 0.03%             | 2031-05-17      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       659351 | PA      | $599977.53    | 0.02%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |        50000 | PA      | $49034.48     | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |       715000 | PA      | $639947.92    | 0.02%             | 2027-11-16      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ACR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1581298 | PA      | $1403996.62   | 0.04%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-P4                                     | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1015000 | PA      | $930797.33    | 0.02%             | 2049-07-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       165000 | PA      | $112493.21    | 0.00%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      1563000 | PA      | $1545910.48   | 0.04%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| APPLE INC                                   | Apple Inc                                                                       | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      1325000 | PA      | $1230320.65   | 0.03%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12720000 | PA      | $11927034.44  | 0.31%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403DBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3525 | PA      | $3648.10      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                        | M&T Bank Corp                                                                   | CUSIP: 71270QEB8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |       550000 | PA      | $539072.23    | 0.01%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84364 | PA      | $74836.94     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        61958 | PA      | $64180.89     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Rec              | American Credit Acceptance Receivables Trust 2022-3                             | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       245000 | PA      | $240167.94    | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7DS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       493384 | PA      | $501954.41    | 0.01%             | 2049-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       531000 | PA      | $493281.66    | 0.01%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       307510 | PA      | $324334.33    | 0.01%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412BFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          136 | PA      | $141.28       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C6                                         | CUSIP: 12532AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3740174 | PA      | $3416668.59   | 0.09%             | 2049-11-10      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710565 | PA      | $613389.17    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK23                                                                 | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2064805 | PA      | $1872953.23   | 0.05%             | 2052-12-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                      | Mondelez International Inc                                                      | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |       230000 | PA      | $196112.42    | 0.01%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       713000 | PA      | $616455.40    | 0.02%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -953 | NC      | $963849.53    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      3859000 | PA      | $3728179.90   | 0.10%             | 2024-06-26      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1829790 | PA      | $1506878.96   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC23 Mortgage Trust                                                   | CUSIP: 12636FBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1233000 | PA      | $1103178.17   | 0.03%             | 2048-10-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| DCERT BUYER INC                             | Dcert Buyer Inc                                                                 | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |       869431 | PA      | $837913.96    | 0.02%             | 2026-10-16      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       367839 | PA      | $313629.58    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        52662 | PA      | $49351.05     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       701000 | PA      | $683988.62    | 0.02%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      3285000 | PA      | $2650679.31   | 0.07%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ALTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1935005 | PA      | $1706332.33   | 0.04%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                     | Mid-Atlantic Interstate Transmission LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       121000 | PA      | $113830.97    | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                      | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |       235000 | PA      | $186519.35    | 0.00%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CR1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       503000 | PA      | $384859.97    | 0.01%             | 2031-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       183259 | PA      | $175321.75    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140K8ZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28026 | PA      | $26460.44     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XX Ltd                                                     | CUSIP: 64130TBA2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |       825000 | PA      | $802916.90    | 0.02%             | 2034-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       465570 | PA      | $429158.36    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       796728 | PA      | $650300.85    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                   | Ball Corp                                                                       | CUSIP: 058498AX4<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |       575000 | PA      | $461580.69    | 0.01%             | 2031-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31391HU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          410 | PA      | $418.86       | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                     | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |      1075000 | PA      | $1035225.00   | 0.03%             | 2024-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31398W2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        85025 | PA      | $7707.86      | 0.00%             | 2040-01-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       228505 | PA      | $237172.52    | 0.01%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       314153 | PA      | $328063.21    | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBN0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       220000 | PA      | $212209.58    | 0.01%             | 2025-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92326 | PA      | $98563.39     | 0.00%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       739094 | PA      | $727335.39    | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                             | Lamb Weston Holdings Inc                                                        | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |       280000 | PA      | $244555.32    | 0.01%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                        | Taylor Morrison Communities Inc                                                 | CUSIP: 87724RAA0<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |       249000 | PA      | $239622.97    | 0.01%             | 2027-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       150000 | PA      | $184376.55    | 0.00%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L0AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325522 | PA      | $266651.10    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4550000 | PA      | $3826188.37   | 0.10%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       416000 | PA      | $398658.00    | 0.01%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-              | One New York Plaza Trust 2020-1NYP                                              | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380000 | PA      | $358489.91    | 0.01%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6110000 | PA      | $6112864.06   | 0.16%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                           | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |       180000 | PA      | $152493.77    | 0.00%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378D2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       585990 | PA      | $59379.89     | 0.00%             | 2042-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1261000 | PA      | $1243915.25   | 0.03%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MEU4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       297000 | PA      | $287172.21    | 0.01%             | 2025-05-26      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128L5RV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         4541 | PA      | $4627.06      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6KC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       131522 | PA      | $136178.61    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       194000 | PA      | $174067.99    | 0.00%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36858 | PA      | $37223.30     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                           | CPPIB Capital Inc                                                               | CUSIP: 22411VAR9<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |      1575000 | PA      | $1464809.85   | 0.04%             | 2024-09-16      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175277 | PA      | $149602.73    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10785 | PA      | $10206.39     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                    | Bear Stearns ALT-A Trust 2004-11                                                | CUSIP: 07386HMR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2373482 | PA      | $2310003.46   | 0.06%             | 2034-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     52885000 | PA      | $48141876.56  | 1.24%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31288BV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1265 | PA      | $1291.76      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE10 Mortgage Trust                                                 | CUSIP: 12626BAE4<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |       241202 | PA      | $240387.70    | 0.01%             | 2046-08-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1725681 | PA      | $51658.95     | 0.00%             | 2027-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       462154 | PA      | $431020.95    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40650000 | PA      | $35217455.14  | 0.91%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    511730000 | PA      | $1873452.20   | 0.05%             | 2039-03-16      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                 | Ovintiv Inc                                                                     | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       475000 | PA      | $509819.73    | 0.01%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412LBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4357 | PA      | $4543.81      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       713508 | PA      | $605959.64    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1183385 | PA      | $1096380.53   | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      4242000 | PA      | $3165886.56   | 0.08%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18497 | PA      | $17616.05     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C15                                                   | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2950000 | PA      | $2639029.59   | 0.07%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24028 | PA      | $22926.42     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JQHS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       134243 | PA      | $131494.69    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       215000 | PA      | $191597.13    | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL MEDICAL RESPONSE                     | Global Medical Response Inc                                                     | CUSIP: 00169QAF6<br>LEI: 549300ZFWD4ZFCEJCQ87 | Long             | LON              | CORP              | US        |      1186355 | PA      | $829460.59    | 0.02%             | 2025-10-02      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       981000 | PA      | $1009596.69   | 0.03%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       834000 | PA      | $760302.76    | 0.02%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       960000 | PA      | $957058.06    | 0.02%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |        97000 | PA      | $89050.24     | 0.00%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369196 | PA      | $343248.84    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49521 | PA      | $43459.89     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9UB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5231241 | PA      | $4041652.49   | 0.10%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95537 | PA      | $91868.06     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2125680 | PA      | $1954905.43   | 0.05%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1414000 | PA      | $1092097.81   | 0.03%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93687 | PA      | $86250.64     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NAF8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        79000 | PA      | $82628.03     | 0.00%             | 2035-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       762595 | PA      | $672266.91    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27432 | PA      | $25449.19     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       885000 | PA      | $726731.75    | 0.02%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       239000 | PA      | $203624.55    | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       154019 | PA      | $147241.00    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30454942 | PA      | $24861544.47  | 0.64%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418PYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          876 | PA      | $873.85       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2019-B                                               | CUSIP: 55316EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1440000 | PA      | $1314464.40   | 0.03%             | 2041-11-12      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12806 | PA      | $13280.13     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VFH PARENT LLC                              | VFH Parent LLC                                                                  | CUSIP: 000000000<br>LEI: 549300FRO9M476YHHY64 | Long             | LON              | CORP              | US        |       780000 | PA      | $759037.50    | 0.02%             | 2029-01-13      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| WYNN MACAU LTD                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |       300000 | PA      | $239727.00    | 0.01%             | 2029-12-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6EZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22523 | PA      | $22260.85     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EAF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57138 | PA      | $54872.05     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $302143.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      1182000 | PA      | $957596.97    | 0.02%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WRKCO INC                                   | WRKCo Inc                                                                       | CUSIP: 96145DAF2<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |       245000 | PA      | $237040.37    | 0.01%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3546 | PA      | $3512.19      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       322882 | PA      | $289192.65    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1816000 | PA      | $1540749.24   | 0.04%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd                        | Battery Park CLO II Ltd                                                         | CUSIP: 07134CAA5<br>LEI: 549300H738INUT5W2X22 | Long             | ABS-CBDO         | CORP              | KY        |      4270000 | PA      | $4242589.59   | 0.11%             | 2035-10-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XEFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62019 | PA      | $60113.24     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B28 Mortgage Trust                                               | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1398118 | PA      | $98531.97     | 0.00%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2019-C16                                          | CUSIP: 90276YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2063000 | PA      | $1878827.33   | 0.05%             | 2052-04-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| DELOS FINANCE SARL                          | Delos Finance Sarl                                                              | CUSIP: 000000000<br>LEI: 549300HX549YWOJQT076 | Long             | LON              | CORP              | LU        |       500000 | PA      | $498825.00    | 0.01%             | 2023-10-06      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312943RS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       291220 | PA      | $279986.74    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140202 | PA      | $115978.86    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       211453 | PA      | $194190.14    | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C16                                                   | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1120000 | PA      | $1077505.63   | 0.03%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4257542 | PA      | $3477703.76   | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 31283BCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       222199 | PA      | $10359.37     | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       342658 | PA      | $306278.74    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       905000 | PA      | $786151.43    | 0.02%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       118504 | PA      | $113585.73    | 0.00%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FFMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2586248 | PA      | $382138.38    | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       234000 | PA      | $222921.67    | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21031 | PA      | $21253.80     | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98838 | PA      | $97714.36     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       480000 | PA      | $361894.98    | 0.01%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FDV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79378 | PA      | $76694.56     | 0.00%             | 2040-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                          | CUSIP: 61768HAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       252000 | PA      | $232563.82    | 0.01%             | 2052-03-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       734000 | PA      | $576317.30    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       772000 | PA      | $786722.40    | 0.02%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       702669 | PA      | $647209.31    | 0.02%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149556 | PA      | $143073.31    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -631 | NC      | $440094.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CoreVest American Finance Ltd               | CoreVest American Finance 2020-3 Trust                                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1654035 | PA      | $1458706.15   | 0.04%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5264240 | PA      | $5280406.64   | 0.14%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       675461 | PA      | $550495.05    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       115577 | PA      | $111990.57    | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71720 | PA      | $72431.37     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140E0LJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       362597 | PA      | $346842.43    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                          | Alcon Finance Corp                                                              | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |       350000 | PA      | $355054.84    | 0.01%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C20                                        | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $771539.28    | 0.02%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       984593 | PA      | $923996.21    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Funding XIV LLC                                                         | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       284000 | PA      | $264454.61    | 0.01%             | 2028-03-08      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412GV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1142 | PA      | $1159.25      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |        82000 | PA      | $55609.32     | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       417000 | PA      | $332834.64    | 0.01%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1650816 | PA      | $1570032.87   | 0.04%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GUHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31549 | PA      | $29284.20     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       856645 | PA      | $778511.52    | 0.02%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HMN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       169760 | PA      | $161930.69    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20882 | PA      | $20545.79     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                    | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       380000 | PA      | $330369.46    | 0.01%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| COMM Mortgage Trust                         | COMM 2019-GC44 Mortgage Trust                                                   | CUSIP: 12655TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $5952400.30   | 0.15%             | 2057-08-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36212PBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15687 | PA      | $14753.13     | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                      | Brazilian Government International Bond                                         | CUSIP: 105756CB4<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      2245000 | PA      | $1559994.38   | 0.04%             | 2050-01-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV              | Octagon Investment Partners XVII Ltd                                            | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |      1990000 | PA      | $1960892.47   | 0.05%             | 2031-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BG3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3790421 | PA      | $3266094.43   | 0.08%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                         | Abbott Laboratories                                                             | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       168000 | PA      | $164380.90    | 0.00%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| H&E EQUIPMENT SERVICES                      | H&E Equipment Services Inc                                                      | CUSIP: 404030AJ7<br>LEI: 254900KVLRCDMQRYY541 | Long             | DBT              | CORP              | US        |       120000 | PA      | $102160.78    | 0.00%             | 2028-12-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6563988 | PA      | $6250723.49   | 0.16%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2121000 | PA      | $2098682.20   | 0.05%             | 2025-01-10      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20768 | PA      | $21146.33     | 0.00%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Trust 2021-C10                                                            | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23953151 | PA      | $1733970.96   | 0.04%             | 2054-07-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XSJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        50846 | PA      | $49481.78     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1825000 | PA      | $1608875.47   | 0.04%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       553741 | PA      | $519733.96    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Shops at Crystals Trust 2016-C              | Shops at Crystals Trust 2016-CSTL                                               | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1078000 | PA      | $935164.35    | 0.02%             | 2036-07-05      | Fixed         | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YDJJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49607 | PA      | $47662.91     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                            | Bank of Montreal                                                                | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       763000 | PA      | $712202.13    | 0.02%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $1716811.98   | 0.04%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          298 | NC      | $108025.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100000 | PA      | $95152.94     | 0.00%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          232 | PA      | $240.28       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE21 Mortgage Trust                                                 | CUSIP: 12592RBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       864791 | PA      | $832298.02    | 0.02%             | 2047-12-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17789 | PA      | $17402.17     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1301000 | PA      | $1387475.60   | 0.04%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1305000 | PA      | $1078320.14   | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| WELLTOWER INC                               | Welltower Inc                                                                   | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |      2091000 | PA      | $1765518.75   | 0.05%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se              | Natixis Commercial Mortgage Securities Trust 2018-SOX                           | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       310000 | PA      | $280958.98    | 0.01%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301686 | PA      | $260876.22    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       406899 | PA      | $60090.24     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128926 | PA      | $107131.25    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5034 | PA      | $5225.97      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41514 | PA      | $40363.35     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2022-SHIP                                     | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       395000 | PA      | $389470.99    | 0.01%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       146000 | PA      | $126338.88    | 0.00%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HPBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        17526 | PA      | $16403.15     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       355000 | PA      | $367856.60    | 0.01%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237487 | PA      | $208867.23    | 0.01%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2054000 | PA      | $1897794.94   | 0.05%             | 2050-10-12      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44486 | PA      | $41530.53     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-11336.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2125226 | PA      | $2131543.48   | 0.05%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      1805000 | PA      | $1655404.32   | 0.04%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE LONDON                      | Credit Agricole SA/London                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |       580000 | PA      | $528811.23    | 0.01%             | 2026-06-16      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      4598000 | PA      | $3719145.87   | 0.10%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                     | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       410000 | PA      | $332043.55    | 0.01%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAC7<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |       174985 | PA      | $157559.59    | 0.00%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417MKJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          252 | PA      | $251.25       | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1004699 | PA      | $825515.69    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31415PZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117110 | PA      | $117897.62    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       113024 | PA      | $101732.39    | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                      | CVS Pass-Through Trust                                                          | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       219463 | PA      | $224488.09    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       790000 | PA      | $719830.44    | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2021-1                                      | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       152663 | PA      | $151626.55    | 0.00%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                              | Salesforce Inc                                                                  | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |       325000 | PA      | $323298.31    | 0.01%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       296791 | PA      | $284463.73    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H6UD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       448478 | PA      | $428968.64    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        30340 | PA      | $29666.30     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B9GC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       572749 | PA      | $64493.86     | 0.00%             | 2050-04-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       696000 | PA      | $645836.94    | 0.02%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       737000 | PA      | $630322.85    | 0.02%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1105000 | PA      | $1001623.94   | 0.03%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAH6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $196319.16    | 0.01%             | 2024-03-12      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GSLR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       322264 | PA      | $309829.24    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                          | Royalty Pharma PLC                                                              | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      2355000 | PA      | $1783549.59   | 0.05%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      1052000 | PA      | $1089725.86   | 0.03%             | 2028-06-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                             | Hanesbrands Inc                                                                 | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       122000 | PA      | $118367.96    | 0.00%             | 2024-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1298690 | PA      | $1263432.68   | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       150228 | PA      | $143899.00    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      1189000 | PA      | $999335.32    | 0.03%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       260864 | PA      | $249178.95    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       850000 | PA      | $749789.42    | 0.02%             | 2033-03-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       458339 | PA      | $67288.52     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      7385000 | PA      | $6499887.96   | 0.17%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132893 | PA      | $118619.25    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       202056 | PA      | $193155.25    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ARFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2289943 | PA      | $426191.57    | 0.01%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       499999 | PA      | $438991.81    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA                    | Horizon Therapeutics USA Inc                                                    | CUSIP: 44055UAD7<br>LEI: 254900IS87RLPXY88S03 | Long             | LON              | CORP              | US        |       363015 | PA      | $362652.34    | 0.01%             | 2028-03-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        76935 | PA      | $71647.05     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B27 Mortgage Trust                                               | CUSIP: 08163HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3300000 | PA      | $2672528.76   | 0.07%             | 2054-07-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      6287000 | PA      | $6013602.95   | 0.16%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-A LLC                                            | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        59768 | PA      | $57621.45     | 0.00%             | 2051-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XTAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1050515 | PA      | $983434.28    | 0.03%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53988 | PA      | $54348.44     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       149000 | PA      | $129185.60    | 0.00%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BALN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3718784 | PA      | $616475.46    | 0.02%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| II-VI INC                                   | Coherent Corp                                                                   | CUSIP: 45173JAQ7<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |       960050 | PA      | $949249.44    | 0.02%             | 2029-07-01      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36809 | PA      | $35474.89     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       598000 | PA      | $592822.16    | 0.02%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XIII Ltd                                                   | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       481309 | PA      | $476014.66    | 0.01%             | 2030-04-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       471758 | PA      | $465062.92    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable              | OneMain Direct Auto Receivables Trust 2021-1                                    | CUSIP: 682687AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       225000 | PA      | $187595.60    | 0.00%             | 2030-11-14      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292HNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          432 | PA      | $447.55       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      5834000 | PA      | $5190691.76   | 0.13%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MSKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1149946 | PA      | $1045219.08   | 0.03%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       200000 | PA      | $130469.84    | 0.00%             | 2031-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           25 | NC      | $9062.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      4400000 | PA      | $4307989.84   | 0.11%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU              | New Jersey Turnpike Authority                                                   | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |       366000 | PA      | $439853.24    | 0.01%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57411 | PA      | $51470.85     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      1695000 | PA      | $1571214.54   | 0.04%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PHOENIX GUARANTOR INC                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAH5<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       641796 | PA      | $600480.74    | 0.02%             | 2026-03-05      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       176000 | PA      | $161282.99    | 0.00%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                       | Jane Street Group LLC                                                           | CUSIP: 47077DAG5<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |       834508 | PA      | $808197.25    | 0.02%             | 2028-01-26      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     22415000 | PA      | $20663828.13  | 0.53%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                 | Lennar Corp                                                                     | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       180000 | PA      | $173081.36    | 0.00%             | 2027-11-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                             | Israel Government International Bond                                            | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |       410000 | PA      | $371306.25    | 0.01%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1541374 | PA      | $1325457.16   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERTIV GROUP CORPORATION                    | Vertiv Group Corp                                                               | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |       220000 | PA      | $187725.53    | 0.00%             | 2028-11-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2020-REV2                                          | CUSIP: 34532JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1730000 | PA      | $1514089.95   | 0.04%             | 2033-04-15      | Fixed         | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MDDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24855 | PA      | $25022.33     | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2015-GS1                                           | CUSIP: 36252AAC0<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |       110000 | PA      | $104392.15    | 0.00%             | 2048-11-10      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       132000 | PA      | $123633.66    | 0.00%             | 2043-12-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                        | Paraguay Government International Bond                                          | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |       640000 | PA      | $560320.00    | 0.01%             | 2033-06-28      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       706000 | PA      | $699675.14    | 0.02%             | 2024-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383P5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3342335 | PA      | $60062.10     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67286 | PA      | $69694.16     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411DR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          542 | PA      | $566.15       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       124839 | PA      | $120620.77    | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       220000 | PA      | $206624.03    | 0.01%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| LYB INTL FINANCE BV                         | LYB International Finance BV                                                    | CUSIP: 50247VAB5<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |       405000 | PA      | $357484.27    | 0.01%             | 2043-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST                         | OMERS Finance Trust                                                             | CUSIP: 682142AF1<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | NUSS              | CA        |      1245000 | PA      | $1110671.47   | 0.03%             | 2026-03-26      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                    | American Transmission Systems Inc                                               | CUSIP: 030288AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       482000 | PA      | $438125.19    | 0.01%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 77586RAH3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       224000 | PA      | $175532.00    | 0.00%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       340000 | PA      | $272850.00    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                       | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |        35000 | PA      | $31952.52     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                          | Mattamy Group Corp                                                              | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       294000 | PA      | $260557.50    | 0.01%             | 2027-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4TZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658513 | PA      | $594820.64    | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                   | IMT Trust 2017-APTS                                                             | CUSIP: 44974AAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       320000 | PA      | $305062.11    | 0.01%             | 2034-06-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       610000 | PA      | $590137.46    | 0.02%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                    | Medtronic Global Holdings SCA                                                   | CUSIP: 000000000<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |       353000 | PA      | $243502.24    | 0.01%             | 2040-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QHZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        57120 | PA      | $58263.12     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                       | Flowserve Corp                                                                  | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |       650000 | PA      | $485709.54    | 0.01%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                               | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |       915000 | PA      | $945210.39    | 0.02%             | 2028-11-04      | Fixed         | 5.82%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YD4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       101847 | PA      | $95503.41     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       195705 | PA      | $189094.78    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1925000 | PA      | $1842127.60   | 0.05%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-4                                                | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3631000 | PA      | $2463342.66   | 0.06%             | 2059-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       948000 | PA      | $870671.30    | 0.02%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14773 | PA      | $13760.47     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       286000 | PA      | $278365.71    | 0.01%             | 2026-09-18      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       108138 | PA      | $89254.76     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                      | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |      1580000 | PA      | $1619029.87   | 0.04%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                              | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |        97000 | PA      | $81345.31     | 0.00%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       145932 | PA      | $120990.37    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MFD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1363335 | PA      | $1239721.94   | 0.03%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36182K7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6274 | PA      | $5900.26      | 0.00%             | 2043-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3162 | PA      | $3125.07      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor Re 2018-1 Ltd                                                            | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-MBS          | CORP              | BM        |       248702 | PA      | $248729.54    | 0.01%             | 2028-03-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1645000 | PA      | $1527354.15   | 0.04%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24396 | PA      | $25196.35     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24600 | PA      | $22856.59     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33486 | PA      | $32068.94     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215365 | PA      | $175983.55    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411KGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72971 | PA      | $74071.98     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110305000 | PA      | $78902545.31  | 2.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A65Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       276456 | PA      | $16878.37     | 0.00%             | 2042-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31406VPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1976 | PA      | $1984.03      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                    | Digicel International Finance Ltd/Digicel international Holdings Ltd            | CUSIP: 25381XAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       463114 | PA      | $240819.28    | 0.01%             | 2025-12-31      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31296PXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1612 | PA      | $1651.87      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       518000 | PA      | $358474.66    | 0.01%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ENRGY TRANS LP/REG FIN                      | Energy Transfer LP / Regency Energy Finance Corp                                | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        35000 | PA      | $34697.03     | 0.00%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417VP23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2188 | PA      | $2182.45      | 0.00%             | 2024-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31405VCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1994 | PA      | $2007.00      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       295000 | PA      | $281697.95    | 0.01%             | 2027-04-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                        | Monongahela Power Co                                                            | CUSIP: 610202BP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2409134.05   | 0.06%             | 2043-12-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |       174000 | PA      | $150895.89    | 0.00%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       104920 | PA      | $100365.73    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       353000 | PA      | $308763.29    | 0.01%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOB FUND                     | Guardian Life Global Funding                                                    | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |       282000 | PA      | $255779.30    | 0.01%             | 2025-06-23      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QPSD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       121412 | PA      | $110341.69    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2350899.90   | 0.06%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2100000 | PA      | $2036816.33   | 0.05%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8126 | PA      | $7773.13      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5999995 | PA      | $5082915.49   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                          | Panama Government International Bond                                            | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      3860000 | PA      | $2911405.00   | 0.08%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                    | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |       565000 | PA      | $564961.98    | 0.01%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                               | Sempra Energy                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |       395000 | PA      | $360395.76    | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2017-C1                                           | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       800000 | PA      | $735414.56    | 0.02%             | 2050-06-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXIII Ltd                                                  | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       950000 | PA      | $938523.53    | 0.02%             | 2031-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP MORGAN MORTGAGE TRUST 2018-5                                                 | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1178067 | PA      | $1032237.91   | 0.03%             | 2048-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92923 | PA      | $79436.85     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380LEB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       233036 | PA      | $229933.44    | 0.01%             | 2068-05-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      6785000 | PA      | $5947908.77   | 0.15%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410UQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8083 | PA      | $8367.49      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      2100000 | PA      | $2190874.77   | 0.06%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      2000000 | PA      | $1850700.80   | 0.05%             | 2026-08-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Tru              | Harley-Davidson Motorcycle Trust 2020-A                                         | CUSIP: 41284UAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        83068 | PA      | $82879.33     | 0.00%             | 2024-10-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2792756 | PA      | $2400706.76   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                       | KKR CLO 30 Ltd                                                                  | CUSIP: 48250EAN5<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |      4380000 | PA      | $4300182.82   | 0.11%             | 2031-10-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1209132 | PA      | $1076963.30   | 0.03%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities Trust 2003-2                               | CUSIP: 07384YJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70922 | PA      | $68539.60     | 0.00%             | 2043-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          253 | NC      | $-46845.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26973 | PA      | $27332.60     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MGQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34671 | PA      | $34101.35     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138APTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       139497 | PA      | $135021.91    | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SOFI PROFESSIONAL LOAN PROGRAM 2021-A TRUST                                     | CUSIP: 83405YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       484705 | PA      | $384899.41    | 0.01%             | 2043-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       400000 | PA      | $399686.48    | 0.01%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                    | Petrobras Global Finance BV                                                     | CUSIP: 000000000<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |       424000 | PA      | $443650.80    | 0.01%             | 2034-01-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69628 | PA      | $65347.60     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M95X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       162016 | PA      | $159339.97    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     74200000 | PA      | $74478250.00  | 1.92%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       327000 | PA      | $310304.40    | 0.01%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1497664.30   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       192000 | PA      | $202536.00    | 0.01%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3999997 | PA      | $3562359.70   | 0.09%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325548 | PA      | $304424.44    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       637838 | PA      | $180508.15    | 0.00%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2017-4, Ltd.                       | Voya Clo 2017-4 Ltd                                                             | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       610000 | PA      | $602426.24    | 0.02%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21636 | PA      | $19538.66     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175128 | PA      | $151327.49    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                        | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |       425000 | PA      | $463057.21    | 0.01%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404ECJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          579 | PA      | $581.23       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2013-2 Ltd                                                    | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $245071.95    | 0.01%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F72D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       179582 | PA      | $177290.78    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        73328 | PA      | $65934.60     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42715 | PA      | $40754.23     | 0.00%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                             | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |       399000 | PA      | $370569.26    | 0.01%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                       | Vale Overseas Ltd                                                               | CUSIP: 91911TAK9<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |       411000 | PA      | $432140.81    | 0.01%             | 2039-11-10      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10377153 | PA      | $590811.80    | 0.02%             | 2029-07-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30302 | PA      | $29748.37     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EN2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3248292 | PA      | $2955549.52   | 0.08%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       590000 | PA      | $549654.92    | 0.01%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       616910 | PA      | $542172.47    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                  | Sprint LLC                                                                      | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |       380000 | PA      | $393463.74    | 0.01%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |        35000 | PA      | $34008.32     | 0.00%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      8879000 | PA      | $7830537.49   | 0.20%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95856 | PA      | $79666.46     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1314846.53   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg              | DBJPM 2016-C3 Mortgage Trust                                                    | CUSIP: 23312VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2374000 | PA      | $2165719.48   | 0.06%             | 2049-08-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BL7E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2846565 | PA      | $2588642.41   | 0.07%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       963102 | PA      | $845750.19    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -26 | NC      | $-97387.92    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         9512 | PA      | $9900.67      | 0.00%             | 2041-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       269000 | PA      | $213130.95    | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          898 | NC      | $-306958.31   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Credit Acceptance Auto Loan Tr              | Credit Acceptance Auto Loan Trust 2020-2                                        | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       218626 | PA      | $216442.64    | 0.01%             | 2029-07-16      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            2 | NC      | $625.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       337755 | PA      | $287642.28    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2258592 | PA      | $1913077.44   | 0.05%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109311 | PA      | $106077.35    | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       888150 | PA      | $814890.69    | 0.02%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187386 | PA      | $159584.10    | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KEYU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       352637 | PA      | $339468.36    | 0.01%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | ZAR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $50107.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       270000 | PA      | $234011.00    | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                             | CUSIP: 58403YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1670000 | PA      | $1607175.77   | 0.04%             | 2038-11-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413FGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5646 | PA      | $5871.43      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33920 | PA      | $33167.07     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834MD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     15060000 | PA      | $6321670.39   | 0.16%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1650000 | PA      | $1630419.29   | 0.04%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        83232 | PA      | $82169.97     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38376MAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       232019 | PA      | $9290.51      | 0.00%             | 2043-06-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2012-1 A                    | United Airlines 2012-1 Class A Pass Through Trust                               | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       569159 | PA      | $551212.58    | 0.01%             | 2024-04-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |        96000 | PA      | $87072.37     | 0.00%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       249818 | PA      | $214301.69    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       206016 | PA      | $187375.95    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15187 | PA      | $15069.72     | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       101859 | PA      | $95455.80     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                    | Corporate Office Properties LP                                                  | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |       955000 | PA      | $672757.08    | 0.02%             | 2033-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                     | Bayer US Finance II LLC                                                         | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      2090000 | PA      | $1966177.74   | 0.05%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                              | Halliburton Co                                                                  | CUSIP: 406216AY7<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       629000 | PA      | $711230.25    | 0.02%             | 2039-09-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-RPL5 Trust                                                            | CUSIP: 12597XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       180864 | PA      | $172816.25    | 0.00%             | 2060-08-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |       501000 | PA      | $475123.39    | 0.01%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       756250 | PA      | $744917.10    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                     | Sasol Financing USA LLC                                                         | CUSIP: 80386WAA3<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |       615000 | PA      | $599625.00    | 0.02%             | 2024-03-27      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-95114.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $1394299.30   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7250000 | PA      | $6074305.64   | 0.16%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B5QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5328516 | PA      | $137814.61    | 0.00%             | 2029-06-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       865520 | PA      | $800533.20    | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                         | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      1380000 | PA      | $1112222.84   | 0.03%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE18 Mortgage Trust                                                 | CUSIP: 12632QAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83027 | PA      | $80391.56     | 0.00%             | 2047-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                    | Duke Energy Progress LLC                                                        | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       625000 | PA      | $503638.73    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-A                                           | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       180000 | PA      | $154315.98    | 0.00%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR1             | CUSIP: 65535VJB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       894089 | PA      | $872304.78    | 0.02%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79733 | PA      | $74754.01     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      1469000 | PA      | $1393049.07   | 0.04%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                     | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |       135000 | PA      | $123887.81    | 0.00%             | 2026-03-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |       224000 | PA      | $221269.42    | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6EX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       101667 | PA      | $99121.90     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4423707 | PA      | $3820878.47   | 0.10%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1229476 | PA      | $1033193.57   | 0.03%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                             | Deere & Co                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |       117000 | PA      | $104887.12    | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAH1<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        12000 | PA      | $13157.58     | 0.00%             | 2039-08-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAN6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      1270000 | PA      | $1344824.46   | 0.03%             | 2040-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        47242 | PA      | $44245.58     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       755000 | PA      | $634628.18    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                    | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAC6<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |       200000 | PA      | $199287.50    | 0.01%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        61639 | PA      | $57912.73     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle Global Market Strategies CLO 2014-1 Ltd                                 | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       558303 | PA      | $550478.89    | 0.01%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380LBS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       278782 | PA      | $275199.99    | 0.01%             | 2068-02-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1613000 | PA      | $1434793.61   | 0.04%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       190000 | PA      | $189361.34    | 0.00%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun              | American Express Credit Account Master Trust                                    | CUSIP: 02582JJR2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |      4910000 | PA      | $4555975.25   | 0.12%             | 2026-11-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| ZIGGO FINANCING PARTNERS                    | Ziggo Financing Partnership                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       754750 | PA      | $734533.27    | 0.02%             | 2028-04-30      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1470000 | PA      | $1411200.00   | 0.04%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2019-1 Ltd                                                              | CUSIP: 43731AAA1<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |       114210 | PA      | $112462.37    | 0.00%             | 2029-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       340000 | PA      | $300457.19    | 0.01%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3633271 | PA      | $3470072.00   | 0.09%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1035201 | PA      | $970084.35    | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XLNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       190192 | PA      | $187296.60    | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345861 | PA      | $54242.13     | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-3 Ltd                                                        | CUSIP: 07877KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       378141 | PA      | $380410.69    | 0.01%             | 2030-10-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1841626 | PA      | $1622405.93   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                  | Pfizer Inc                                                                      | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       527000 | PA      | $462094.07    | 0.01%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME Euro Foreign Exchange Currency                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           59 | NC      | $23133.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12001 | PA      | $11462.03     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                      | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |       357616 | PA      | $286048.18    | 0.01%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404XLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5786 | PA      | $5978.86      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       117038 | PA      | $113608.65    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6107142 | PA      | $5711246.97   | 0.15%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding V CLO Ltd                                                         | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |       850000 | PA      | $835173.79    | 0.02%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FIRST EAGLE HOLDINGS INC                    | First Eagle Holdings Inc                                                        | CUSIP: 05554JAH0<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |       971253 | PA      | $940901.41    | 0.02%             | 2027-02-02      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH3                                                 | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |        58244 | PA      | $56339.20     | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          144 | NC      | $-52347.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1620000 | PA      | $1559539.82   | 0.04%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       200000 | PA      | $150611.34    | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176131 | PA      | $163391.17    | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       278765 | PA      | $227283.44    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38375GB83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       246186 | PA      | $23291.21     | 0.00%             | 2042-08-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |        40000 | PA      | $37032.51     | 0.00%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        66000 | PA      | $54649.31     | 0.00%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3300000 | PA      | $3123152.80   | 0.08%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KNDL Mortgage Trust                         | KNDL 2019-KNSQ Mortgage Trust                                                   | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       690000 | PA      | $681934.31    | 0.02%             | 2036-05-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                          | Serbia International Bond                                                       | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |      1386000 | PA      | $1272502.66   | 0.03%             | 2027-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186605 | PA      | $155783.97    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8CB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          785 | PA      | $819.25       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       351508 | PA      | $346360.37    | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31374TFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          517 | PA      | $534.79       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402VR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6944 | PA      | $7154.53      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2017-CX10 Commercial Mortgage Trust                                       | CUSIP: 12595JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1566000 | PA      | $1436758.02   | 0.04%             | 2050-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                      | Indian Railway Finance Corp Ltd                                                 | CUSIP: 45434L2H6<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |       265000 | PA      | $226863.85    | 0.01%             | 2032-01-21      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1055624.31   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       155944 | PA      | $150366.76    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18767 | PA      | $18047.41     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                           | Elmwood CLO X Ltd                                                               | CUSIP: 29002VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       910000 | PA      | $892056.53    | 0.02%             | 2034-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                     | DCP Midstream Operating LP                                                      | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |       210000 | PA      | $206994.02    | 0.01%             | 2036-11-03      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       471000 | PA      | $371123.76    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       400000 | PA      | $324283.64    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: —       |
| BX Trust                                    | BX Trust 2022-CLS                                                               | CUSIP: 05609XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2185000 | PA      | $2146068.11   | 0.06%             | 2027-10-13      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                      | CenterPoint Energy Inc                                                          | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |      1391000 | PA      | $1374002.95   | 0.04%             | 2024-05-13      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31401JRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          712 | PA      | $726.36       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       203000 | PA      | $136011.07    | 0.00%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       892000 | PA      | $910015.07    | 0.02%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       612000 | PA      | $538442.53    | 0.01%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       755000 | PA      | $745806.29    | 0.02%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXIII                                                           | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3130000 | PA      | $3018292.49   | 0.08%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C18                                                   | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       430000 | PA      | $449906.51    | 0.01%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                     | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        30000 | PA      | $27510.88     | 0.00%             | 2026-07-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS IN                    | Triton Water Holdings Inc                                                       | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |       480718 | PA      | $445265.31    | 0.01%             | 2028-03-31      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WD6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       316812 | PA      | $304634.10    | 0.01%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11897 | PA      | $11664.90     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       630000 | PA      | $621178.49    | 0.02%             | 2024-05-22      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ASXH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1624592 | PA      | $1371389.65   | 0.04%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527359 | PA      | $522152.49    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |        89000 | PA      | $87109.53     | 0.00%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       238622 | PA      | $219973.55    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY TRADING LLC                    | QatarEnergy Trading LLC                                                         | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |       506000 | PA      | $386868.63    | 0.01%             | 2041-07-12      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -34 | NC      | $-2656.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XGTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       432255 | PA      | $423206.49    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97770 | PA      | $91673.59     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50857 | PA      | $50709.84     | 0.00%             | 2046-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AD3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1880341 | PA      | $1668944.30   | 0.04%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9103 | PA      | $9398.01      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       380000 | PA      | $342292.96    | 0.01%             | 2026-06-19      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413HTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          219 | PA      | $223.12       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                    | Public Service Enterprise Group Inc                                             | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |      1780000 | PA      | $1833616.75   | 0.05%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| ORBIA ADVANCE CORP SAB                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |       799000 | PA      | $695779.19    | 0.02%             | 2026-05-11      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H6KD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72392 | PA      | $71114.81     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |      2019000 | PA      | $1527893.80   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Galaxy CLO Ltd                              | Galaxy XV CLO Ltd                                                               | CUSIP: 36318WAK6<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |      1010000 | PA      | $994192.39    | 0.03%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      3185000 | PA      | $3106257.85   | 0.08%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2004-WMC2                                   | CUSIP: 57643LDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225141 | PA      | $216787.96    | 0.01%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411SPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5891 | PA      | $6088.48      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FK6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124650 | PA      | $119297.79    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400000 | PA      | $1089959.22   | 0.03%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1000267 | PA      | $909757.90    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155638 | PA      | $154215.57    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     34685000 | PA      | $22079170.31  | 0.57%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1263304 | PA      | $1084764.25   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                              | Var Energi ASA                                                                  | CUSIP: 92212WAA8<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |      2540000 | PA      | $2393673.39   | 0.06%             | 2027-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       476397 | PA      | $462287.99    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       807806 | PA      | $727275.12    | 0.02%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1626000 | PA      | $1311068.21   | 0.03%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                         | Abbott Laboratories                                                             | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       554000 | PA      | $539956.73    | 0.01%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32579 | PA      | $31167.34     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |       320000 | PA      | $269160.00    | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       392000 | PA      | $288125.52    | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       988000 | PA      | $921504.99    | 0.02%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84087 | PA      | $82517.60     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                                              | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |     38468661 | NS      | $38468660.81  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| iShares Core U.S. Aggregate Bond ETF        | iShares Core U.S. Aggregate Bond ETF                                            | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             | EC               | RF                | US        |       628164 | NS      | $60925626.36  | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       448000 | PA      | $406584.57    | 0.01%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2155000 | PA      | $2042573.65   | 0.05%             | 2052-03-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1541000 | PA      | $1598246.04   | 0.04%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WMWR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       893707 | PA      | $837078.26    | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178WGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1497 | PA      | $1370.08      | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       255192 | PA      | $250018.17    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -43693000 | PA      | $-40969175.76 | -1.06%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       424000 | PA      | $366562.96    | 0.01%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369711 | PA      | $345174.74    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $179703.90    | 0.00%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F3MX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78567 | PA      | $70298.66     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      1890000 | PA      | $1907905.99   | 0.05%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40386 | PA      | $36071.99     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111733 | PA      | $106888.92    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1796499 | PA      | $1467443.57   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       927628 | PA      | $871172.99    | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383R3S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       524074 | PA      | $7735.17      | 0.00%             | 2052-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |       594000 | PA      | $558250.58    | 0.01%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2              | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1919281 | PA      | $1895618.01   | 0.05%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14014827 | PA      | $11903994.48  | 0.31%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2021-SFR2 Trust                                                  | CUSIP: 33767TAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3352086 | PA      | $2863612.03   | 0.07%             | 2038-09-17      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1970523 | PA      | $1810619.81   | 0.05%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                           | Kimco Realty Corp                                                               | CUSIP: 49446RAW9<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |      2013000 | PA      | $1642708.41   | 0.04%             | 2030-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1345050 | PA      | $1256255.31   | 0.03%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6748716 | PA      | $5923364.01   | 0.15%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |       442000 | PA      | $441686.18    | 0.01%             | 2023-01-12      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       106000 | PA      | $94982.30     | 0.00%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                             | Bermuda Government International Bond                                           | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |       200000 | PA      | $198412.50    | 0.01%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5JX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37156 | PA      | $35453.90     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -12 | NC      | $-13042.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4620000 | PA      | $4605439.70   | 0.12%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL              | JPMorgan Chase Bank NA - CACLN                                                  | CUSIP: 46591HAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       333341 | PA      | $328550.09    | 0.01%             | 2028-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| ALI GROUP NORTH AMERICA                     | Ali Group North America Corp                                                    | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       866756 | PA      | $858088.05    | 0.02%             | 2029-07-22      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       253000 | PA      | $222453.74    | 0.01%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178CVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11316 | PA      | $10642.12     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        95955 | PA      | $90240.53     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        43786 | PA      | $43455.07     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F2A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        11870 | PA      | $12533.46     | 0.00%             | 2041-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        87709 | PA      | $77657.10     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      2570000 | PA      | $2433040.85   | 0.06%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       357000 | PA      | $341464.77    | 0.01%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36182CR33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26025 | PA      | $24474.85     | 0.00%             | 2044-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS APACHE CORP                                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-78674.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |       842000 | PA      | $786909.69    | 0.02%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| Asset Backed Funding Certifica              | ABFC 2004-OPT2 Trust                                                            | CUSIP: 04542BFW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2121 | PA      | $2115.60      | 0.00%             | 2033-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      5000000 | PA      | $4047374.65   | 0.10%             | 2030-07-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418RHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          408 | PA      | $407.10       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                  | DaVita Inc                                                                      | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      2415000 | PA      | $1946280.38   | 0.05%             | 2030-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182848 | PA      | $179623.00    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2019-1 Ltd                                                             | CUSIP: 269822AB8<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |       224985 | PA      | $220238.03    | 0.01%             | 2029-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7HC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         4463 | PA      | $4625.15      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $3609.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       482425 | PA      | $475671.05    | 0.01%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                      | Brazilian Government International Bond                                         | CUSIP: 105756BW9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      1563000 | PA      | $1156424.63   | 0.03%             | 2045-01-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       137483 | PA      | $129062.30    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      9695000 | PA      | $8482670.98   | 0.22%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       600000 | PA      | $597123.66    | 0.02%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7256 | PA      | $6913.43      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237597 | PA      | $220322.28    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-GC41                                   | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29272430 | PA      | $1350949.01   | 0.03%             | 2056-08-10      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220629 | PA      | $211462.87    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                       | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      1072000 | PA      | $939713.27    | 0.02%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: —       |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                             | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380000 | PA      | $356702.54    | 0.01%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                 | Federal Home Loan Mortgage Corp                                                 | CUSIP: 3134A3ZU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |       420000 | PA      | $308748.62    | 0.01%             | 2029-12-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       110000 | PA      | $109619.28    | 0.00%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2857 | PA      | $2958.50      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1095276 | PA      | $929440.70    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       933113 | PA      | $792120.84    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       353000 | PA      | $374161.01    | 0.01%             | 2025-07-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BX7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       176000 | PA      | $111167.05    | 0.00%             | 2061-08-12      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1142000 | PA      | $1167873.44   | 0.03%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63529 | PA      | $55692.94     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10065546 | PA      | $8231373.51   | 0.21%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |       210000 | PA      | $179871.76    | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2013-C13                                        | CUSIP: 92937UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18910 | PA      | $18859.68     | 0.00%             | 2045-05-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       301000 | PA      | $288485.72    | 0.01%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          311 | NC      | $-88745.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11102000 | PA      | $8385479.38   | 0.22%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       505047 | PA      | $21540.28     | 0.00%             | 2027-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        92673 | PA      | $88478.15     | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                             | Bermuda Government International Bond                                           | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |       427000 | PA      | $358626.63    | 0.01%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312939WJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8038 | PA      | $8216.75      | 0.00%             | 2040-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-LC20                                 | CUSIP: 94989EAD9<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |      3196000 | PA      | $3030358.35   | 0.08%             | 2050-04-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1142000 | PA      | $1228363.75   | 0.03%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40304 | PA      | $37793.83     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNPP IP Euro CLO                            | BNPP AM Euro CLO 2018 DAC                                                       | CUSIP: 000000000<br>LEI: 635400VGNU8T62DHAX91 | Long             | ABS-CBDO         | CORP              | IE        |      2083000 | PA      | $2158467.01   | 0.06%             | 2031-04-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI              | Pennsylvania Turnpike Commission                                                | CUSIP: 709223A27<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |       270000 | PA      | $271492.82    | 0.01%             | 2045-12-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       484000 | PA      | $393437.10    | 0.01%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       539497 | PA      | $462631.97    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XCA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63564 | PA      | $63012.69     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AVW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2221355 | PA      | $1992207.07   | 0.05%             | 2047-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        60723 | PA      | $62157.39     | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                      | BP Capital Markets PLC                                                          | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      1782000 | PA      | $1698595.63   | 0.04%             | N/A             | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1422583 | PA      | $1332003.01   | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       555524 | PA      | $531435.01    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403BKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7154 | PA      | $7378.25      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI              | Bay Area Toll Authority                                                         | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |       950000 | PA      | $1167397.95   | 0.03%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       286694 | PA      | $235823.56    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       170524 | PA      | $147614.80    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       225761 | PA      | $187177.25    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEERFIELD DAKOTA HOLDING                    | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |       897287 | PA      | $835598.58    | 0.02%             | 2027-04-09      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8EP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86022 | PA      | $82920.84     | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAY AREA CA TOLL AUTH TOLL BRI              | Bay Area Toll Authority                                                         | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |      1015000 | PA      | $1168593.94   | 0.03%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       211622 | PA      | $189758.92    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       511000 | PA      | $401572.76    | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                       | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HBC2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      1455000 | PA      | $1154819.82   | 0.03%             | 2031-10-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       223769 | PA      | $223331.08    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga              | UBS-Barclays Commercial Mortgage Trust 2013-C6                                  | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |      1226791 | PA      | $1217746.51   | 0.03%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                         | Progress Energy Inc                                                             | CUSIP: 743263AE5<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |      2427000 | PA      | $2750191.38   | 0.07%             | 2031-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KTDC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          802 | PA      | $839.15       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417C4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890854 | PA      | $1769332.94   | 0.05%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       228515 | PA      | $211982.75    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        70672 | PA      | $67687.13     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MENT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       749134 | PA      | $717566.34    | 0.02%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       925770 | PA      | $888790.92    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1315369.25  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AL8<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |        91000 | PA      | $75578.68     | 0.00%             | 2048-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       290163 | PA      | $239401.76    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1300000 | PA      | $1181352.13   | 0.03%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK PARTNERS LP                           | ONEOK Partners LP                                                               | CUSIP: 68268NAD5<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |       708000 | PA      | $717143.12    | 0.02%             | 2037-10-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42353 | PA      | $37273.53     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C12                                          | CUSIP: 90353DAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2382000 | PA      | $2225002.14   | 0.06%             | 2051-08-15      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       298000 | PA      | $237371.79    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       704000 | PA      | $636100.19    | 0.02%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383YAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2452061 | PA      | $31436.65     | 0.00%             | 2052-08-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                         | Resolution Funding Corp Principal Strip                                         | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |        55000 | PA      | $39789.00     | 0.00%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       200000 | PA      | $182144.63    | 0.00%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                      | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1325000 | PA      | $1064239.44   | 0.03%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53588 | PA      | $52997.59     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404BRE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          517 | PA      | $518.36       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFWY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       258090 | PA      | $253132.72    | 0.01%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |         6000 | PA      | $5869.11      | 0.00%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378KUV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2279424 | PA      | $23008.51     | 0.00%             | 2047-03-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36664 | PA      | $34157.58     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202EPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144331 | PA      | $152834.28    | 0.00%             | 2037-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2022-4 Mortgage Loan Trust                                                 | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       739566 | PA      | $706577.98    | 0.02%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99435 | PA      | $94989.46     | 0.00%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                    | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |       653000 | PA      | $597399.54    | 0.02%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       105000 | PA      | $106206.48    | 0.00%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W96J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108746 | PA      | $106828.32    | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                         | Dominion Energy Inc                                                             | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |       592000 | PA      | $632740.85    | 0.02%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       384416 | PA      | $376681.63    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100000 | PA      | $93050.17     | 0.00%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2320000 | PA      | $2276776.22   | 0.06%             | 2023-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410F3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155705 | PA      | $162553.21    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       529132 | PA      | $490901.17    | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5044000 | PA      | $4755345.10   | 0.12%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216277 | PA      | $177997.95    | 0.00%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTIO                    | Caesars Resort Collection LLC                                                   | CUSIP: 12769LAD1<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |        31038 | PA      | $30930.99     | 0.00%             | 2025-07-20      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                                             | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000000 | PA      | $17550000.00  | 0.45%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419HYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7394 | PA      | $7157.18      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       239000 | PA      | $227538.47    | 0.01%             | 2025-04-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KU4Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14994 | PA      | $15517.86     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAN0<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |        50000 | PA      | $48199.35     | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBV7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1589000 | PA      | $1042782.25   | 0.03%             | 2041-11-19      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       245000 | PA      | $243679.30    | 0.01%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Funding XIII LLC                                                        | CUSIP: 68377FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       589526 | PA      | $581956.55    | 0.02%             | 2025-08-08      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                | GSMSC Resecuritization Trust 2015-3R                                            | CUSIP: 36250FAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210123 | PA      | $207400.09    | 0.01%             | 2036-10-26      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RCY8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      2000000 | PA      | $1980185.20   | 0.05%             | 2024-09-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS6 Mortgage Trust                                                   | CUSIP: 12592PBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1383433 | PA      | $1325660.77   | 0.03%             | 2047-12-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166741 | PA      | $156029.56    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                    | Brookfield Residential Properties Inc / Brookfield Residential US LLC           | CUSIP: 11283YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       180000 | PA      | $159858.00    | 0.00%             | 2027-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      3183000 | PA      | $2847646.82   | 0.07%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      4075000 | PA      | $3354037.19   | 0.09%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| AGL CLO 7 LTD                               | AGL CLO 7 Ltd                                                                   | CUSIP: 008511AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       310000 | PA      | $301449.55    | 0.01%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       899000 | PA      | $877967.48    | 0.02%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC23 Mortgage Trust                                                   | CUSIP: 12636FBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2876000 | PA      | $2729263.89   | 0.07%             | 2048-10-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes              | JPMorgan Chase Bank NA - CACLN                                                  | CUSIP: 46591HCF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       349950 | PA      | $328299.38    | 0.01%             | 2029-02-26      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | SFE 10 YEAR AUSTRALIAN BOND                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          130 | NC      | $-588989.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      1070000 | PA      | $725892.06    | 0.02%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       150177 | PA      | $143939.01    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1459000 | PA      | $1348600.03   | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2020-PJ4                               | CUSIP: 36259VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       284664 | PA      | $239409.83    | 0.01%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       179695 | PA      | $160683.11    | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST SPL OBLG REVE              | Commonwealth of Massachusetts                                                   | CUSIP: 576004HG3<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |      2910000 | PA      | $2787989.67   | 0.07%             | 2031-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       107000 | PA      | $94145.15     | 0.00%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4740000 | PA      | $4656058.06   | 0.12%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       458000 | PA      | $394271.58    | 0.01%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       882068 | PA      | $828609.65    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C52                                  | CUSIP: 95002MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1296000 | PA      | $1120352.86   | 0.03%             | 2052-08-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      1067000 | PA      | $1010299.23   | 0.03%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20022000 | PA      | $20131495.31  | 0.52%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                    | Corebridge Financial Inc                                                        | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |       480000 | PA      | $420432.33    | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2018-II Ltd                                                        | CUSIP: 17180WAA3<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |      1455000 | PA      | $1430892.54   | 0.04%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34186 | PA      | $31965.27     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                    | Medtronic Global Holdings SCA                                                   | CUSIP: 58507LAJ8<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |       160000 | PA      | $145730.43    | 0.00%             | 2031-03-07      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MAWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       971021 | PA      | $854263.52    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       102937 | PA      | $100072.65    | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                    | Telefonica Emisiones SA                                                         | CUSIP: 87938WAW3<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |       275000 | PA      | $211621.66    | 0.01%             | 2048-03-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                     | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       139508 | PA      | $129612.41    | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                            | TRESTLES CLO V LTD                                                              | CUSIP: 89532UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       600000 | PA      | $581018.82    | 0.01%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       784888 | PA      | $758369.30    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408CA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4278 | PA      | $4344.84      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2018-2 Ltd                                                   | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |      3126000 | PA      | $3068965.50   | 0.08%             | 2031-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                         | Otis Worldwide Corp                                                             | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |       189000 | PA      | $176974.80    | 0.00%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BG6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |        48000 | PA      | $42381.51     | 0.00%             | 2047-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       341239 | PA      | $319192.61    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                        | ERAC USA Finance LLC                                                            | CUSIP: 26884TAR3<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |      1184000 | PA      | $1098175.62   | 0.03%             | 2026-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617XSQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       823945 | PA      | $735389.88    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       220000 | PA      | $199637.62    | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2021-1 Ltd                                                             | CUSIP: 26983BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       583000 | PA      | $577427.80    | 0.01%             | 2033-10-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                    | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       366000 | PA      | $301065.16    | 0.01%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       393799 | PA      | $364491.34    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                           | Service Corp International/US                                                   | CUSIP: 817565BT0<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |       253000 | PA      | $257763.16    | 0.01%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       517846 | PA      | $441010.83    | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                   | Danone SA                                                                       | CUSIP: 23636TAD2<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |       591000 | PA      | $577906.51    | 0.01%             | 2023-11-02      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3129 | PA      | $3238.93      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings Clo Ltd 2015-II                                                         | CUSIP: 06759FAB2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |       520000 | PA      | $513880.80    | 0.01%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                            | Coca-Cola Co/The                                                                | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |        20000 | PA      | $14564.39     | 0.00%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       142000 | PA      | $114371.57    | 0.00%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -19 | NC      | $-96187.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TRI POINTE HOMES INC                        | Tri Pointe Homes Inc                                                            | CUSIP: 87265HAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       307000 | PA      | $274028.98    | 0.01%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VISA INC                                    | Visa Inc                                                                        | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |       369000 | PA      | $355887.04    | 0.01%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                    | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4965000 | PA      | $4732698.87   | 0.12%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Opportunities               | Goldentree Loan Opportunities X Ltd                                             | CUSIP: 38137PAQ3<br>LEI: 549300IGEA8MXF2YEF61 | Long             | ABS-CBDO         | CORP              | KY        |       325000 | PA      | $320677.66    | 0.01%             | 2031-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        38906 | PA      | $37405.66     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9153 | PA      | $9491.53      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                  | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |       248000 | PA      | $211405.61    | 0.01%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68968 | PA      | $65729.12     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                           | Chile Government International Bond                                             | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |       920000 | PA      | $786696.92    | 0.02%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      3787000 | PA      | $2915441.19   | 0.08%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC31                                   | CUSIP: 17323YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4209442 | PA      | $4008221.10   | 0.10%             | 2048-06-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1235977 | PA      | $1251586.54   | 0.03%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                              | PECO Energy Co                                                                  | CUSIP: 693304AV9<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       136000 | PA      | $106849.51    | 0.00%             | 2047-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -7035000 | PA      | $-7052352.53  | -0.18%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                        | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAP9<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |      1313000 | PA      | $994884.29    | 0.03%             | 2046-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XBQ8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       149000 | PA      | $140398.40    | 0.00%             | 2026-10-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2691000 | PA      | $2351945.84   | 0.06%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31293FJ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          764 | PA      | $776.45       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        22390 | PA      | $23182.35     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       364000 | PA      | $372695.67    | 0.01%             | 2050-10-25      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       154363 | PA      | $144913.68    | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2016-2                                                | CUSIP: 89172PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1080000 | PA      | $985048.24    | 0.03%             | 2055-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134075 | PA      | $125502.15    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        50041 | PA      | $48669.53     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417T3B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3963 | PA      | $3866.03      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                         | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107573 | PA      | $108419.34    | 0.00%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       360000 | PA      | $346571.28    | 0.01%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        23529 | PA      | $21083.24     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       620388 | PA      | $595098.62    | 0.02%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       113137 | PA      | $106078.19    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1607550.17   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | French Government Bond s                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           58 | NC      | $-610380.87   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       271206 | PA      | $231847.90    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERSCEND HOLDING CORP                       | Verscend Holding Corp                                                           | CUSIP: 92531HAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       980637 | PA      | $973282.07    | 0.03%             | 2025-08-27      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       242000 | PA      | $205407.94    | 0.01%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |            8 | NC      | $10425.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403KTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13133 | PA      | $13523.70     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2022-2                                         | CUSIP: 68268VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2210000 | PA      | $2157348.52   | 0.06%             | 2034-10-14      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3260897 | PA      | $3257309.29   | 0.08%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2018-BNK11                                                                 | CUSIP: 06540TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4200000 | PA      | $3927240.24   | 0.10%             | 2061-03-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       293081 | PA      | $226435.13    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO V-B Ltd                                             | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1650000 | PA      | $1627712.13   | 0.04%             | 2031-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                          | Panama Government International Bond                                            | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |       328000 | PA      | $343129.00    | 0.01%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       361000 | PA      | $315179.10    | 0.01%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418SJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5308 | PA      | $5297.53      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      2609000 | PA      | $2285286.53   | 0.06%             | 2030-02-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        93000 | PA      | $85911.17     | 0.00%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18717 | PA      | $18429.70     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37245 | PA      | $33577.50     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9708 | PA      | $9286.94      | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4H25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194684 | PA      | $180363.53    | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36230Q6G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        23280 | PA      | $21893.88     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      2035000 | PA      | $1806997.87   | 0.05%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383PNA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2708764 | PA      | $41941.42     | 0.00%             | 2052-03-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XAZ9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       538000 | PA      | $521937.64    | 0.01%             | 2025-07-13      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       275803 | PA      | $250728.17    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2323000 | PA      | $2237677.60   | 0.06%             | 2036-09-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1069523 | PA      | $992319.73    | 0.03%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          300 | NC      | $39375.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Reference Remic                 | Freddie Mac Reference REMIC                                                     | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       417566 | PA      | $428216.28    | 0.01%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307MQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86080 | PA      | $80620.14     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2701056 | PA      | $2388714.19   | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H4QB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       238276 | PA      | $226725.95    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       663000 | PA      | $525426.74    | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       650304 | PA      | $530308.60    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       258540 | PA      | $243479.59    | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242550 | PA      | $225841.48    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      6175000 | PA      | $5019886.04   | 0.13%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B1J94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       305706 | PA      | $47709.66     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                           | Wellfleet CLO 2018-1 Ltd                                                        | CUSIP: 94950JAA9<br>LEI: 25490019KM1XIY7M0487 | Long             | ABS-CBDO         | CORP              | KY        |      1821000 | PA      | $1782911.05   | 0.05%             | 2031-07-17      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JLL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       265940 | PA      | $265696.94    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2020-I Ltd                                                         | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $243175.45    | 0.01%             | 2036-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| GOHL CAPITAL LTD                            | Gohl Capital Ltd                                                                | CUSIP: 000000000<br>LEI: 254900TF7OK6KSDZA888 | Long             | DBT              | CORP              | IM        |       548000 | PA      | $487137.75    | 0.01%             | 2027-01-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      1462000 | PA      | $1350539.59   | 0.03%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       709922 | PA      | $605219.79    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149806 | PA      | $147163.97    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       199211 | PA      | $173433.47    | 0.00%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9ZV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1454621 | PA      | $1425039.95   | 0.04%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7161 | PA      | $7483.75      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AWWM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       379167 | PA      | $308984.63    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2BH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       233043 | PA      | $236642.35    | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       227323 | PA      | $217730.37    | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro              | RAMP Series 2006-RZ2 Trust                                                      | CUSIP: 75156UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2560691 | PA      | $2498535.77   | 0.06%             | 2036-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       191598 | PA      | $183162.77    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3776000 | PA      | $3286461.99   | 0.08%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-5                                               | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4673130 | PA      | $3730614.00   | 0.10%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM 29 Ltd                                                                      | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $245561.03    | 0.01%             | 2031-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       457073 | PA      | $375874.47    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20261447 | PA      | $17211810.63  | 0.44%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       325000 | PA      | $299475.43    | 0.01%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,               | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18251878 | PA      | $2217544.79   | 0.06%             | 2036-04-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5Q52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14298 | PA      | $14885.82     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2003-4                                                   | CUSIP: 78442GGN0<br>LEI: 549300JLVVUXV7DNSJ85 | Long             | ABS-O            | CORP              | US        |          729 | PA      | $717.32       | 0.00%             | 2033-03-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                      | Power Finance Corp Ltd                                                          | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |       200000 | PA      | $194079.20    | 0.01%             | 2024-06-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-CCRE8 Mortgage Trust                                                  | CUSIP: 12625KAE5<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |       751944 | PA      | $747171.63    | 0.02%             | 2046-06-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust              | Carvana Auto Receivables Trust 2022-P2                                          | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3535000 | PA      | $3442216.15   | 0.09%             | 2027-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796XZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3290000 | PA      | $3276838.12   | 0.08%             | 2023-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                               | CUSIP: 857477BS1<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |      4320000 | PA      | $3879409.12   | 0.10%             | 2028-02-07      | Fixed         | 2.20%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3620E0EB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       925516 | PA      | $936846.44    | 0.02%             | 2060-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-INV                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194218 | PA      | $179276.64    | 0.00%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        94668 | PA      | $86935.73     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410SNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2963 | PA      | $2972.62      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                        | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      2815000 | PA      | $2780095.35   | 0.07%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| MARKEL CORPORATION                          | Markel Corp                                                                     | CUSIP: 570535AP9<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |       154000 | PA      | $132186.64    | 0.00%             | 2043-03-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L1VM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2068828 | PA      | $1689190.04   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -50 | NC      | $-5468.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      1630000 | PA      | $1584670.11   | 0.04%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| COMMONWEALTH EDISON CO                      | Commonwealth Edison Co                                                          | CUSIP: 202795JR2<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      2148000 | PA      | $1800365.00   | 0.05%             | 2030-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3620E0CJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1007286 | PA      | $1029083.20   | 0.03%             | 2060-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       794650 | PA      | $666943.73    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       136793 | PA      | $113415.44    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        58189 | PA      | $57718.95     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1191121.40   | 0.03%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9R21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108559 | PA      | $103509.94    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS LLC                        | Eyecare Partners LLC                                                            | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |       185068 | PA      | $155302.69    | 0.00%             | 2027-02-20      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       115000 | PA      | $103493.33    | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           57 | NC      | $-259561.01   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-110914.96   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402VRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15417 | PA      | $15892.88     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335AEQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7150696 | PA      | $6677255.30   | 0.17%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -18 | NC      | $-7875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       727000 | PA      | $687903.09    | 0.02%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2471063 | PA      | $2200335.86   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC38                                          | CUSIP: 36252SAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3314457 | PA      | $3141509.63   | 0.08%             | 2052-02-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87446 | PA      | $85639.15     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                   | Aetna Inc                                                                       | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       283000 | PA      | $245059.68    | 0.01%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2017-I Ltd                                                         | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      1921663 | PA      | $1902157.76   | 0.05%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2018-2 Ltd                                                    | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |      2553000 | PA      | $2519066.03   | 0.06%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       978769 | PA      | $803304.98    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B4A30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       705821 | PA      | $31080.63     | 0.00%             | 2027-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       203409 | PA      | $200047.21    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                       | Republic Services Inc                                                           | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |       262000 | PA      | $251138.10    | 0.01%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       148184 | PA      | $153824.40    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410K5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          213 | PA      | $212.19       | 0.00%             | 2024-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        18647 | PA      | $18561.20     | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA3                                         | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94872 | PA      | $98839.67     | 0.00%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      3110000 | PA      | $3108959.83   | 0.08%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128L4TF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2682 | PA      | $2749.38      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FNJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       104462 | PA      | $99675.02     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       340000 | PA      | $309502.07    | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: —       |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -19 | NC      | $-2078.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |       980000 | PA      | $855522.75    | 0.02%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       200000 | PA      | $156438.66    | 0.00%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GEORGETOWN UNIVERSITY                       | Georgetown University/The                                                       | CUSIP: 37310PAB7<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |       715000 | PA      | $625863.67    | 0.02%             | 2118-10-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3196000 | PA      | $2915308.74   | 0.08%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32029 | PA      | $31781.48     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       131458 | PA      | $125769.07    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 92556HAC1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       215000 | PA      | $156980.57    | 0.00%             | 2050-05-19      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital Europe CLO                | Anchorage Capital Europe CLO 2021-4 DAC                                         | CUSIP: 000000000<br>LEI: 635400DODOOELVF8BK72 | Long             | ABS-CBDO         | CORP              | IE        |      1722000 | PA      | $1768271.71   | 0.05%             | 2034-04-25      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                             | Bermuda Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |      3520000 | PA      | $2956360.00   | 0.08%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8501 | PA      | $8836.59      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $626933.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215191 | PA      | $217907.72    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -871 | NC      | $1023322.53   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle Global Market Strategies CLO 2013-4 Ltd                                 | CUSIP: 14310KAS0<br>LEI: 549300TYZXFDHLTKDG17 | Long             | ABS-CBDO         | CORP              | KY        |       364626 | PA      | $360221.14    | 0.01%             | 2031-01-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                       | Oglethorpe Power Corp                                                           | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |      1730000 | PA      | $1488073.22   | 0.04%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       530000 | PA      | $496861.04    | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: —       |
| COREBRIDGE FINANCIAL INC                    | Corebridge Financial Inc                                                        | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |       600000 | PA      | $546603.91    | 0.01%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| NATIONAL RURAL UTIL COOP                    | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      2270000 | PA      | $2255458.88   | 0.06%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       965733 | PA      | $817516.70    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C18                                                   | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1320000 | PA      | $1354190.51   | 0.03%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1223810 | PA      | $137170.27    | 0.00%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       525000 | PA      | $489078.04    | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      2560000 | PA      | $2142998.86   | 0.06%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1325000 | PA      | $1237400.84   | 0.03%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BGY37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1969997 | PA      | $1707182.00   | 0.04%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                    | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432NZ4<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |      1750000 | PA      | $1617005.15   | 0.04%             | 2032-12-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       157682 | PA      | $156183.95    | 0.00%             | 2058-08-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5660 | NC      | $3964657.48   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       918000 | PA      | $794070.00    | 0.02%             | N/A             | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Residential Asset Mortgage Pro              | RAMP Series 2006-RZ3 Trust                                                      | CUSIP: 75156MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1321487 | PA      | $1270168.41   | 0.03%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                 | Swedbank AB                                                                     | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |       498000 | PA      | $490583.98    | 0.01%             | 2023-06-02      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412W6C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3232 | PA      | $3351.64      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       546243 | PA      | $524570.85    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                         | Station Casinos LLC                                                             | CUSIP: 85769EAZ4<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |       713377 | PA      | $696136.95    | 0.02%             | 2027-02-08      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      1490000 | PA      | $1489180.49   | 0.04%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                             | CUSIP: 65535HBA6<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |       906000 | PA      | $714256.43    | 0.02%             | 2032-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       218163 | PA      | $209459.52    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       964000 | PA      | $64502.30     | 0.00%             | 2029-06-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       940000 | PA      | $883055.79    | 0.02%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       137007 | PA      | $14375.45     | 0.00%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                         | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |       990000 | PA      | $897767.83    | 0.02%             | 2028-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |       708000 | PA      | $683792.01    | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       780000 | PA      | $713700.00    | 0.02%             | 2026-01-08      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |       300000 | PA      | $290250.00    | 0.01%             | 2026-01-15      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97173 | PA      | $80731.89     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JBDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       167836 | PA      | $164109.44    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378TPA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       307298 | PA      | $48885.02     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       745000 | PA      | $633625.19    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THE VANGUARD GROUP INC                      | THE VANGUARD GROUP INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2330000 | PA      | $1505084.54   | 0.04%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186619 | PA      | $164382.05    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M62J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1782 | PA      | $1844.04      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80876 | PA      | $66117.75     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FE5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1288336 | PA      | $1195178.51   | 0.03%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                     | PNMAC GMSR ISSUER TRUST 2018-GT1                                                | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       308000 | PA      | $301020.57    | 0.01%             | 2023-02-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |        30000 | PA      | $27620.66     | 0.00%             | 2026-05-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153566 | PA      | $147662.00    | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QAUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48552 | PA      | $47496.55     | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247592 | PA      | $224297.05    | 0.01%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-14770.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M7X37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77821 | PA      | $74624.00     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       224812 | PA      | $194645.66    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ADZS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3587251 | PA      | $2931789.12   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J92F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        49655 | PA      | $48552.64     | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                              | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        71000 | PA      | $47314.93     | 0.00%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |        88000 | PA      | $77463.18     | 0.00%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176H7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59324 | PA      | $55789.96     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31534 | PA      | $30362.58     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31397CTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181469 | PA      | $13948.96     | 0.00%             | 2036-11-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1298134 | PA      | $1151015.15   | 0.03%             | 2060-01-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3001000 | PA      | $2827577.37   | 0.07%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X0C55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34695 | PA      | $34394.14     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       367129 | PA      | $342578.60    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335H5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5794 | PA      | $5693.53      | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK18                                                                 | CUSIP: 065402AZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       975000 | PA      | $941310.44    | 0.02%             | 2062-05-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                 | State of Illinois                                                               | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      1235000 | PA      | $1181023.87   | 0.03%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       995000 | PA      | $786272.00    | 0.02%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A1GG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2031190 | PA      | $1892848.33   | 0.05%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       233845 | PA      | $212961.41    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPM CLO LTD                                 | PPM CLO 2018-1 Ltd                                                              | CUSIP: 69355DAA5<br>LEI: 549300NI5BL19ELU5U14 | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2035743.40   | 0.05%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       226067 | PA      | $221908.12    | 0.01%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KG5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       405000 | PA      | $389685.07    | 0.01%             | 2026-01-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                         | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      1313000 | PA      | $1187112.22   | 0.03%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                    | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |         2000 | PA      | $1874.56      | 0.00%             | 2029-02-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XA2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2726239 | PA      | $2332761.42   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       169207 | PA      | $156974.06    | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HKYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        75704 | PA      | $75368.54     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       797901 | PA      | $810132.06    | 0.02%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       378617 | PA      | $393027.91    | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME British Pound Currency                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           13 | NC      | $-29201.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67660 | PA      | $62773.27     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $750403.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175222 | PA      | $150046.41    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       355000 | PA      | $356291.06    | 0.01%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       159302 | PA      | $17626.92     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40987 | PA      | $39493.32     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4709395 | PA      | $4094475.71   | 0.11%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1246939 | PA      | $1190112.43   | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        56238 | PA      | $48241.69     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFXS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       305120 | PA      | $299303.79    | 0.01%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCD5<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3857629.80   | 0.10%             | 2029-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       700000 | PA      | $710918.17    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312936ND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6697 | PA      | $6804.92      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi              | Freddie Mac Multiclass Certificates Series 2015-P001                            | CUSIP: 3137FQXW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1135000 | PA      | $81089.85     | 0.00%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       203000 | PA      | $178212.11    | 0.00%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411FGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9496 | PA      | $9638.96      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403G7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1616 | PA      | $1622.65      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          813 | NC      | $-703439.45   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       230000 | PA      | $180660.66    | 0.00%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129948 | PA      | $121981.40    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108799 | PA      | $110173.39    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2260000 | PA      | $2161884.59   | 0.06%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                            | CUSIP: 85172FAF6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       713000 | PA      | $716764.23    | 0.02%             | 2023-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       983000 | PA      | $872990.16    | 0.02%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       103000 | PA      | $87433.97     | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1060991.78   | 0.03%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| SUN COMMUNITIES OPER LP                     | Sun Communities Operating LP                                                    | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      1359000 | PA      | $1069960.12   | 0.03%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 30 Year Euro BUXL                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -33 | NC      | $885048.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       190545 | PA      | $157271.19    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                         | Otis Worldwide Corp                                                             | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      4722000 | PA      | $3969900.05   | 0.10%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXVII Ltd                                                 | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $246231.63    | 0.01%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                       | GFL Environmental Inc                                                           | CUSIP: 000000000<br>LEI: 549300FYK4MBXWIVZU26 | Long             | LON              | CORP              | CA        |        76623 | PA      | $76574.84     | 0.00%             | 2025-05-31      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust               | Life 2021-BMR Mortgage Trust                                                    | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3779520 | PA      | $3659762.72   | 0.09%             | 2038-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96262 | PA      | $87586.06     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                         | Jazz Securities DAC                                                             | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |       570000 | PA      | $508668.00    | 0.01%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-144303.02   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK24                                                                 | CUSIP: 06540VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1165000 | PA      | $1012085.60   | 0.03%             | 2062-11-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31404ML89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1838 | PA      | $1896.54      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                           | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |       215000 | PA      | $194027.83    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                             | San Diego Gas & Electric Co                                                     | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |       240000 | PA      | $184909.47    | 0.00%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       474000 | PA      | $361425.00    | 0.01%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp              | AMMC CLO 21 LTD                                                                 | CUSIP: 00178LAB5<br>LEI: 549300DYK366J47FIO80 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $246575.18    | 0.01%             | 2030-11-02      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                     | CUSIP: 61691GAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4491443 | PA      | $93279.19     | 0.00%             | 2049-12-15      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3888 | PA      | $3923.84      | 0.00%             | 2030-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $190193.61    | 0.00%             | 2032-08-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       200000 | PA      | $159661.85    | 0.00%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BDPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       495239 | PA      | $434669.59    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                       | MidAmerican Energy Co                                                           | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |        88000 | PA      | $82442.40     | 0.00%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2916619 | PA      | $2253394.75   | 0.06%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                              | Qatar Government International Bond                                             | CUSIP: 74727PBB6<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |       219000 | PA      | $211855.13    | 0.01%             | 2049-03-14      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        54000 | PA      | $39587.50     | 0.00%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        13462 | PA      | $12635.87     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11468 | PA      | $11379.27     | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976201 | PA      | $829106.19    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       325000 | PA      | $302822.28    | 0.01%             | 2031-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: —       |
| SPRINT LLC                                  | Sprint LLC                                                                      | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      2007000 | PA      | $2036967.70   | 0.05%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1152000 | PA      | $1126822.48   | 0.03%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74397 | PA      | $67187.33     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELLIS ACQUISITION CO PL                    | Bellis Acquisition Co PLC                                                       | CUSIP: 000000000<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |      1666000 | PA      | $1632935.21   | 0.04%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                          | AGL Core CLO 4 LTD                                                              | CUSIP: 001199AG3<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $244865.63    | 0.01%             | 2033-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       990000 | PA      | $917355.40    | 0.02%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       845000 | PA      | $786364.11    | 0.02%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                        | Steele Creek Clo 2017-1 Ltd                                                     | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       370000 | PA      | $363552.64    | 0.01%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13601 | PA      | $12691.89     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3005473 | PA      | $2886356.66   | 0.07%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1427000 | PA      | $1314220.84   | 0.03%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |       430000 | PA      | $262918.13    | 0.01%             | 2051-02-08      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X45B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       233758 | PA      | $222890.39    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       224000 | PA      | $203343.72    | 0.01%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      2225000 | PA      | $2156155.61   | 0.06%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241KVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       201904 | PA      | $206617.79    | 0.01%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                     | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       654000 | PA      | $568832.35    | 0.01%             | 2030-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    223044000 | PA      | $816567.86    | 0.02%             | 2027-02-03      | Fixed         | 8.15%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                    | Bulgaria Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |       186000 | PA      | $111908.72    | 0.00%             | 2050-09-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT                    | United Airlines 2016-1 Class AA Pass Through Trust                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        85396 | PA      | $76983.41     | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        94231 | PA      | $88306.41     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      1010000 | PA      | $871988.15    | 0.02%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                      | Pertamina Persero PT                                                            | CUSIP: 69370RAH0<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |       211000 | PA      | $180428.21    | 0.00%             | 2030-08-27      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MEV2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      1665000 | PA      | $1482358.79   | 0.04%             | 2045-05-26      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       513000 | PA      | $435879.99    | 0.01%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      1940000 | PA      | $1826403.26   | 0.05%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        83567 | PA      | $83656.19     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       229305 | PA      | $205889.60    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140275 | PA      | $131281.33    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       165811 | PA      | $158503.82    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        80000 | PA      | $73493.74     | 0.00%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                     | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4400000 | PA      | $4066810.88   | 0.10%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          102 | PA      | $104.03       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      3315000 | PA      | $3233982.23   | 0.08%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12215000 | PA      | $11027854.69  | 0.28%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403MX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10953 | PA      | $11340.57     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VII Ltd                                                                    | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2430349 | PA      | $2400169.98   | 0.06%             | 2029-07-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FWV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       911363 | PA      | $106154.33    | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                     | Tennessee Valley Authority Generic Strip                                        | CUSIP: 88059E5L4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |       123000 | PA      | $75655.06     | 0.00%             | 2033-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312944PQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       126436 | PA      | $125481.23    | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       279973 | PA      | $228195.80    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRIME BLOOM HOLDINGS LTD                    | Prime Bloom Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: 3003000PGGCESUU1G875 | Long             | DBT              | CORP              | VG        |       200000 | PA      | $20000.00     | 0.00%             | 2022-07-05      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       392030 | PA      | $368004.90    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FALABELLA SA                                | Falabella SA                                                                    | CUSIP: 30607FAA8<br>LEI: 5493004CKJQ7H391LM41 | Long             | DBT              | CORP              | CL        |      1475000 | PA      | $1177050.00   | 0.03%             | 2032-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      3800000 | PA      | $3754844.98   | 0.10%             | 2028-09-30      | Fixed         | 5.52%                 | No            |                  2 | On Loan: —       |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      1278000 | PA      | $828763.46    | 0.02%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8089672 | PA      | $452713.44    | 0.01%             | 2030-09-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Lt              | Octagon Investment Partners 18-R Ltd                                            | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1250000 | PA      | $1232789.75   | 0.03%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10799 | PA      | $11205.76     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       258000 | PA      | $257955.35    | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       370685 | PA      | $360108.90    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AKYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       784627 | PA      | $673057.17    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |       176000 | PA      | $172754.39    | 0.00%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       800000 | PA      | $761040.61    | 0.02%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: —       |
| MONDELEZ INTERNATIONAL                      | Mondelez International Inc                                                      | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |      3190000 | PA      | $2897002.20   | 0.07%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       177000 | PA      | $166324.86    | 0.00%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       102000 | PA      | $99076.60     | 0.00%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       293000 | PA      | $238773.51    | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                          | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      1505000 | PA      | $1593301.36   | 0.04%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270318 | PA      | $231352.91    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       517000 | PA      | $466679.77    | 0.01%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| TEVA PHARM FIN CO LLC                       | Teva Pharmaceutical Finance Co LLC                                              | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |       130000 | PA      | $115011.13    | 0.00%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1394000 | PA      | $1306486.10   | 0.03%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       567000 | PA      | $572582.40    | 0.01%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TFS_18-3                                    | TFS_18-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | N/A       |            1 | PA      | $5127.46      | 0.00%             | 2040-04-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BOSTON GAS COMPANY                          | Boston Gas Co                                                                   | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |       240000 | PA      | $209795.27    | 0.01%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       313000 | PA      | $198602.32    | 0.01%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       710000 | PA      | $691842.11    | 0.02%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       420000 | PA      | $363747.43    | 0.01%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36230NZ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        42680 | PA      | $41742.80     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       245000 | PA      | $230269.38    | 0.01%             | 2027-09-11      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       604000 | PA      | $569403.50    | 0.01%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RBB4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       263000 | PA      | $265904.30    | 0.01%             | 2024-02-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       661000 | PA      | $421215.78    | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5250000 | PA      | $5091536.63   | 0.13%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241KWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5198 | PA      | $5320.17      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       159530 | PA      | $149173.57    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7519 | PA      | $7402.31      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       151000 | PA      | $149147.49    | 0.00%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $567692.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       398000 | PA      | $373796.06    | 0.01%             | 2027-02-14      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |        67000 | PA      | $52750.17     | 0.00%             | 2035-10-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B27 Mortgage Trust                                               | CUSIP: 08163HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4211266.50   | 0.11%             | 2054-07-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       983667 | PA      | $946834.51    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |       684000 | PA      | $595393.72    | 0.02%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407YA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10828 | PA      | $10540.41     | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416XGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30253 | PA      | $29991.10     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      5550000 | PA      | $3875377.13   | 0.10%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78016EYV3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |      3260000 | PA      | $2923998.65   | 0.08%             | 2027-01-21      | Fixed         | 2.05%                 | No            |                  2 | On Loan: —       |
| PMT CREDIT RISK TRANSFER TRUST              | PMT Credit Risk Transfer Trust 2021-1R                                          | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3108173 | PA      | $2968495.70   | 0.08%             | 2024-02-27      | Floating      | 7.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | NOK/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-6217.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Marble Point CLO XI Ltd                     | Marble Point CLO XI Ltd                                                         | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | KY        |       490000 | PA      | $480275.51    | 0.01%             | 2030-12-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       186381 | PA      | $152966.98    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      4089000 | PA      | $3824667.50   | 0.10%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                       | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |      3020000 | PA      | $2823565.01   | 0.07%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1439698.30   | 0.04%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       228090 | PA      | $203865.30    | 0.01%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       286332 | PA      | $267217.22    | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      1735000 | PA      | $1622774.01   | 0.04%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| WILLIS NORTH AMERICA INC                    | Willis North America Inc                                                        | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |      3375000 | PA      | $3263893.01   | 0.08%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       159056 | PA      | $149142.89    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7625 | PA      | $7490.33      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26875 | PA      | $3030.82      | 0.00%             | 2042-07-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                       | Mountain View CLO 2013-1 Ltd                                                    | CUSIP: 62431UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1666000 | PA      | $1642069.74   | 0.04%             | 2030-10-12      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     39439448 | PA      | $37558434.00  | 0.97%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9EK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       185654 | PA      | $181885.10    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                    | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |       756000 | PA      | $618363.76    | 0.02%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE              | City of San Antonio TX Electric & Gas Systems Revenue                           | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |       305000 | PA      | $320695.87    | 0.01%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                            | Coca-Cola Co/The                                                                | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       319000 | PA      | $306068.06    | 0.01%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |       783000 | PA      | $768897.94    | 0.02%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| Ameriquest Mortgage Securities              | Ameriquest Mortgage Securities Inc Asset Back Ser 2004-R1                       | CUSIP: 03072SNR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32018 | PA      | $29085.44     | 0.00%             | 2034-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1104792 | PA      | $1069835.10   | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi              | Park Avenue Institutional Advisers CLO Ltd 2017-1                               | CUSIP: 70017KAL3<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |       720000 | PA      | $698899.10    | 0.02%             | 2034-02-14      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      4016000 | PA      | $3076941.61   | 0.08%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       123242 | PA      | $110799.29    | 0.00%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       172000 | PA      | $107882.83    | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       274254 | PA      | $236235.60    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-2                                   | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4078000 | PA      | $3812689.81   | 0.10%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2019-A                                           | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       300670 | PA      | $296618.51    | 0.01%             | 2032-07-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |       912000 | PA      | $704520.00    | 0.02%             | 2034-01-23      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: —       |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |        35000 | PA      | $24707.96     | 0.00%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2499998 | PA      | $2194955.26   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      1306000 | PA      | $1215557.15   | 0.03%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       390000 | PA      | $331692.28    | 0.01%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17113000 | PA      | $15543784.45  | 0.40%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20536 | PA      | $19913.73     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312927YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5252 | PA      | $5427.93      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BB6V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2860661 | PA      | $591786.85    | 0.02%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408AMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          625 | PA      | $626.65       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       127000 | PA      | $125757.63    | 0.00%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       634373 | PA      | $92455.18     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       221000 | PA      | $177553.47    | 0.00%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71572 | PA      | $66928.19     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1756000 | PA      | $1083891.00   | 0.03%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       390000 | PA      | $366307.50    | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      2468000 | PA      | $1897890.46   | 0.05%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11940901 | PA      | $10649439.19  | 0.27%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-29069.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2019-3 Ltd                                                        | CUSIP: 07877GAB5<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |        72978 | PA      | $72942.49     | 0.00%             | 2029-07-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      4270000 | PA      | $4003566.26   | 0.10%             | 2026-03-03      | Fixed         | 2.64%                 | No            |                  2 | On Loan: —       |
| Wind River CLO Ltd                          | Wind River 2016-1K CLO Ltd                                                      | CUSIP: 97314DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1140000 | PA      | $1104662.51   | 0.03%             | 2034-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                        | Tencent Holdings Ltd                                                            | CUSIP: 88032WBC9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |       807000 | PA      | $571961.25    | 0.01%             | 2051-04-22      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31401PGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7765 | PA      | $7992.55      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                            | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       305000 | PA      | $270052.76    | 0.01%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                      | National Securities Clearing Corp                                               | CUSIP: 637639AB1<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |       260000 | PA      | $240708.78    | 0.01%             | 2025-04-23      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $923037.13    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      8550000 | PA      | $6278130.00   | 0.16%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Fairstone Financial Issuance T              | Fairstone Financial Issuance Trust I                                            | CUSIP: 30575PAN6<br>LEI: 549300LY2ZF7LX6T3F37 | Long             | ABS-O            | CORP              | CA        |       385000 | PA      | $267387.33    | 0.01%             | 2039-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       887929 | PA      | $832441.67    | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                      | ConocoPhillips Co                                                               | CUSIP: 20826FAF3<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |       102000 | PA      | $88835.85     | 0.00%             | 2034-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TURNPIKE AUTH TU              | New Jersey Turnpike Authority                                                   | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |       438000 | PA      | $541684.28    | 0.01%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2083186 | PA      | $1697923.53   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      5295000 | PA      | $4955853.66   | 0.13%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2017-1, Ltd                         | TCW CLO 2017-1A Ltd                                                             | CUSIP: 87240NAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1815000 | PA      | $1762463.74   | 0.05%             | 2034-10-29      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                       | Indonesia Government International Bond                                         | CUSIP: 455780CE4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |       418000 | PA      | $359525.98    | 0.01%             | 2048-01-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       247915 | PA      | $230375.04    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29331 | PA      | $29077.01     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       260800 | PA      | $215499.68    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      1862000 | PA      | $1713617.22   | 0.04%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                 | PepsiCo Inc                                                                     | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |        73000 | PA      | $67726.01     | 0.00%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-GC41                                   | CUSIP: 17328FAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2063000 | PA      | $1751255.94   | 0.05%             | 2056-08-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R08                                    | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       603384 | PA      | $605278.58    | 0.02%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                        | PCI Gaming Authority                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |       984710 | PA      | $977734.92    | 0.03%             | 2026-05-31      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XRLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       363719 | PA      | $356583.67    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEWDAY PARTNERSHIP FUNDING PLC              | Newday Partnership Funding 2020-1 PLC                                           | CUSIP: 000000000<br>LEI: 2138003JMQKL1SKS2Y68 | Long             | ABS-O            | CORP              | GB        |      1051000 | PA      | $1260624.57   | 0.03%             | 2028-11-15      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $614137.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410E6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1540 | PA      | $1571.23      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                      | Mexico City Airport Trust                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |       644000 | PA      | $495880.00    | 0.01%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63867 | PA      | $61193.46     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       212659 | PA      | $175128.65    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6176879 | PA      | $5889628.73   | 0.15%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43668 | PA      | $44100.71     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       152000 | PA      | $143110.51    | 0.00%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       465000 | PA      | $398505.86    | 0.01%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      2295000 | PA      | $2076309.45   | 0.05%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       957000 | PA      | $891325.34    | 0.02%             | 2026-04-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EAE5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       440000 | PA      | $422324.32    | 0.01%             | 2025-03-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31400GDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23948 | PA      | $24018.16     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1915140 | PA      | $1626474.58   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND INTL/LDN                    | ANZ New Zealand Int'l Ltd/London                                                | CUSIP: 00182EBP3<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |      3215000 | PA      | $3016526.15   | 0.08%             | 2025-02-18      | Fixed         | 2.17%                 | No            |                  2 | On Loan: —       |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932RAJ3<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | LON              | CORP              | US        |       724553 | PA      | $713081.18    | 0.02%             | 2028-04-21      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B76L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       170601 | PA      | $155139.60    | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F03X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186683 | PA      | $171891.98    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-COR1 Mortgage Trust                                                   | CUSIP: 12594MBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2430281 | PA      | $2243993.70   | 0.06%             | 2049-10-10      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       625000 | PA      | $536944.58    | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1010411 | PA      | $892364.07    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       231000 | PA      | $215533.38    | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       717000 | PA      | $691163.29    | 0.02%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418VAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          602 | PA      | $600.01       | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XW6K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77020 | PA      | $75744.88     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       214000 | PA      | $174804.03    | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31390QAU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1278 | PA      | $1281.19      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCE                    | Endeavor Energy Resources LP / EER Finance Inc                                  | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       550000 | PA      | $526635.11    | 0.01%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4LT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3337 | PA      | $3464.47      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3207068 | PA      | $2618049.77   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381ETU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1000000 | PA      | $585036.50    | 0.02%             | 2061-02-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25901 | PA      | $24245.32     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AN5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26703 | PA      | $26471.16     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                           | 245 Park Avenue Trust 2017-245P                                                 | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $21571.20     | 0.00%             | 2037-06-05      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FFZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3025039 | PA      | $347394.27    | 0.01%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1955211 | PA      | $1956404.04   | 0.05%             | 2042-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19518 | PA      | $17820.42     | 0.00%             | 2042-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                      | Mexico City Airport Trust                                                       | CUSIP: 59284MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |       755000 | PA      | $716919.69    | 0.02%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25857 | PA      | $24178.13     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       376002 | PA      | $321580.44    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       848000 | PA      | $697901.86    | 0.02%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1020413 | PA      | $956728.65    | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5361 | PA      | $5532.28      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182447 | PA      | $170608.34    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      1171000 | PA      | $738545.99    | 0.02%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       426184 | PA      | $418666.26    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3370000 | PA      | $2125532.57   | 0.05%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       227639 | PA      | $225963.84    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $5062.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50454 | PA      | $47178.06     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5251 | PA      | $4996.08      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        31649 | PA      | $33421.51     | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                     | Standard Industries Inc/NJ                                                      | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |        81000 | PA      | $74919.38     | 0.00%             | 2027-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        24461 | PA      | $25831.88     | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MAKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       399438 | PA      | $363489.19    | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23902 | PA      | $22984.57     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     17400000 | PA      | $16217343.75  | 0.42%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       936000 | PA      | $681738.34    | 0.02%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-3 Ltd                                                   | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |       850000 | PA      | $838100.60    | 0.02%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M53F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          720 | PA      | $747.48       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1180000 | PA      | $1121551.11   | 0.03%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      3335000 | PA      | $3188676.88   | 0.08%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       436548 | PA      | $371777.98    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       596321 | PA      | $17233.07     | 0.00%             | 2058-07-16      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36647 | PA      | $35969.81     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138NXKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       229467 | PA      | $204957.44    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2019-GS1                                          | CUSIP: 59981BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4425000 | PA      | $3561734.72   | 0.09%             | 2059-07-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |        97000 | PA      | $94171.87     | 0.00%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLFR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       311219 | PA      | $53716.28     | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136290 | PA      | $131434.94    | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          123 | NC      | $-742346.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15932 | PA      | $14491.05     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                      | Cox Communications Inc                                                          | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |       624000 | PA      | $600746.25    | 0.02%             | 2024-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       425000 | PA      | $405286.41    | 0.01%             | 2029-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       242000 | PA      | $221738.95    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      1390000 | PA      | $1068911.48   | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       380000 | PA      | $378018.07    | 0.01%             | 2024-01-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       624000 | PA      | $586046.53    | 0.02%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASONITE INTERNATIONAL C                    | Masonite International Corp                                                     | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |       107000 | PA      | $98766.35     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1089918 | PA      | $930672.74    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133BGPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1995268 | PA      | $1920555.05   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       174000 | PA      | $158122.50    | 0.00%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1556887 | PA      | $1271485.07   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       655000 | PA      | $555945.91    | 0.01%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       204000 | PA      | $199481.52    | 0.01%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                    | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      1375000 | PA      | $996868.94    | 0.03%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69986 | PA      | $69492.56     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19009 | PA      | $17842.50     | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QUH71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       174179 | PA      | $162358.35    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JM3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95724 | PA      | $93749.02     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416VXR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215041 | PA      | $206537.58    | 0.01%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                | NiSource Inc                                                                    | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       780000 | PA      | $735195.84    | 0.02%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       102572 | PA      | $98118.69     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       392520 | PA      | $356768.90    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       823000 | PA      | $780351.24    | 0.02%             | N/A             | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56664 | PA      | $55664.93     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       777000 | PA      | $723349.63    | 0.02%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       190784 | PA      | $157825.36    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |       291000 | PA      | $226616.25    | 0.01%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                          | Ameren Illinois Co                                                              | CUSIP: 02361DAS9<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |       477000 | PA      | $454082.07    | 0.01%             | 2028-05-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       103000 | PA      | $92037.54     | 0.00%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |        66000 | PA      | $46522.18     | 0.00%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       560529 | PA      | $82664.36     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI              | Pennsylvania Turnpike Commission                                                | CUSIP: 709223VZ1<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |       103000 | PA      | $111033.93    | 0.00%             | 2039-12-01      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412BWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12340 | PA      | $12689.50     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 949746RF0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       696000 | PA      | $674726.13    | 0.02%             | 2044-01-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1087 | PA      | $1124.48      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       543078 | PA      | $520336.79    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2295218 | PA      | $31464.92     | 0.00%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36177T5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17999 | PA      | $16927.24     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PBU5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       701000 | PA      | $644857.02    | 0.02%             | 2041-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86841 | PA      | $78730.32     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                     | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |       890000 | PA      | $583724.30    | 0.02%             | 2052-01-12      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       176000 | PA      | $152418.75    | 0.00%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                               | Sutter Health                                                                   | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |      1330000 | PA      | $925634.51    | 0.02%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      3353000 | PA      | $2850362.43   | 0.07%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M1BV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       363320 | PA      | $309265.00    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |       390000 | PA      | $367243.07    | 0.01%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: —       |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2191980 | PA      | $2037055.79   | 0.05%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51159 | PA      | $45902.70     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       214000 | PA      | $172877.79    | 0.00%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410F2H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2573 | PA      | $2663.01      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67727 | PA      | $64797.40     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1048845 | PA      | $857216.44    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L0FH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195456 | PA      | $159712.25    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411EYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12491 | PA      | $12952.82     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       121000 | PA      | $114084.98    | 0.00%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       203000 | PA      | $144242.04    | 0.00%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       397000 | PA      | $364988.30    | 0.01%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                      | ConocoPhillips Co                                                               | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |       665000 | PA      | $530822.79    | 0.01%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410SPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1588 | PA      | $1611.50      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                 | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |       459000 | PA      | $446387.85    | 0.01%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3770000 | PA      | $3680577.60   | 0.09%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HBJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523106 | PA      | $498115.53    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       481349 | PA      | $450058.86    | 0.01%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                              | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |        31000 | PA      | $27510.23     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7244127 | PA      | $6153436.43   | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2021-1                               | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1433000 | PA      | $1227522.85   | 0.03%             | 2060-09-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       611584 | PA      | $570593.13    | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C21                                        | CUSIP: 92939FAV1<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |       389298 | PA      | $383792.00    | 0.01%             | 2047-08-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1567061 | PA      | $1495942.43   | 0.04%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DANA FINANCING LUX SARL                     | Dana Financing Luxembourg Sarl                                                  | CUSIP: 235822AB9<br>LEI: 222100DKCE3D036DQU13 | Long             | DBT              | CORP              | LU        |       103000 | PA      | $101068.75    | 0.00%             | 2025-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383CFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1487544 | PA      | $23542.16     | 0.00%             | 2051-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       709767 | PA      | $635281.26    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17207 | PA      | $17309.44     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -6 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       558000 | PA      | $554821.53    | 0.01%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     12070000 | PA      | $9047064.64   | 0.23%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        43355 | PA      | $40701.54     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       350000 | PA      | $308880.25    | 0.01%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       378160 | PA      | $335077.51    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38375CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       290260 | PA      | $35378.80     | 0.00%             | 2042-04-16      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       527000 | PA      | $509517.04    | 0.01%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       916000 | PA      | $884763.82    | 0.02%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12661000 | PA      | $6848809.69   | 0.18%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       492000 | PA      | $465353.13    | 0.01%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       192000 | PA      | $158834.02    | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       683010 | PA      | $633638.34    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       598000 | PA      | $522625.40    | 0.01%             | 2028-02-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                           | Elevation CLO 2018-9 Ltd                                                        | CUSIP: 28622XAA4<br>LEI: 549300BOE42FYBAXFR86 | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2040048.96   | 0.05%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           18 | NC      | $5343.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YAW27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1126794 | PA      | $1098736.26   | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MRW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62041 | PA      | $55414.79     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3986 | PA      | $4113.82      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       681078 | PA      | $581615.14    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR US TREASURY NOTE WEEK 5                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -31 | NC      | $-242.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       607000 | PA      | $392829.78    | 0.01%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FWN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1949114 | PA      | $66169.90     | 0.00%             | 2050-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       304346 | PA      | $250071.23    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       900000 | PA      | $762530.85    | 0.02%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       375000 | PA      | $356802.60    | 0.01%             | 2030-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59459 | PA      | $55659.71     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XI LLC                                       | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |      1130000 | PA      | $1117526.38   | 0.03%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2014-1 Ltd                                                    | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |      1080000 | PA      | $1069119.86   | 0.03%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |       458000 | PA      | $452222.17    | 0.01%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7M51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171673 | PA      | $164500.54    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      1297000 | PA      | $1459121.68   | 0.04%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       492184 | PA      | $434882.07    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176H6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        32646 | PA      | $30700.69     | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296UNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80894 | PA      | $82801.28     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT WTR & PWR               | Los Angeles Department of Water & Power                                         | CUSIP: 544495UG7<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |       310000 | PA      | $329718.39    | 0.01%             | 2039-07-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2870000 | PA      | $2804687.35   | 0.07%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Vanguard Total Bond Market ETF              | Vanguard Total Bond Market ETF                                                  | CUSIP: 921937835<br>LEI: N/A                  | Long             | EC               | RF                | US        |       849808 | NS      | $61050206.72  | 1.58%             |  |  |  | No            |                  1 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       350000 | PA      | $285971.88    | 0.01%             | 2048-10-24      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-85137.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153807 | PA      | $157065.62    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       916087 | PA      | $855637.37    | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3410922 | PA      | $126355.21    | 0.00%             | 2026-07-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5MH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1286 | PA      | $1332.44      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T INT BOND                        | Republic of Italy Government International Bond                                 | CUSIP: 465410BG2<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      3507000 | PA      | $3345082.51   | 0.09%             | 2033-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       313146 | PA      | $308202.87    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1245970 | PA      | $1163610.94   | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                           | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |      2084000 | PA      | $1506711.08   | 0.04%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FQNW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30778 | PA      | $29941.81     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VAV2<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       218156 | PA      | $194704.56    | 0.01%             | 2023-11-03      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216767 | PA      | $208197.40    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39991 | PA      | $39144.56     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        98290 | PA      | $86299.72     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59794 | PA      | $59141.89     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6AM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181924 | PA      | $177839.68    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AT5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       795000 | PA      | $633033.86    | 0.02%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       195215 | PA      | $191566.53    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                    | Corebridge Financial Inc                                                        | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      2275000 | PA      | $2180637.57   | 0.06%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                           | Wellfleet CLO 2017-3 Ltd                                                        | CUSIP: 94950HAA3<br>LEI: 254900TEETF3L54VTH19 | Long             | ABS-CBDO         | CORP              | KY        |      1157000 | PA      | $1134765.12   | 0.03%             | 2031-01-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |       517000 | PA      | $480020.81    | 0.01%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       126297 | PA      | $123069.40    | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       161000 | PA      | $145531.96    | 0.00%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |       650000 | PA      | $471575.00    | 0.01%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DAZ8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |        12000 | PA      | $11975.56     | 0.00%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                           | Republic of Kenya Government International Bond                                 | CUSIP: 000000000<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |       220000 | PA      | $203225.00    | 0.01%             | 2024-06-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       307000 | PA      | $311985.45    | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1014000 | PA      | $944479.43    | 0.02%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312940E47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        91472 | PA      | $93221.36     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASCOT GROUP LTD                             | Ascot Group Ltd                                                                 | CUSIP: 04365XAA6<br>LEI: 213800DJV7WRJBE2II28 | Long             | DBT              | CORP              | BM        |       385000 | PA      | $329656.25    | 0.01%             | 2030-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi              | Park Avenue Institutional Advisers CLO Ltd 2018-1                               | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $730634.18    | 0.02%             | 2031-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4L38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1395785 | PA      | $1367410.86   | 0.04%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42048 | PA      | $36413.41     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       468000 | PA      | $461973.48    | 0.01%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                    | Constellation Brands Inc                                                        | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       820000 | PA      | $718560.18    | 0.02%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        16000 | PA      | $15892.50     | 0.00%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128916 | PA      | $120865.88    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHLL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       268714 | PA      | $265751.70    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C3                                      | CUSIP: 05550MAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1525059 | PA      | $93274.88     | 0.00%             | 2052-05-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411GMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       796723 | PA      | $831771.60    | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        89789 | PA      | $84211.39     | 0.00%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                | Peraton Corp                                                                    | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |       475513 | PA      | $463710.65    | 0.01%             | 2028-02-01      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1929844 | PA      | $1903551.90   | 0.05%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140E1VF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       659593 | PA      | $631010.86    | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2082779 | PA      | $1701614.93   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307LZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        88851 | PA      | $83017.75     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       105000 | PA      | $84735.64     | 0.00%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X8RW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       483956 | PA      | $446944.84    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       643000 | PA      | $704330.48    | 0.02%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360206 | PA      | $353637.56    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       372000 | PA      | $350851.80    | 0.01%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       361000 | PA      | $262512.25    | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       529478 | PA      | $454201.28    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       169542 | PA      | $146502.40    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       182491 | PA      | $181113.77    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        86133 | PA      | $79479.46     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      1080000 | PA      | $1061450.59   | 0.03%             | 2024-03-12      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128L6BS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       600547 | PA      | $623458.56    | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      4008000 | PA      | $3527090.50   | 0.09%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                     | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       624000 | PA      | $601745.85    | 0.02%             | 2025-03-24      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       290903 | PA      | $279362.09    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      5020000 | PA      | $4650144.47   | 0.12%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       178308 | PA      | $186262.85    | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 913017DD8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       282000 | PA      | $275643.73    | 0.01%             | 2025-08-16      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383PRN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1248869 | PA      | $21140.23     | 0.00%             | 2052-03-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      5335000 | PA      | $4842716.40   | 0.12%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       722035 | PA      | $640224.61    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1366 | PA      | $1442.01      | 0.00%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06418BAE8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      4540000 | PA      | $4188776.97   | 0.11%             | 2027-03-11      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2017-H1                                          | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       750000 | PA      | $691859.55    | 0.02%             | 2050-06-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXK90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          702 | PA      | $732.90       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                              | Var Energi ASA                                                                  | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |      1025000 | PA      | $1043044.82   | 0.03%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2020-SL1                                            | CUSIP: 52475KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       291687 | PA      | $284769.69    | 0.01%             | 2060-01-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                      | Chubb INA Holdings Inc                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |       133000 | PA      | $127454.25    | 0.00%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance               | Citibank Credit Card Issuance Trust                                             | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |       737000 | PA      | $711002.47    | 0.02%             | 2030-10-13      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                    | EQM Midstream Partners LP                                                       | CUSIP: 26885BAM2<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |        50000 | PA      | $48984.21     | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERSO              | New York State Dormitory Authority                                              | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |       100000 | PA      | $100971.72    | 0.00%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       559000 | PA      | $548702.80    | 0.01%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1965000 | PA      | $1899936.71   | 0.05%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       753464 | PA      | $662487.02    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81228 | PA      | $84231.86     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5209 | PA      | $5198.99      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36180FFA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5748 | PA      | $5405.60      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      2906000 | PA      | $2565998.00   | 0.07%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       611110 | PA      | $518771.48    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       895000 | PA      | $876038.03    | 0.02%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2020-1                                               | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       994791 | PA      | $936513.34    | 0.02%             | 2060-01-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109123 | PA      | $105635.08    | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      1146000 | PA      | $1120738.15   | 0.03%             | 2023-09-15      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                    | Huntington National Bank/The                                                    | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |      2530000 | PA      | $2478018.27   | 0.06%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AL3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1714402 | PA      | $1483726.27   | 0.04%             | 2045-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       369000 | PA      | $306977.99    | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       814697 | PA      | $848831.83    | 0.02%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-D                                                 | CUSIP: 00968EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4137 | PA      | $2856.36      | 0.00%             | 2058-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       253686 | PA      | $235351.24    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       417000 | PA      | $395112.00    | 0.01%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       754980 | PA      | $672348.41    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       900000 | PA      | $832289.49    | 0.02%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       258426 | PA      | $218631.32    | 0.01%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       480210 | PA      | $388088.25    | 0.01%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      8485000 | PA      | $6788612.79   | 0.18%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69434 | PA      | $65068.91     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       912000 | PA      | $851397.97    | 0.02%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                               | Sempra Energy                                                                   | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |      2215000 | PA      | $2058168.45   | 0.05%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2019-2                                                  | CUSIP: 05682LAJ6<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |      4285000 | PA      | $4204958.34   | 0.11%             | 2032-10-17      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76995 | PA      | $76216.70     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4999996 | PA      | $4452150.02   | 0.11%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TEXAS CAPITAL BANK NA                       | Texas Capital Bank NA                                                           | CUSIP: 88225GAA6<br>LEI: 38PG5GG0OEQK4QMSKE59 | Long             | DBT              | CORP              | US        |     10350000 | PA      | $10031637.93  | 0.26%             | 2024-09-30      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2020-2                                         | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2934000 | PA      | $2563055.55   | 0.07%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                  | Henley CLO IV DAC                                                               | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |      1042000 | PA      | $1070062.62   | 0.03%             | 2034-04-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       337000 | PA      | $324181.40    | 0.01%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -62 | NC      | $-80406.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       241774 | PA      | $231585.83    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                    | Southwick Park CLO LLC                                                          | CUSIP: 846031AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $245140.23    | 0.01%             | 2032-07-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1485943 | PA      | $1362042.66   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       417504 | PA      | $375479.46    | 0.01%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       645000 | PA      | $638631.33    | 0.02%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6A73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2341 | PA      | $2395.94      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99456 | PA      | $96296.21     | 0.00%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                            | GREYWOLF CLO VII Ltd                                                            | CUSIP: 39809AAA6<br>LEI: 5493005EEKUYF0Q6Z361 | Long             | ABS-CBDO         | CORP              | KY        |      1666000 | PA      | $1638988.31   | 0.04%             | 2031-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       362013 | PA      | $311271.53    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                | Calpine Corp                                                                    | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |      1253000 | PA      | $1121594.86   | 0.03%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXIV Ltd                                                  | CUSIP: 55819GAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1455000 | PA      | $1431059.58   | 0.04%             | 2032-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS LLC                | Focus Financial Partners LLC                                                    | CUSIP: 000000000<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |       359100 | PA      | $354252.15    | 0.01%             | 2028-06-30      | Floating      | 7.57%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31409HPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2988 | PA      | $2988.87      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-TIME                                                                  | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1834000 | PA      | $1560729.97   | 0.04%             | 2039-11-13      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       170000 | PA      | $165845.75    | 0.00%             | 2024-06-06      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| COCA-COLA CO/THE                            | Coca-Cola Co/The                                                                | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       286000 | PA      | $192232.15    | 0.00%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |        11000 | PA      | $10368.21     | 0.00%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                     | Schlumberger Holdings Corp                                                      | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |       226000 | PA      | $211100.31    | 0.01%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| EASTERN GAS TRAN                            | Eastern Gas Transmission & Storage Inc                                          | CUSIP: 276480AD2<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |        48000 | PA      | $39436.40     | 0.00%             | 2044-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      1106000 | PA      | $854246.75    | 0.02%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                     | Principal Financial Group Inc                                                   | CUSIP: 74251VAF9<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |        48000 | PA      | $40133.23     | 0.00%             | 2042-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XCK0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       512000 | PA      | $498650.12    | 0.01%             | 2025-04-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 3-R Ltd                                                   | CUSIP: 03330AAA0<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |       372716 | PA      | $368405.47    | 0.01%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411ATZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1901 | PA      | $1979.56      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                       | DB Master Finance LLC                                                           | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      2034450 | PA      | $1672169.39   | 0.04%             | 2051-11-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2540000 | PA      | $2428474.60   | 0.06%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4RB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         4999 | PA      | $5189.11      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      6416000 | PA      | $5170093.00   | 0.13%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TEXAS EASTERN TRANSMISSI                    | Texas Eastern Transmission LP                                                   | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |       981000 | PA      | $893261.33    | 0.02%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |        78000 | PA      | $62419.15     | 0.00%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       366133 | PA      | $343998.47    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS5 Mortgage Trust                                                   | CUSIP: 12592KBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233285 | PA      | $229662.73    | 0.01%             | 2047-09-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B5SU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       142978 | PA      | $129937.20    | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-2                                      | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153141 | PA      | $144728.37    | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QK32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       260259 | PA      | $265441.76    | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       792000 | PA      | $738044.39    | 0.02%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       534942 | PA      | $458180.09    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | 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        |       235000 | PA      | $138835.93    | 0.00%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                     | Duke Energy Florida LLC                                                         | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |       577000 | PA      | $493962.20    | 0.01%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47377 | PA      | $45497.51     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3699606 | PA      | $454606.53    | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2004881 | PA      | $1707393.60   | 0.04%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418XEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19008 | PA      | $18843.15     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1177000 | PA      | $1159884.89   | 0.03%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3131Y3GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       152198 | PA      | $151922.50    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2246501 | PA      | $1913207.77   | 0.05%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9547496 | PA      | $177570.07    | 0.00%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       264391 | PA      | $247240.60    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JM5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50201 | PA      | $49108.50     | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6AB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       270717 | PA      | $268035.42    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       463000 | PA      | $374874.98    | 0.01%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4JH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6671 | PA      | $6430.34      | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1716000 | PA      | $1416835.12   | 0.04%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413QU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14567 | PA      | $14797.34     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      4231000 | PA      | $2022121.83   | 0.05%             | 2030-01-30      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       136589 | PA      | $130914.73    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417VQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1980 | PA      | $1999.71      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312927E85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2352 | PA      | $2396.98      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      2721000 | PA      | $2313833.37   | 0.06%             | 2026-06-05      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       559448 | PA      | $501324.30    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35226 | PA      | $36360.42     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE26 Mortgage Trust                                                 | CUSIP: 12593QBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3865623 | PA      | $3630126.74   | 0.09%             | 2048-10-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      1200000 | PA      | $1122428.40   | 0.03%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1502622 | PA      | $1323700.57   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XI Ltd                                                     | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       785845 | PA      | $775491.30    | 0.02%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31405BLH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          581 | PA      | $599.48       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       459000 | PA      | $441825.98    | 0.01%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410RJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          587 | PA      | $596.17       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                           | Johnson & Johnson                                                               | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |       551000 | PA      | $490361.33    | 0.01%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410PCR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8571 | PA      | $8701.00      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      1940000 | PA      | $1786740.00   | 0.05%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      1650000 | PA      | $1297038.93   | 0.03%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       704000 | PA      | $672340.33    | 0.02%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1984916 | PA      | $1690226.89   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418WMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7493 | PA      | $7474.72      | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       117000 | PA      | $98642.48     | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO II Ltd                                                          | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |       830000 | PA      | $820472.60    | 0.02%             | 2031-01-26      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       652000 | PA      | $607565.83    | 0.02%             | 2026-11-21      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11855770 | PA      | $10613706.24  | 0.27%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |       460000 | PA      | $350330.77    | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFRM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        63747 | PA      | $57993.24     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |        69000 | PA      | $57026.30     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       670000 | PA      | $670794.55    | 0.02%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371MNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          374 | PA      | $376.47       | 0.00%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47741 | PA      | $41331.10     | 0.00%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411F4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          718 | PA      | $743.12       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       558160 | PA      | $503403.39    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A8VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3265 | PA      | $3261.25      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                        | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAE8<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |       379000 | PA      | $371396.68    | 0.01%             | 2027-09-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243240 | PA      | $221232.78    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -26 | NC      | $-5281.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -12 | NC      | $-3000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       276586 | PA      | $273333.11    | 0.01%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME MEXICAN PESO CURRENCY                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          793 | NC      | $339007.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A9V32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       110343 | PA      | $112555.56    | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     21276000 | PA      | $77891.80     | 0.00%             | 2034-05-10      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1715000 | PA      | $1587376.49   | 0.04%             | 2032-11-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                     | Tennessee Valley Authority Generic Strip                                        | CUSIP: 88059E5F7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |       492000 | PA      | $338040.42    | 0.01%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC CREDITO INVERSIONES                    | Banco de Credito e Inversiones SA                                               | CUSIP: 05890MAA1<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |       776000 | PA      | $713095.50    | 0.02%             | 2027-10-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32491 | PA      | $31080.60     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      2870000 | PA      | $2533762.31   | 0.07%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1047120 | PA      | $1104773.11   | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2014-R5 Trust                                           | CUSIP: 05990PAA3<br>LEI: 549300LENCFK8RITKD65 | Long             | ABS-MBS          | CORP              | US        |          486 | PA      | $482.97       | 0.00%             | 2045-09-26      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HP5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        77041 | PA      | $75488.91     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SHOW 2022-BIZ A                             | SHOW 2022-BIZ A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1250000 | PA      | $1225581.00   | 0.03%             | 2024-01-15      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Greywolf CLO Ltd                            | Greywolf CLO II Ltd                                                             | CUSIP: 398079AW3<br>LEI: 549300DX0ZYWEZ6TY764 | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2021497.97   | 0.05%             | 2034-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86094 | PA      | $88113.87     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1295 | PA      | $1265.97      | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                             | CUSIP: 054966AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350000 | PA      | $313598.08    | 0.01%             | 2033-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1310000 | PA      | $1305116.25   | 0.03%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90612 | PA      | $80403.38     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        50383 | PA      | $48570.45     | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1875000 | PA      | $1859871.97   | 0.05%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1114012 | PA      | $951173.30    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1455000 | PA      | $1414231.57   | 0.04%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417CGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222910 | PA      | $208667.95    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1183404 | PA      | $160396.73    | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           28 | NC      | $23625.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DB Master Finance LLC                       | DB Master Finance LLC                                                           | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |      5451862 | PA      | $4970921.00   | 0.13%             | 2049-05-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BAYER CORP/NJ                               | Bayer Corp/NJ                                                                   | CUSIP: 072732AC4<br>LEI: 54930050NR9YMICYZM28 | Long             | DBT              | CORP              | US        |       595000 | PA      | $609839.31    | 0.02%             | 2028-02-15      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: —       |
| Firstkey Homes Trust                        | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1153477 | PA      | $1081773.07   | 0.03%             | 2039-05-17      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2021-2, Ltd.                        | TCW CLO 2021-2 Ltd                                                              | CUSIP: 87190MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2027718.01   | 0.05%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XEEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       109738 | PA      | $107259.44    | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            3 | NC      | $4734.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 18 Ltd                                                             | CUSIP: 33883GAA5<br>LEI: 5493008L4GGS612L9S27 | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $739995.83    | 0.02%             | 2031-04-17      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       501000 | PA      | $323200.90    | 0.01%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $536073.96    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L22Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2955258 | PA      | $2413488.01   | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2573000 | PA      | $2364959.44   | 0.06%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YAV1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       221000 | PA      | $199779.83    | 0.01%             | 2036-05-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                    | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BA7<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |       895000 | PA      | $686373.32    | 0.02%             | 2031-10-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166689 | PA      | $163748.35    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WUAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       990443 | PA      | $927685.33    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2018-REV1                                          | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2600000 | PA      | $2483540.54   | 0.06%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       483000 | PA      | $463540.04    | 0.01%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       705167 | PA      | $656695.56    | 0.02%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        63789 | PA      | $60891.13     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X0AT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1231489 | PA      | $1153482.43   | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                         | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       420000 | PA      | $319662.00    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CE7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      2340000 | PA      | $2203845.23   | 0.06%             | 2025-11-07      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       461759 | PA      | $389235.43    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        31213 | PA      | $32961.26     | 0.00%             | 2041-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9UJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        40736 | PA      | $40972.47     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79344 | PA      | $74123.38     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                  | Federal National Mortgage Association                                           | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |      2307000 | PA      | $2691041.58   | 0.07%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2020-4 LLC                                                                 | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       732906 | PA      | $707085.72    | 0.02%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor              | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3               | CUSIP: 06427DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $43441.80     | 0.00%             | 2050-02-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14031 | PA      | $13496.21     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       120000 | PA      | $111347.05    | 0.00%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280AU3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       838000 | PA      | $805908.29    | 0.02%             | 2025-08-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1320000 | PA      | $1283346.04   | 0.03%             | 2026-04-26      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194704 | PA      | $182043.19    | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410F2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2164 | PA      | $2243.71      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |        78000 | PA      | $66033.01     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XTHG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       111227 | PA      | $108528.41    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      1505000 | PA      | $1354584.10   | 0.03%             | 2040-03-19      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       461000 | PA      | $459960.59    | 0.01%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402YWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1014 | PA      | $1018.01      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust               | EquiFirst Mortgage Loan Trust 2004-1                                            | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       377637 | PA      | $357046.87    | 0.01%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26456 | PA      | $24880.12     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44831 | PA      | $45213.05     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                               | State of California                                                             | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       970000 | PA      | $1176850.33   | 0.03%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11101600 | PA      | $8709552.13   | 0.22%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CLOUDERA INC                                | Cloudera Inc                                                                    | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |       694750 | PA      | $654280.81    | 0.02%             | 2028-10-08      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       376424 | PA      | $317299.43    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       403881 | PA      | $65910.90     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186329 | PA      | $177866.51    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |        51000 | PA      | $46052.70     | 0.00%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                     | American Electric Power Co Inc                                                  | CUSIP: 025537AV3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      2550000 | PA      | $2624269.67   | 0.07%             | 2027-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| JP Morgan Chase Commercial Mor              | JPMCC Commercial Mortgage Securities Trust 2017-JP7                             | CUSIP: 465968AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2763666.00   | 0.07%             | 2050-09-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136APB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       671139 | PA      | $22743.50     | 0.00%             | 2055-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T              | Honda Auto Receivables 2021-4 Owner Trust                                       | CUSIP: 43815GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       790000 | PA      | $749705.66    | 0.02%             | 2026-01-21      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings Clo Ltd 2020-IIII                                                       | CUSIP: 06762CAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1335000 | PA      | $1308090.41   | 0.03%             | 2033-10-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort              | LCCM 2017-LC26                                                                  | CUSIP: 50190DAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1848157.00   | 0.05%             | 2050-07-12      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4427622 | PA      | $4161355.62   | 0.11%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |       355000 | PA      | $329166.77    | 0.01%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       204682 | PA      | $196128.85    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-6                                      | CUSIP: 64828GBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1930645 | PA      | $1717438.38   | 0.04%             | 2059-09-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QPM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26861 | PA      | $27288.20     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1818796 | PA      | $1484729.05   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                 | Walmart Inc                                                                     | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |       398000 | PA      | $341253.89    | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416XQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25210 | PA      | $24991.32     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65592 | PA      | $63951.35     | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2022-3                                        | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       390000 | PA      | $381920.25    | 0.01%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      3497000 | PA      | $3049376.31   | 0.08%             | 2027-01-13      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                     | Public Service Electric and Gas Co                                              | CUSIP: 74456QCK0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      2315000 | PA      | $2319938.91   | 0.06%             | 2032-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2225203 | PA      | $1962050.37   | 0.05%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       955000 | PA      | $774878.95    | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XVIII Ltd                                                  | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2950000 | PA      | $2908935.41   | 0.08%             | 2030-10-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                         | CommonSpirit Health                                                             | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |      3577000 | PA      | $3430220.99   | 0.09%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       710000 | PA      | $631432.66    | 0.02%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3323931 | PA      | $2712282.14   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BKMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       905416 | PA      | $781968.73    | 0.02%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       501000 | PA      | $345340.08    | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FIN CO II                         | KKR Group Finance Co II LLC                                                     | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       127000 | PA      | $116328.56    | 0.00%             | 2043-02-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: —       |
| WEA FINANCE LLC/WESTFIEL                    | WEA Finance LLC / Westfield UK & Europe Finance PLC                             | CUSIP: 92890HAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       780000 | PA      | $737246.01    | 0.02%             | 2024-09-17      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAJ9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      1097000 | PA      | $1084358.95   | 0.03%             | 2025-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      8464000 | PA      | $6907311.36   | 0.18%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     59290000 | PA      | $217061.69    | 0.01%             | 2029-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-257.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LVC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12741 | PA      | $12535.32     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                     | Jefferies Financial Group Inc                                                   | CUSIP: 472319AM4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |       213000 | PA      | $207990.68    | 0.01%             | 2043-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2313590 | PA      | $2102571.00   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       398000 | PA      | $372469.31    | 0.01%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6A80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       686558 | PA      | $657872.71    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                    | Medtronic Global Holdings SCA                                                   | CUSIP: 000000000<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |       319000 | PA      | $201382.32    | 0.01%             | 2050-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       276377 | PA      | $236832.09    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ADEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1779461 | PA      | $1594923.28   | 0.04%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |       200000 | PA      | $185251.76    | 0.00%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-60345.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       316552 | PA      | $309453.25    | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       136000 | PA      | $109196.49    | 0.00%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KJZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       306618 | PA      | $319464.51    | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407PTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6258 | PA      | $6420.86      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       841554 | PA      | $731892.23    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10                     | CUSIP: 61762MAW1<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |       469569 | PA      | $469150.39    | 0.01%             | 2046-07-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| UFC HOLDINGS LLC                            | UFC Holdings LLC                                                                | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |       952186 | PA      | $938796.02    | 0.02%             | 2026-04-29      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       230000 | PA      | $177205.79    | 0.00%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      4583000 | PA      | $3118133.24   | 0.08%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                      | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |       830000 | PA      | $674751.16    | 0.02%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND WEEK 5                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -9 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410LBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       122265 | PA      | $126441.81    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36180KRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7727 | PA      | $7267.04      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3743401 | PA      | $584978.68    | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       180000 | PA      | $176646.44    | 0.00%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 6-2015, Lt              | HPS Loan Management 6-2015 Ltd                                                  | CUSIP: 40436KAC9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |      3966889 | PA      | $3922084.83   | 0.10%             | 2031-02-05      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1370078 | PA      | $1280479.70   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23710 | PA      | $23504.70     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO 2013-2 Ltd                                                     | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |       794112 | PA      | $783788.92    | 0.02%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36177U3H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        56064 | PA      | $52725.45     | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       601000 | PA      | $527603.81    | 0.01%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9HE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        76578 | PA      | $71763.03     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     55424000 | PA      | $50596050.28  | 1.31%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28922 | PA      | $27120.63     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181625 | PA      | $168303.88    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410U3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8228 | PA      | $8590.09      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    160633900 | PA      | $7201343.08   | 0.19%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       845000 | PA      | $860589.91    | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       344295 | PA      | $282892.58    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QHD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       119394 | PA      | $102322.98    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                    | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |        50000 | PA      | $54967.22     | 0.00%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AMJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       534106 | PA      | $453518.35    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416SFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15428 | PA      | $15271.63     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141802 | PA      | $117567.11    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                    | Willis North America Inc                                                        | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |      2920000 | PA      | $2455623.67   | 0.06%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R03                                    | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60353 | PA      | $60205.68     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL                               | ArcelorMittal SA                                                                | CUSIP: 03938LAP9<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |       224000 | PA      | $225862.99    | 0.01%             | 2039-10-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -12 | NC      | $-937.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      5640000 | PA      | $4675912.50   | 0.12%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       144878 | PA      | $130322.48    | 0.00%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                       | Tenet Healthcare Corp                                                           | CUSIP: 88033GDA5<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      1308000 | PA      | $1220540.24   | 0.03%             | 2027-11-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       179000 | PA      | $169892.13    | 0.00%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1803000 | PA      | $1700971.30   | 0.04%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          794 | PA      | $827.41       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16752 | PA      | $15706.80     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       147825 | PA      | $120919.97    | 0.00%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2022-A                                            | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       679532 | PA      | $664141.73    | 0.02%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1616479 | PA      | $1447439.88   | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2020-3                                      | CUSIP: 30166NAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        96766 | PA      | $95673.24     | 0.00%             | 2025-07-15      | Fixed         | 1.32%                 | 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        |       635000 | PA      | $551871.63    | 0.01%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       100000 | PA      | $78408.87     | 0.00%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CSEMC 2020-1OTF A                           | CSEMC 2020-1OTF A                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5035377 | PA      | $4922080.91   | 0.13%             | 2024-08-09      | Fixed         | 7.39%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417AYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7399 | PA      | $7422.19      | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1555000 | PA      | $1605952.37   | 0.04%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          710 | PA      | $729.65       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      1207000 | PA      | $1038811.83   | 0.03%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| FED REPUBLIC OF BRAZIL                      | Brazilian Government International Bond                                         | CUSIP: 105756BY5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |       809000 | PA      | $639767.31    | 0.02%             | 2047-02-21      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |       655000 | PA      | $583695.44    | 0.02%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd               | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       695091 | PA      | $650928.07    | 0.02%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        92512 | PA      | $96033.83     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -22 | NC      | $30479.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru              | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1738432 | PA      | $1689667.65   | 0.04%             | 2034-11-11      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $187365.60    | 0.00%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                          | CUSIP: 61771MAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1095000 | PA      | $953386.17    | 0.02%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |        73000 | PA      | $49501.77     | 0.00%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       833000 | PA      | $912563.29    | 0.02%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                          | Cenovus Energy Inc                                                              | CUSIP: 15135UAX7<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |      3278000 | PA      | $2302046.96   | 0.06%             | 2052-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                         | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       680000 | PA      | $649492.67    | 0.02%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      1276000 | PA      | $1162194.21   | 0.03%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XVIII Ltd                                                                  | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |       360000 | PA      | $351254.52    | 0.01%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5345000 | PA      | $4758021.51   | 0.12%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2972506 | PA      | $2511156.75   | 0.06%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282661 | PA      | $248595.99    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       735780 | PA      | $729400.94    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                             | CUSIP: 55608JBF4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |      3270000 | PA      | $3246662.34   | 0.08%             | 2026-08-09      | Fixed         | 5.11%                 | No            |                  2 | On Loan: —       |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      7390000 | PA      | $6837490.35   | 0.18%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       169000 | PA      | $161948.55    | 0.00%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                    | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        86000 | PA      | $78607.43     | 0.00%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                              | Newday Funding Master Issuer PLC - Series 2021-2                                | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |       300000 | PA      | $356702.15    | 0.01%             | 2029-07-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST              | PMT Credit Risk Transfer Trust 2019-2R                                          | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2320386 | PA      | $2220616.25   | 0.06%             | 2023-05-27      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| ROMANIA                                     | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      4590000 | PA      | $3596838.75   | 0.09%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       319502 | PA      | $274579.93    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       312000 | PA      | $261089.18    | 0.01%             | 2029-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57401 | PA      | $56903.65     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        88591 | PA      | $87667.45     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       818000 | PA      | $794175.76    | 0.02%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| M/I HOMES INC                               | M/I Homes Inc                                                                   | CUSIP: 55305BAS0<br>LEI: 5299005M71FH9CCSFB69 | Long             | DBT              | CORP              | US        |       560000 | PA      | $497446.36    | 0.01%             | 2028-02-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      2638000 | PA      | $2202400.25   | 0.06%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137A4CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        51918 | PA      | $51780.19     | 0.00%             | 2039-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14942 | PA      | $13971.74     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15579 | PA      | $15461.45     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H8TG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       293959 | PA      | $280286.99    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599CJ2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       358000 | PA      | $281104.40    | 0.01%             | 2046-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| LOS ANGELES CA UNIF SCH DIST                | Los Angeles Unified School District/CA                                          | CUSIP: 544646XZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       405000 | PA      | $422373.98    | 0.01%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       353860 | PA      | $339872.29    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6HY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          527 | PA      | $549.51       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1516 | PA      | $1582.66      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136A3NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1822000 | PA      | $1657348.23   | 0.04%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196636 | PA      | $194906.07    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y4BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       951902 | PA      | $935941.66    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       999000 | PA      | $867704.62    | 0.02%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6881 | PA      | $7010.27      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9JZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       461931 | PA      | $469502.25    | 0.01%             | 2050-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8262 | PA      | $8574.64      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                     | CUSIP: 00973RAE3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |       600000 | PA      | $567980.22    | 0.01%             | 2025-01-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        96241 | PA      | $89625.80     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                 | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |      1205000 | PA      | $1135282.68   | 0.03%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80180 | PA      | $79185.45     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        94965 | PA      | $81220.54     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -29 | NC      | $275235.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -6 | NC      | $-843.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |        89000 | PA      | $82912.48     | 0.00%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMDF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1711346 | PA      | $1506626.63   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33246 | PA      | $31480.10     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80491 | PA      | $75261.84     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                     | MPT Operating Partnership LP / MPT Finance Corp                                 | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        18000 | PA      | $15147.05     | 0.00%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312942F34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       285636 | PA      | $274616.09    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-4 Ltd                                                        | CUSIP: 07876UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |       180942 | PA      | $180763.88    | 0.00%             | 2030-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5JX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       412332 | PA      | $393155.45    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47233 | PA      | $38809.92     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        24111 | PA      | $22677.18     | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       399395 | PA      | $370641.34    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        31608 | PA      | $30636.96     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2163214 | PA      | $118080.82    | 0.00%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     17005000 | PA      | $16916653.75  | 0.44%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64545 | PA      | $62493.00     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         7393 | NC      | $-1180857.37  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| VIDEOTRON LTD / LTEE                        | Videotron Ltd                                                                   | CUSIP: 92660FAK0<br>LEI: 549300LW4GNJRBECSD81 | Long             | DBT              | CORP              | CA        |       200000 | PA      | $188500.00    | 0.00%             | 2027-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                       | Entergy Louisiana LLC                                                           | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |       287000 | PA      | $258723.12    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1000998 | PA      | $989961.92    | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VECTOR GROUP LTD                            | Vector Group Ltd                                                                | CUSIP: 92240MBL1<br>LEI: 549300TUIF4WWN6NDN50 | Long             | DBT              | CORP              | US        |       637000 | PA      | $552821.18    | 0.01%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -5635000 | PA      | $-5016174.22  | -0.13%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       404000 | PA      | $308278.41    | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504386 | PA      | $411383.50    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2015306 | PA      | $1781952.46   | 0.05%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBL8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |        23000 | PA      | $22705.53     | 0.00%             | 2024-11-14      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -12 | NC      | $-2437.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 90352JAF0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      1460000 | PA      | $1438100.00   | 0.04%             | N/A             | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                       | MidAmerican Energy Co                                                           | CUSIP: 595620AL9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2342001.25   | 0.06%             | 2043-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       709000 | PA      | $478586.20    | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XMJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       159181 | PA      | $156230.32    | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO XII Ltd                                                                | CUSIP: 87250FAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $244784.00    | 0.01%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       325000 | PA      | $310284.33    | 0.01%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33968 | PA      | $32493.03     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1369142 | PA      | $1219263.30   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                     | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |      4101000 | PA      | $3336254.54   | 0.09%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                           | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |       534000 | PA      | $513975.00    | 0.01%             | 2055-04-20      | Fixed         | 4.97%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       179000 | PA      | $141288.41    | 0.00%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust Series 2004-WMC3                         | CUSIP: 59020UCP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        86444 | PA      | $83143.78     | 0.00%             | 2035-01-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      1668000 | PA      | $1152547.98   | 0.03%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AGE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       596416 | PA      | $50023.17     | 0.00%             | 2041-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                    | American Airlines 2016-2 Class AA Pass Through Trust                            | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       210094 | PA      | $182198.22    | 0.00%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| WYNN MACAU LTD                              | Wynn Macau Ltd                                                                  | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      1202000 | PA      | $1015557.78   | 0.03%             | 2028-08-26      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Trestles CLO LTD                            | TRESTLES CLO III LTD                                                            | CUSIP: 89532TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1140000 | PA      | $1125214.54   | 0.03%             | 2033-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       140000 | PA      | $119504.28    | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CROWN AMER/CAP CORP VI                      | Crown Americas LLC / Crown Americas Capital Corp VI                             | CUSIP: 228187AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       250000 | PA      | $242882.04    | 0.01%             | 2026-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2310676 | PA      | $1947746.12   | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11190 | PA      | $10466.99     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       231260 | PA      | $243465.80    | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                 | Equinor ASA                                                                     | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |      1355000 | PA      | $1113213.66   | 0.03%             | 2040-04-06      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1095000 | PA      | $1070870.36   | 0.03%             | 2025-05-13      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12480914 | PA      | $10620376.57  | 0.27%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KTNW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2211864 | PA      | $1809013.16   | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                         | DBGS 2018-C1 Mortgage Trust                                                     | CUSIP: 23307DBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2215000 | PA      | $2110946.39   | 0.05%             | 2051-10-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       192000 | PA      | $204349.59    | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3237798 | PA      | $2731388.81   | 0.07%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64734 | PA      | $53190.03     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      2188000 | PA      | $1982741.75   | 0.05%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| CARGILL INC                                 | Cargill Inc                                                                     | CUSIP: 141781BW3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |       725000 | PA      | $665417.28    | 0.02%             | 2032-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         9651 | PA      | $9632.29      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YMY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13978 | PA      | $12515.87     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       151000 | PA      | $111224.48    | 0.00%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC38                                          | CUSIP: 36252SAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       678094 | PA      | $662966.94    | 0.02%             | 2052-02-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                             | CUSIP: 054966AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       190000 | PA      | $179190.12    | 0.00%             | 2032-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GTZ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41478 | PA      | $39468.33     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | AmeriCredit Automobile Receivables Trust 2020-2                                 | CUSIP: 03066EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       280000 | PA      | $274121.40    | 0.01%             | 2026-02-18      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |      1495000 | PA      | $1240284.14   | 0.03%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31297G6W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1971 | PA      | $2005.74      | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM XX LP                                                                       | CUSIP: 50188WAF5<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |       750000 | PA      | $740165.55    | 0.02%             | 2027-10-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        67923 | PA      | $63744.84     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1776547 | PA      | $1592390.07   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      1584000 | PA      | $1508838.01   | 0.04%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       623000 | PA      | $565918.76    | 0.01%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BMTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25167561 | PA      | $367270.21    | 0.01%             | 2025-11-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9TS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17052 | PA      | $16840.83     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       854789 | PA      | $801462.07    | 0.02%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       154211 | PA      | $132834.13    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY MUNI WTR FIN               | New York City Municipal Water Finance Authority                                 | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |       530000 | PA      | $581087.63    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       403422 | PA      | $328691.68    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HCMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       431928 | PA      | $424341.19    | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1215000 | PA      | $1191792.02   | 0.03%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       117000 | PA      | $104328.88    | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                            | MDC Holdings Inc                                                                | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |        58000 | PA      | $47459.82     | 0.00%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180000 | PA      | $178771.61    | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      3015000 | PA      | $2867746.50   | 0.07%             | 2025-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: —       |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       115000 | PA      | $104594.37    | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       656000 | PA      | $514330.06    | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECS CLEARING                      | National Securities Clearing Corp                                               | CUSIP: 637639AA3<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |       270000 | PA      | $267039.36    | 0.01%             | 2023-04-23      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       517000 | PA      | $425232.75    | 0.01%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| ISRAEL ELECTRIC CORP LTD                    | Israel Electric Corp Ltd                                                        | CUSIP: 465077AL9<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |       498000 | PA      | $466657.13    | 0.01%             | 2028-08-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       521000 | PA      | $485267.19    | 0.01%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY3                                              | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       183585 | PA      | $181583.66    | 0.00%             | 2059-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49203000 | PA      | $49324364.12  | 1.27%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187678 | PA      | $161897.39    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       340000 | PA      | $270640.48    | 0.01%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |       545000 | PA      | $461906.25    | 0.01%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       144000 | PA      | $145644.55    | 0.00%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                       | eG Global Finance PLC                                                           | CUSIP: 000000000<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |       482000 | PA      | $446291.73    | 0.01%             | 2025-02-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6512018 | PA      | $5643573.86   | 0.15%             | 2052-03-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -69 | NC      | $-139078.14   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | Csail 2015-C2 Commercial Mortgage Trust                                         | CUSIP: 12634NAS7<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |      3845759 | PA      | $3653311.61   | 0.09%             | 2057-06-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2022-BNK40                                                                 | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4393672.00   | 0.11%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7XK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175636 | PA      | $161905.69    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EK3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56056 | PA      | $54273.90     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418THP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2445 | PA      | $2440.00      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2004-OPT2                                   | CUSIP: 57643LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112701 | PA      | $90179.05     | 0.00%             | 2034-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1010000 | PA      | $816837.50    | 0.02%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36177RDR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26116 | PA      | $24187.35     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEDTRONIC GLOBAL HLDINGS                    | Medtronic Global Holdings SCA                                                   | CUSIP: 58507LAK5<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |       294000 | PA      | $242550.75    | 0.01%             | 2039-03-07      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                    | Ascent Resources Utica Holdings LLC / ARU Finance Corp                          | CUSIP: 04364VAK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        28000 | PA      | $34185.28     | 0.00%             | 2027-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |       546000 | PA      | $511729.24    | 0.01%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                              | Microsoft Corp                                                                  | CUSIP: 594918BR4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       684000 | PA      | $638076.01    | 0.02%             | 2026-08-08      | Fixed         | 2.40%                 | No            |                  2 | On Loan: —       |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      1440000 | PA      | $1177305.97   | 0.03%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Interface Security System                   | Interface Security System                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       930463 | PA      | $697847.41    | 0.02%             | 2023-08-07      | Floating      | 9.18%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411DZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3199 | PA      | $3247.13      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       210000 | PA      | $199451.85    | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       156074 | PA      | $145997.72    | 0.00%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57605 | PA      | $53439.28     | 0.00%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XDAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       475987 | PA      | $467157.78    | 0.01%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69533 | PA      | $66446.19     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32175000 | PA      | $30440685.13  | 0.79%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H7JU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52993 | PA      | $50428.05     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403FPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6941 | PA      | $7157.15      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       190000 | PA      | $181736.29    | 0.00%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21296 | PA      | $19469.95     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       244000 | PA      | $224431.99    | 0.01%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411HA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10261 | PA      | $10433.31     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      2480000 | PA      | $2230450.00   | 0.06%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-3                                                | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1002222 | PA      | $947488.18    | 0.02%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       975028 | PA      | $861243.79    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOMPO INTL HLDS LTD                         | Sompo International Holdings Ltd                                                | CUSIP: 29267HAA7<br>LEI: 54930073OSJENOG1DL54 | Long             | DBT              | CORP              | BM        |       309000 | PA      | $332442.56    | 0.01%             | 2034-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       417000 | PA      | $380451.51    | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       110000 | PA      | $107492.64    | 0.00%             | 2025-07-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       163412 | PA      | $153406.57    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577000 | PA      | $533672.90    | 0.01%             | 2033-10-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HJ4Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79519 | PA      | $78694.04     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1417471 | PA      | $1297550.55   | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       965000 | PA      | $755716.49    | 0.02%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FPYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96849 | PA      | $86446.77     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256343 | PA      | $221504.34    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      3475000 | PA      | $3126366.52   | 0.08%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1175975 | PA      | $1003033.46   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA4                                         | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          981 | PA      | $981.24       | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                            | Bank of Montreal                                                                | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      3200000 | PA      | $2920272.32   | 0.08%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       277000 | PA      | $219672.82    | 0.01%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3827996 | PA      | $3243017.64   | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Telos CLO Ltd                               | Telos CLO 2013-4 Ltd                                                            | CUSIP: 87974HAS0<br>LEI: 635400UODWAQKOLDKL79 | Long             | ABS-CBDO         | CORP              | KY        |      1197457 | PA      | $1179086.62   | 0.03%             | 2030-01-17      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2020-REV1                                          | CUSIP: 34531NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $3752139.20   | 0.10%             | 2031-08-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       665000 | PA      | $734161.60    | 0.02%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174832 | PA      | $163439.19    | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       387116 | PA      | $340571.49    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        98938 | PA      | $92771.02     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HAWAIIAN BRAND INTELLECT                    | Hawaiian Brand Intellectual Property Ltd / HawaiianMiles Loyalty Ltd            | CUSIP: 41984LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |        80000 | PA      | $72400.00     | 0.00%             | 2026-01-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KMMQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       933918 | PA      | $792791.50    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |           -9 | NC      | $-50408.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        80539 | PA      | $75310.41     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 060505FP4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2264000 | PA      | $2110195.21   | 0.05%             | N/A             | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1736018 | PA      | $1482363.03   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412RKU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       199426 | PA      | $191522.41    | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                       | Texas Instruments Inc                                                           | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |       250000 | PA      | $205775.47    | 0.01%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       145000 | PA      | $125756.75    | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |      1165000 | PA      | $1076325.21   | 0.03%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3708464 | PA      | $3156029.41   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Inc Asset-Backed Certificates Trust 2004-12                               | CUSIP: 126673QY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        30003 | PA      | $29858.62     | 0.00%             | 2035-04-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153238 | PA      | $145110.50    | 0.00%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282639 | PA      | $241727.63    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Logan CLO I Ltd                             | Logan CLO I Ltd                                                                 | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $977765.10    | 0.03%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       654554 | PA      | $585088.78    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6895 | PA      | $7205.92      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       105119 | PA      | $98563.50     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |       920000 | PA      | $782081.82    | 0.02%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $1357322.39   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DANA INC                                    | Dana Inc                                                                        | CUSIP: 235825AH9<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |       617000 | PA      | $497195.03    | 0.01%             | 2030-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TX ELEC & GAS REVE              | City of San Antonio TX Electric & Gas Systems Revenue                           | CUSIP: 796253Z21<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |       265000 | PA      | $241666.73    | 0.01%             | 2042-02-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ALB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21961 | PA      | $21574.42     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |       151000 | PA      | $120093.42    | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       335000 | PA      | $334483.09    | 0.01%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |       350000 | PA      | $344090.81    | 0.01%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE17 Mortgage Trust                                                 | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1927079 | PA      | $17223.08     | 0.00%             | 2047-05-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| MP Clo III, LTD                             | MP CLO III LTD                                                                  | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |       590000 | PA      | $579596.41    | 0.01%             | 2030-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       470993 | PA      | $470071.62    | 0.01%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      1363400 | PA      | $343576.80    | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86179 | PA      | $83268.67     | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       360724 | PA      | $310162.66    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                      | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |      3310000 | PA      | $3358553.36   | 0.09%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71843 | PA      | $70353.17     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2017-C6                                           | CUSIP: 90276UAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2983999 | PA      | $2750448.66   | 0.07%             | 2050-12-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      1082000 | PA      | $1127635.09   | 0.03%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       603000 | PA      | $522608.59    | 0.01%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7DH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14718 | PA      | $15237.81     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |        25000 | PA      | $24868.43     | 0.00%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                                      | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |       760000 | PA      | $789196.11    | 0.02%             | 2039-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1541632 | PA      | $1476644.20   | 0.04%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      1090000 | PA      | $1055845.33   | 0.03%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: —       |
| Equity One ABS Inc                          | Equity One Mortgage Pass-Through Trust 2002-5                                   | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       768120 | PA      | $723306.88    | 0.02%             | 2032-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       218527 | PA      | $214555.18    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80859 | PA      | $66095.52     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                | NiSource Inc                                                                    | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |      3470000 | PA      | $3093727.22   | 0.08%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| UNIV OF VIRGINIA VA UNIV REVEN              | University of Virginia                                                          | CUSIP: 915217XA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2915000 | PA      | $1726070.23   | 0.04%             | 2119-09-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96507 | PA      | $94560.96     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      1071000 | PA      | $679281.75    | 0.02%             | 2050-08-03      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       501000 | PA      | $444371.23    | 0.01%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        58000 | PA      | $45273.99     | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       460000 | PA      | $359388.80    | 0.01%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       310000 | PA      | $291720.06    | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       330000 | PA      | $278364.69    | 0.01%             | 2026-12-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Commercial Mortgage Trust 2022-LPF2                                        | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2150000 | PA      | $2149328.77   | 0.06%             | 2039-10-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       369000 | PA      | $332967.76    | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |         5000 | PA      | $4448.83      | 0.00%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       149000 | PA      | $142888.40    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       894000 | PA      | $605207.18    | 0.02%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BVRT_21-4F                                  | BVRT_21-4F                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       766539 | PA      | $762706.13    | 0.02%             | 2026-09-12      | Floating      | 2.05%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2954086 | PA      | $2885347.84   | 0.07%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1917000 | PA      | $1743336.86   | 0.04%             | 2050-08-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $1338790.99   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       319697 | PA      | $305875.30    | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AV7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       137912 | PA      | $132443.33    | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       988593 | PA      | $876419.91    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                 | Viatris Inc                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      2830000 | PA      | $1896559.62   | 0.05%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1241000 | PA      | $1029573.34   | 0.03%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       241214 | PA      | $225553.50    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                    | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |       419000 | PA      | $320614.12    | 0.01%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       403618 | PA      | $343733.63    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408GQP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1847 | PA      | $1894.88      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1409000 | PA      | $1070093.05   | 0.03%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A2T55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69792 | PA      | $71032.12     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419CJY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20384 | PA      | $20148.68     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       250000 | PA      | $235013.32    | 0.01%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XDW3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       500000 | PA      | $484733.43    | 0.01%             | 2027-04-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418SFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2880 | PA      | $2916.46      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42019 | PA      | $40308.04     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PGIM Institutional Money Market Fund - D    | PGIM Institutional Money Market Fund - D                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    172442685 | NS      | $172373707.93 | 4.45%             |  |  |  | No            |                  1 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       177000 | PA      | $141207.30    | 0.00%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       803000 | PA      | $764570.28    | 0.02%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10513000 | PA      | $8082872.53   | 0.21%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                          | Tricon Residential 2022-SFR2 Trust                                              | CUSIP: 89616QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5093000 | PA      | $4705991.08   | 0.12%             | 2039-04-17      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-946754.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19082 | PA      | $18745.59     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TTAN                                        | TTAN 2021-MHC                                                                   | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       493415 | PA      | $477930.65    | 0.01%             | 2038-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2020-RR1 Trust                           | CUSIP: 949796AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118818 | PA      | $99477.90     | 0.00%             | 2050-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       948603 | PA      | $847644.51    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       792271 | PA      | $675450.85    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3100000 | PA      | $3070291.83   | 0.08%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       998000 | PA      | $836138.06    | 0.02%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4252000 | PA      | $264551.36    | 0.01%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2021-C                                           | CUSIP: 44935FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       930000 | PA      | $878434.94    | 0.02%             | 2026-05-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       716717 | PA      | $655555.22    | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680664 | PA      | $689262.06    | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       940000 | PA      | $882744.60    | 0.02%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       100000 | PA      | $92081.56     | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      4178000 | PA      | $3888500.95   | 0.10%             | 2026-03-20      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-3BP Mortgage Trust                                                    | CUSIP: 12592TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42385000 | PA      | $77115.27     | 0.00%             | 2035-02-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416NC75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2369 | PA      | $2346.59      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            9 | NC      | $-37256.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5898156 | PA      | $4995129.86   | 0.13%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding Corp                                                    | CUSIP: 05990QAD5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |         9648 | PA      | $9609.81      | 0.00%             | 2037-02-27      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-1                                   | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3656285 | PA      | $3593060.85   | 0.09%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71794 | PA      | $71036.40     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        84500 | PA      | $78889.46     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      1108000 | PA      | $966966.55    | 0.02%             | 2029-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                     | Banco Espirito Santo SA                                                         | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |       100000 | PA      | $14986.30     | 0.00%             | 2019-01-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620A2J49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79314 | PA      | $81190.28     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       330000 | PA      | $254426.80    | 0.01%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      1191000 | PA      | $1014667.78   | 0.03%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       460000 | PA      | $386529.16    | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -12185000 | PA      | $-10690744.43 | -0.28%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       532000 | PA      | $462017.35    | 0.01%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: —       |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1184 | NC      | $-32759.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3181 | PA      | $3221.31      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                 | Textron Inc                                                                     | CUSIP: 883203CA7<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |       830000 | PA      | $751826.50    | 0.02%             | 2029-09-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                           | Nexstar Media Inc                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |        99889 | PA      | $98983.47     | 0.00%             | 2026-09-18      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        30004 | PA      | $28552.07     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144602 | PA      | $141739.82    | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BF4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       475085 | PA      | $19017.79     | 0.00%             | 2041-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       106076 | PA      | $104643.28    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                          | Cenovus Energy Inc                                                              | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |       184000 | PA      | $190103.37    | 0.00%             | 2039-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371NXK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3909 | PA      | $3919.89      | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       217675 | PA      | $212700.12    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                          | Panama Government International Bond                                            | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      4190000 | PA      | $2699407.50   | 0.07%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      1060000 | PA      | $844301.54    | 0.02%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       130000 | PA      | $107637.45    | 0.00%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                    | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |       120000 | PA      | $111548.23    | 0.00%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       121000 | PA      | $95927.57     | 0.00%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      3850000 | PA      | $3557923.60   | 0.09%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407H7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          387 | PA      | $403.23       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3277 | PA      | $3402.37      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |        73000 | PA      | $64559.32     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       251000 | PA      | $218868.19    | 0.01%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1706282 | PA      | $1665742.70   | 0.04%             | 2051-01-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       161000 | PA      | $124249.87    | 0.00%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CAMERON INTERNATIONAL CO                    | Cameron International Corp                                                      | CUSIP: 13342BAF2<br>LEI: P2PV5Z2Z2UKRY3P3V155 | Long             | DBT              | CORP              | US        |       820000 | PA      | $734276.95    | 0.02%             | 2041-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132L53M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       277491 | PA      | $287315.96    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       825891 | PA      | $739232.96    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412B4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          373 | PA      | $388.24       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       103649 | PA      | $101219.92    | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C38                                  | CUSIP: 95001MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1824389 | PA      | $1669167.42   | 0.04%             | 2050-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       280000 | PA      | $246828.23    | 0.01%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       283115 | PA      | $234193.18    | 0.01%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123396 | PA      | $118052.33    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       266590 | PA      | $219045.74    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AB5X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          982 | PA      | $950.08       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       752000 | PA      | $688264.20    | 0.02%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       111000 | PA      | $91797.00     | 0.00%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |       810000 | PA      | $713637.34    | 0.02%             | 2032-03-24      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66494 | PA      | $65917.70     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6135248 | PA      | $5224810.94   | 0.13%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       483000 | PA      | $471562.27    | 0.01%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFQK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       226637 | PA      | $224925.41    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       247115 | PA      | $223400.34    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       173659 | PA      | $170595.05    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                     | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |        63000 | PA      | $70916.93     | 0.00%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31409GNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          934 | PA      | $971.29       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y2RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        25088 | PA      | $24570.43     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                    | Thermo Fisher Scientific Inc                                                    | CUSIP: 000000000<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |       495000 | PA      | $357245.51    | 0.01%             | 2039-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31408EX56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6751 | PA      | $6772.55      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDP3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       375000 | PA      | $221674.04    | 0.01%             | 2052-08-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBF2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       156000 | PA      | $145629.90    | 0.00%             | 2031-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272602 | PA      | $243660.36    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       370000 | PA      | $369190.58    | 0.01%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418UC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          391 | PA      | $389.72       | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2014-LC16                                 | CUSIP: 94988XAT3<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |       498553 | PA      | $485363.65    | 0.01%             | 2050-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2014-C23                             | CUSIP: 46643ABF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283439 | PA      | $277267.80    | 0.01%             | 2047-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       766000 | PA      | $758696.63    | 0.02%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |         8000 | PA      | $5311.25      | 0.00%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       894944 | PA      | $838237.49    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4385025 | PA      | $3750106.36   | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                     | CUSIP: 61690VAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       747146 | PA      | $724016.94    | 0.02%             | 2048-10-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        98000 | PA      | $78908.00     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITI GRP/UNITI HLD/CSL                     | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC                     | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       650000 | PA      | $630858.83    | 0.02%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                       | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |      3170000 | PA      | $3020324.52   | 0.08%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8BH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       370152 | PA      | $346093.74    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411FKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          824 | PA      | $821.27       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31409WA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2996 | PA      | $3052.94      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |       231000 | PA      | $223821.84    | 0.01%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |       530000 | PA      | $508349.40    | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       792000 | PA      | $693459.36    | 0.02%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-2 Ltd                                                        | CUSIP: 078782AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |         6779 | PA      | $6783.75      | 0.00%             | 2030-08-26      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       615000 | PA      | $599407.25    | 0.02%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       530548 | PA      | $17264.35     | 0.00%             | 2059-12-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                   | Hess Corp                                                                       | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |       920000 | PA      | $999980.93    | 0.03%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ANL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79952 | PA      | $79259.04     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |        65000 | PA      | $56909.11     | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       297537 | PA      | $265304.17    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3394000 | PA      | $3126796.32   | 0.08%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       691025 | PA      | $632606.65    | 0.02%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       420000 | PA      | $383999.03    | 0.01%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30790 | PA      | $28653.93     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        57680 | PA      | $55523.30     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIG CLO LTD                                 | AIG CLO 2018-1 LLC                                                              | CUSIP: 00141UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $245090.45    | 0.01%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      2267000 | PA      | $1693745.64   | 0.04%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11259 | PA      | $11646.47     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5142055 | PA      | $15207.63     | 0.00%             | 2070-04-20      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       872303 | PA      | $792813.51    | 0.02%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PHOENIX GUARANTOR INC                       | Phoenix Guarantor Inc                                                           | CUSIP: 71913BAE2<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |       762737 | PA      | $713635.84    | 0.02%             | 2026-03-05      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412LA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3716 | PA      | $3879.76      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       103514 | PA      | $99854.42     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-1                                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4639545 | PA      | $4365390.69   | 0.11%             | 2058-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       788000 | PA      | $595728.00    | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       280000 | PA      | $260126.51    | 0.01%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: —       |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           67 | NC      | $20937.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -34 | NC      | $-4781.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-SUN                                         | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160000 | PA      | $156779.52    | 0.00%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $486737.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        88639 | PA      | $75897.64     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36177PMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5903 | PA      | $5551.86      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296XUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        70459 | PA      | $72115.09     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      2180000 | PA      | $2144031.16   | 0.06%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $2908634.62   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1671000 | PA      | $1309154.59   | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       966000 | PA      | $749921.83    | 0.02%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6N79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        84222 | PA      | $87194.16     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       165000 | PA      | $151695.58    | 0.00%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                          | Dominican Republic International Bond                                           | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |       396000 | PA      | $379615.50    | 0.01%             | 2028-07-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAH3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      1736000 | PA      | $1494013.42   | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                 | Apache Corp                                                                     | CUSIP: 037411BC8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |       617000 | PA      | $433046.09    | 0.01%             | 2044-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |        49000 | PA      | $46981.35     | 0.00%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                       | Quikrete Holdings Inc                                                           | CUSIP: 74839XAG4<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      1154200 | PA      | $1143619.45   | 0.03%             | 2029-03-18      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713AZ9<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       483000 | PA      | $430599.50    | 0.01%             | 2043-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      1067000 | PA      | $720671.61    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       176000 | PA      | $165270.35    | 0.00%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                   | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188979 | PA      | $183996.00    | 0.00%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XVD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       109049 | PA      | $107027.22    | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       129105 | PA      | $124006.21    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1128172.72   | 0.03%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CK0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      3475000 | PA      | $2872260.69   | 0.07%             | 2062-04-13      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       350000 | PA      | $309196.44    | 0.01%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FTKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       206913 | PA      | $184945.15    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAG6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |       143000 | PA      | $133855.16    | 0.00%             | 2034-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2015-I Ltd                                                         | CUSIP: 12548MBF1<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |      2996000 | PA      | $2957029.83   | 0.08%             | 2031-01-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-FACT                                                                  | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1333000 | PA      | $1114531.03   | 0.03%             | 2037-10-15      | Floating      | 10.47%                | Yes           |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        94000 | PA      | $90542.12     | 0.00%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      2113000 | PA      | $1255650.25   | 0.03%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3711138 | PA      | $3161719.05   | 0.08%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418NYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          720 | PA      | $717.86       | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       534000 | PA      | $308526.99    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       429000 | PA      | $425568.00    | 0.01%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                      | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |       758000 | PA      | $591855.88    | 0.02%             | 2031-05-11      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        10891 | PA      | $10224.32     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132LAFD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       616290 | PA      | $604747.80    | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400424 | PA      | $371493.92    | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELLIS FINCO PLC                            | Bellis Finco PLC                                                                | CUSIP: 000000000<br>LEI: 259400ELWH6Z4ICFTD70 | Long             | DBT              | CORP              | GB        |      1002000 | PA      | $881367.06    | 0.02%             | 2027-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      1680000 | PA      | $1567047.17   | 0.04%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | Sofi Professional Loan Program 2019-C LLC                                       | CUSIP: 83401CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       584817 | PA      | $543053.11    | 0.01%             | 2048-11-16      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1418836.37   | 0.04%             | 2025-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           13 | NC      | $-48339.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CAMERON LNG LLC                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       553000 | PA      | $449499.14    | 0.01%             | 2035-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2236000 | PA      | $2381454.88   | 0.06%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       503439 | PA      | $467663.20    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-2                                   | CUSIP: 80286XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2581000 | PA      | $2510761.18   | 0.06%             | 2026-06-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197694 | PA      | $161547.94    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $192975.00    | 0.00%             | 2024-09-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       249664 | PA      | $249418.99    | 0.01%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HBH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95801 | PA      | $94958.76     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                         | Wells Fargo Bank NA                                                             | CUSIP: 92976GAG6<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |      2103000 | PA      | $2115447.24   | 0.05%             | 2037-02-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                    | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       318429 | PA      | $256269.19    | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     18375000 | PA      | $13247226.56  | 0.34%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |       424000 | PA      | $418551.80    | 0.01%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H4AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       232573 | PA      | $228759.51    | 0.01%             | 2033-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       170000 | PA      | $133139.69    | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       144559 | PA      | $140118.99    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO Ltd                                                 | CUSIP: 08182DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2210000 | PA      | $2118052.73   | 0.05%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        77053 | PA      | $72241.85     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       725000 | PA      | $677781.28    | 0.02%             | 2032-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95293 | PA      | $78500.03     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                    | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |      3565000 | PA      | $2972196.97   | 0.08%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |        38000 | PA      | $35726.05     | 0.00%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       150000 | PA      | $128343.86    | 0.00%             | N/A             | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QDH2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       251000 | PA      | $244144.56    | 0.01%             | 2025-10-16      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/IDR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |            1 | NC      | $227593.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44452 | PA      | $42729.68     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       204000 | PA      | $184287.49    | 0.00%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                              | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       140000 | PA      | $99747.62     | 0.00%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1200000 | PA      | $1216441.64   | 0.03%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE              | Port Authority of New York & New Jersey                                         | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       400000 | PA      | $348987.58    | 0.01%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       115658 | PA      | $103633.65    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411BCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          224 | PA      | $228.95       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |       450000 | PA      | $298293.28    | 0.01%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| 1011778 BC / NEW RED FIN                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       466000 | PA      | $419982.50    | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1560811 | PA      | $101394.53    | 0.00%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| RUTGERS NJ ST UNIV                          | Rutgers The State University of New Jersey                                      | CUSIP: 783186NH8<br>LEI: 549300BOYDHNW8J60112 | Long             | DBT              | MUN               | US        |       400000 | PA      | $410641.08    | 0.01%             | 2040-05-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                         | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       264000 | PA      | $201630.00    | 0.01%             | 2030-02-23      | Fixed         | 7.14%                 | Yes           |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                       | Tenet Healthcare Corp                                                           | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |       677000 | PA      | $586547.42    | 0.02%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4240 | PA      | $4381.51      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31409GTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1128 | PA      | $1177.48      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS MXN                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-851170.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       829410 | PA      | $684579.26    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       494069 | PA      | $405960.64    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12848 | PA      | $12822.95     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1170000 | PA      | $1141063.29   | 0.03%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A4NW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9604 | PA      | $9564.23      | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXNL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        13455 | PA      | $13756.43     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRI POINTE HOMES INC                        | Tri Pointe Homes Inc                                                            | CUSIP: 87265HAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        31000 | PA      | $28231.63     | 0.00%             | 2028-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      3250000 | PA      | $3240769.51   | 0.08%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48950 | PA      | $46859.06     | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      2667000 | PA      | $1956661.51   | 0.05%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196470 | PA      | $183716.78    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4889030 | PA      | $4163698.60   | 0.11%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112492 | PA      | $116654.82    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412QGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30330 | PA      | $30059.34     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2447802 | PA      | $2001443.99   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       927000 | PA      | $833284.66    | 0.02%             | 2026-06-24      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9UG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       301952 | PA      | $298853.69    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1635676 | PA      | $1502436.07   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2021-2                                             | CUSIP: 262104AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2150822 | PA      | $2123739.65   | 0.05%             | 2025-12-15      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                            | Coca-Cola Co/The                                                                | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |       322000 | PA      | $284384.87    | 0.01%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAZ9<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       345000 | PA      | $301071.07    | 0.01%             | 2049-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1994098 | PA      | $1811681.26   | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS CAPITAL II                    | Goldman Sachs Capital II                                                        | CUSIP: 381427AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        84000 | PA      | $63195.20     | 0.00%             | N/A             | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55902 | PA      | $57822.57     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31406GPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          205 | PA      | $205.67       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RUSSIA GOVT BOND - OFZ                      | Russian Federal Bond - OFZ                                                      | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     38784000 | PA      | $141988.88    | 0.00%             | 2026-09-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       300000 | PA      | $300540.76    | 0.01%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       287041 | PA      | $269688.19    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2220000 | PA      | $1726017.67   | 0.04%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                     | Procter & Gamble Co/The                                                         | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |       112000 | PA      | $105069.93    | 0.00%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19631 | PA      | $19096.11     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36290TK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15746 | PA      | $14812.17     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       705913 | PA      | $632080.20    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                       | CUSIP: 000000000<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | LON              | CORP              | CA        |       906926 | PA      | $880285.33    | 0.02%             | 2026-10-30      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1625000 | PA      | $1444997.65   | 0.04%             | 2038-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       609000 | PA      | $596966.74    | 0.02%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38610 | PA      | $36931.97     | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148989 | PA      | $135862.65    | 0.00%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1639101 | PA      | $1469868.64   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $4312.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A4BH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39585 | PA      | $39709.67     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1934000 | PA      | $1902101.75   | 0.05%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1902570 | PA      | $1677824.74   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KPFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1486915 | PA      | $1308053.16   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BBKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1737694 | PA      | $1526771.65   | 0.04%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       140000 | PA      | $139069.37    | 0.00%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       640000 | PA      | $624727.22    | 0.02%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       618484 | PA      | $525063.87    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2020-A                                         | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       578365 | PA      | $574147.25    | 0.01%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2730 | PA      | $2706.21      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      4770000 | PA      | $3932943.22   | 0.10%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: —       |
| SACO I Trust                                | SACO I Trust 2007-VA1                                                           | CUSIP: 78386KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18291 | PA      | $14865.52     | 0.00%             | 2021-06-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106295 | PA      | $99391.90     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JPJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149422 | PA      | $143637.32    | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      3551000 | PA      | $3022398.53   | 0.08%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418TLN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          440 | PA      | $439.06       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       949000 | PA      | $674560.47    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AG4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6148 | PA      | $6004.14      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1605000 | PA      | $1668596.15   | 0.04%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YGYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56119 | PA      | $52494.01     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     14990000 | PA      | $13404339.07  | 0.35%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re II Ltd                                                               | CUSIP: 67400CAA6<br>LEI: 254900KOPN6EP9T3LD85 | Long             | ABS-MBS          | CORP              | US        |        93982 | PA      | $93904.51     | 0.00%             | 2028-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                 | Southern Co/The                                                                 | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |       395000 | PA      | $372089.74    | 0.01%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      3785000 | PA      | $3718359.36   | 0.10%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       390000 | PA      | $307350.48    | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411ACY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          901 | PA      | $915.05       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $3479690.15   | 0.09%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AXES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       920873 | PA      | $49902.55     | 0.00%             | 2031-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                          | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |       470000 | PA      | $474300.81    | 0.01%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6588135 | PA      | $6341449.19   | 0.16%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ADXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100116 | PA      | $3016.14      | 0.00%             | 2032-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2800000 | PA      | $2458383.93   | 0.06%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      6220000 | PA      | $6158965.07   | 0.16%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1246000 | PA      | $1057570.51   | 0.03%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2022-3                                               | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2247000 | PA      | $2193274.90   | 0.06%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |       223000 | PA      | $197257.80    | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                             | Hanesbrands Inc                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |       502000 | PA      | $451439.56    | 0.01%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       690096 | PA      | $601035.85    | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        12336 | PA      | $11560.59     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1306091 | PA      | $1257172.29   | 0.03%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100000 | PA      | $92834.74     | 0.00%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M56F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        14413 | PA      | $14812.58     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                    | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAA0<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |       940000 | PA      | $911976.25    | 0.02%             | 2025-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                          | Panama Government International Bond                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      1796000 | PA      | $1317029.25   | 0.03%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |      1070000 | PA      | $974328.73    | 0.03%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2729344 | PA      | $2408229.80   | 0.06%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                | St Paul's CLO IV DAC                                                            | CUSIP: 000000000<br>LEI: 549300IMSL8GGSOV5A04 | Long             | ABS-CBDO         | CORP              | IE        |      1710933 | PA      | $1781923.53   | 0.05%             | 2030-04-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1141115 | PA      | $977189.07    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1494265 | PA      | $1357971.21   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                        | Southern Natural Gas Co LLC                                                     | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1047000 | PA      | $1149439.44   | 0.03%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        71380 | PA      | $66568.17     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       485328 | PA      | $466091.00    | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A5H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       421308 | PA      | $390119.93    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |       440000 | PA      | $359220.46    | 0.01%             | 2033-11-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: —       |
| NATIONSTAR MTG HLD INC                      | Nationstar Mortgage Holdings Inc                                                | CUSIP: 63861CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       195000 | PA      | $174906.65    | 0.00%             | 2027-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1683006 | PA      | $1549859.45   | 0.04%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SERBIA                          | Serbia International Bond                                                       | CUSIP: 000000000<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |       622000 | PA      | $474937.66    | 0.01%             | 2029-06-26      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp II Series 2005-ROCK                                 | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       470000 | PA      | $452426.42    | 0.01%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GNE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56711 | PA      | $52718.73     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TH MSR ISSUER TRUST                         | TH MSR issuer Trust                                                             | CUSIP: 87271AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3208000 | PA      | $3001526.06   | 0.08%             | 2024-06-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      1273000 | PA      | $1241519.09   | 0.03%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       265000 | PA      | $240817.09    | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| One Market Plaza Trust                      | One Market Plaza Trust 2017-1MKT                                                | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12180000 | PA      | $348.35       | 0.00%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MHTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62611 | PA      | $56958.42     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                         | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |       249000 | PA      | $234581.20    | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13177 | PA      | $12501.87     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4520000 | PA      | $3877558.39   | 0.10%             | 2052-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       567363 | PA      | $465753.55    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31382MDG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          420 | PA      | $428.51       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                    | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       266000 | PA      | $220924.92    | 0.01%             | 2031-04-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       997000 | PA      | $925218.23    | 0.02%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      2025000 | PA      | $1898952.21   | 0.05%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1013000 | PA      | $945246.98    | 0.02%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99262 | PA      | $93069.73     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        34846 | PA      | $34777.42     | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133A94W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7496817 | PA      | $6378807.57   | 0.16%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       508000 | PA      | $426603.83    | 0.01%             | 2030-10-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                         | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |       217000 | PA      | $212199.94    | 0.01%             | 2024-07-21      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| MICROSOFT CORP                              | Microsoft Corp                                                                  | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |       327000 | PA      | $315182.62    | 0.01%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |       205000 | PA      | $155387.60    | 0.00%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XVKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        16748 | PA      | $16141.51     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2018-CX12 Commercial Mortgage Trust                                       | CUSIP: 12595XAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70000 | PA      | $65903.33     | 0.00%             | 2051-08-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468000 | PA      | $440159.29    | 0.01%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       178511 | PA      | $146677.55    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FPYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        85427 | PA      | $76193.68     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       183000 | PA      | $180692.34    | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE NEW YORK                      | Credit Suisse AG/New York NY                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |       540000 | PA      | $486309.26    | 0.01%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2018-CX12 Commercial Mortgage Trust                                       | CUSIP: 12595XAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1425000 | PA      | $1339936.91   | 0.03%             | 2051-08-15      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       339402 | PA      | $325859.22    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       201000 | PA      | $177193.89    | 0.00%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202F3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13125 | PA      | $13855.53     | 0.00%             | 2042-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75733 | PA      | $70826.94     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11078 | PA      | $10520.90     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       402000 | PA      | $367592.94    | 0.01%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: —       |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22730000 | PA      | $22394082.65  | 0.58%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       213000 | PA      | $207467.65    | 0.01%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                               | Sempra Energy                                                                   | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |       330000 | PA      | $259452.26    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410UPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          130 | PA      | $134.21       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        90000 | PA      | $65649.29     | 0.00%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1707807 | PA      | $1697149.98   | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QQL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62637 | PA      | $63897.70     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -6325000 | PA      | $-6418332.08  | -0.17%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Euro CLO                            | Carlyle Euro CLO 2021-2 DAC                                                     | CUSIP: 000000000<br>LEI: 635400GXUD5SKWFXE966 | Long             | ABS-CBDO         | CORP              | IE        |      3810000 | PA      | $3896950.75   | 0.10%             | 2035-10-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31398PFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256420 | PA      | $24622.19     | 0.00%             | 2040-04-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128CUK47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        52256 | PA      | $53092.98     | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90091 | PA      | $84303.22     | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                            | Greywolf CLO III Ltd                                                            | CUSIP: 39809CAN4<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2038359.85   | 0.05%             | 2033-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C3                                         | CUSIP: 12531WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1390000 | PA      | $60738.55     | 0.00%             | 2048-01-10      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       350000 | PA      | $298841.27    | 0.01%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       675766 | PA      | $665020.79    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                      | AthenaHealth Group Inc                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |      1018742 | PA      | $917292.83    | 0.02%             | 2029-02-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares LVI CLO Ltd                                                                | CUSIP: 04018NAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       350000 | PA      | $339398.71    | 0.01%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BEWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5330802 | PA      | $403724.59    | 0.01%             | 2032-02-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417EQW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31563 | PA      | $28548.99     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2831087 | PA      | $115270.54    | 0.00%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                            | Georgia Power Co                                                                | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      3020000 | PA      | $2908435.04   | 0.08%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                          | Panama Government International Bond                                            | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      1206000 | PA      | $893043.00    | 0.02%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2019-SL1                                    | CUSIP: 36257EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       155204 | PA      | $154406.08    | 0.00%             | 2059-01-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                     | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       239000 | PA      | $241100.91    | 0.01%             | 2025-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                             | Xcel Energy Inc                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |      1135000 | PA      | $1087586.24   | 0.03%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       558000 | PA      | $558773.75    | 0.01%             | 2036-08-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6RW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6985 | PA      | $7270.51      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                     | CUSIP: 61764PBU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       400000 | PA      | $383069.60    | 0.01%             | 2047-12-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      3597000 | PA      | $3303024.67   | 0.09%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16621 | PA      | $15278.74     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2018-J1 Trust                                                        | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3152573 | PA      | $2740734.63   | 0.07%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XF6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       112100 | PA      | $110269.28    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA FINANCE X DAC 2019-1               | Credit Suisse European Mortgage Capital Ltd                                     | CUSIP: 55960WAB7<br>LEI: 213800FNSN9L4EI3LC40 | Long             | ABS-O            | CORP              | IE        |       940000 | PA      | $919641.26    | 0.02%             | 2024-08-09      | Floating      | 7.31%                 | Yes           |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            9 | NC      | $2671.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $217220.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       316997 | PA      | $260462.09    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-DC1 Mortgage Trust                                                    | CUSIP: 12629NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3196000 | PA      | $3072729.32   | 0.08%             | 2048-02-10      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MPDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       219283 | PA      | $195866.42    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AEWT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3751669 | PA      | $3065114.59   | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                     | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      1455000 | PA      | $1011223.84   | 0.03%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KJ9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       225000 | PA      | $221398.70    | 0.01%             | 2026-03-09      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       221000 | PA      | $212592.86    | 0.01%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       452839 | PA      | $388492.30    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1068421 | PA      | $35602.79     | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2020-SFR1 Trust                                            | CUSIP: 74331CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4606716 | PA      | $4200018.88   | 0.11%             | 2037-04-17      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VTX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360544 | PA      | $323582.54    | 0.01%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1165602 | PA      | $992331.84    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176H7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        85940 | PA      | $80818.70     | 0.00%             | 2043-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184488 | PA      | $164462.53    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       390000 | PA      | $371920.38    | 0.01%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      2716000 | PA      | $2567051.19   | 0.07%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       621211 | PA      | $22743.10     | 0.00%             | 2057-02-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                           | Elevation CLO 2017-6 Ltd                                                        | CUSIP: 28622PAA1<br>LEI: 549300TLJB7OIA4JRG73 | Long             | ABS-CBDO         | CORP              | KY        |       617875 | PA      | $611008.79    | 0.02%             | 2029-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                       | Quest Diagnostics Inc                                                           | CUSIP: 74834LBC3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |      1325000 | PA      | $1109151.37   | 0.03%             | 2031-06-30      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| ALLSPRING BUYER LLC                         | Allspring Buyer LLC                                                             | CUSIP: 98922AAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       932886 | PA      | $917337.55    | 0.02%             | 2028-11-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       974000 | PA      | $899080.84    | 0.02%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                    | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |       170000 | PA      | $136429.86    | 0.00%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3627514 | PA      | $3187126.57   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       159000 | PA      | $76320.00     | 0.00%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1148631 | PA      | $947680.72    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       452839 | PA      | $401473.93    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28700 | PA      | $27621.11     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                  | Morgan Stanley ABS Capital I Inc Trust 2003-NC10                                | CUSIP: 61746RDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11974 | PA      | $11723.85     | 0.00%             | 2033-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |       260000 | PA      | $230798.75    | 0.01%             | 2030-04-24      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16864 | PA      | $15769.98     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       187859 | PA      | $159982.94    | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       271000 | PA      | $244208.74    | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                    | Principal Life Global Funding II                                                | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |       253000 | PA      | $230499.44    | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       190000 | PA      | $165816.97    | 0.00%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE WEEK 5                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -5 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |       200000 | PA      | $186006.66    | 0.00%             | 2024-06-22      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                        | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1084000 | PA      | $1023178.06   | 0.03%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10490000 | PA      | $10644791.07  | 0.27%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141309 | PA      | $115611.25    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6996423 | PA      | $184957.45    | 0.00%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO XXVII Ltd                                           | CUSIP: 08179PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      4950000 | PA      | $4867929.99   | 0.13%             | 2035-07-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                    | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAD5<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      1170000 | PA      | $993308.99    | 0.03%             | 2047-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2020-3                                   | CUSIP: 80285WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1150997 | PA      | $1140671.64   | 0.03%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       233836 | PA      | $229710.55    | 0.01%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       355000 | PA      | $327923.98    | 0.01%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |       285000 | PA      | $266167.24    | 0.01%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       544859 | PA      | $538025.06    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $1211091.30   | 0.03%             | 2053-09-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2020-4                                   | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1003398 | PA      | $993295.04    | 0.03%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AE5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |       505000 | PA      | $408440.03    | 0.01%             | 2044-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31406NEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          638 | PA      | $639.89       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1402000 | PA      | $1138993.30   | 0.03%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31335HYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7684 | PA      | $7637.36      | 0.00%             | 2023-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       592174 | PA      | $87974.81     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                          | Mattamy Group Corp                                                              | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       372000 | PA      | $302250.00    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       697430 | PA      | $580152.26    | 0.01%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       728000 | PA      | $693374.14    | 0.02%             | 2030-01-10      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BLBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3439440 | PA      | $470360.62    | 0.01%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       752880 | PA      | $664023.47    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       478425 | PA      | $50372.78     | 0.00%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X32J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       262319 | PA      | $258279.63    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      2998000 | PA      | $2272352.93   | 0.06%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus              | Prestige Auto Receivables Trust 2021-1                                          | CUSIP: 74113XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1150000 | PA      | $1129346.46   | 0.03%             | 2025-07-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $2688137.28   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       619000 | PA      | $517663.96    | 0.01%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125488 | PA      | $120047.64    | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                          | Dominican Republic International Bond                                           | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |       328000 | PA      | $320066.50    | 0.01%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106779 | PA      | $102739.13    | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      2750000 | PA      | $2639025.43   | 0.07%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1496000 | PA      | $1287516.44   | 0.03%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-7R 1A1                            | CSMC 2022-7R 1A1                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1248104 | PA      | $1241911.83   | 0.03%             | 2066-10-25      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1070540 | PA      | $690232.75    | 0.02%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                   | Aetna Inc                                                                       | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |        78000 | PA      | $77196.02     | 0.00%             | 2023-06-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Ace Securities Corp.                        | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                      | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135179 | PA      | $125669.17    | 0.00%             | 2034-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                          | Race Point X CLO Ltd                                                            | CUSIP: 74983DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1340872 | PA      | $1316080.79   | 0.03%             | 2031-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1464882 | PA      | $200312.28    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                      | ConocoPhillips Co                                                               | CUSIP: 20826FAC0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |       362000 | PA      | $313517.36    | 0.01%             | 2044-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      1363000 | PA      | $1238860.17   | 0.03%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      1350000 | PA      | $1134345.94   | 0.03%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                            | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       500000 | PA      | $480674.60    | 0.01%             | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138458 | PA      | $132705.27    | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       467326 | PA      | $407274.77    | 0.01%             | 2027-07-31      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1656395 | PA      | $1560528.93   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       430000 | PA      | $401664.59    | 0.01%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12648 | PA      | $11839.80     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2587896 | PA      | $2288056.50   | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383PB42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       713936 | PA      | $12929.38     | 0.00%             | 2052-04-20      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180209 | PA      | $163986.69    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1690139 | PA      | $1436458.13   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS4 Mortgage Trust                                                   | CUSIP: 12591QAP7<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |       438610 | PA      | $438015.11    | 0.01%             | 2047-08-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181906 | PA      | $181116.82    | 0.00%             | 2050-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       441000 | PA      | $364643.44    | 0.01%             | 2050-02-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       292000 | PA      | $275151.91    | 0.01%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                        | Indonesia Treasury Bond                                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 216922000000 | PA      | $13565027.59  | 0.35%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust              | Option One Mortgage Accept Corp Asset Back Certs Ser 2003 5                     | CUSIP: 68400XBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121444 | PA      | $115367.40    | 0.00%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M3HH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       213726 | PA      | $212112.46    | 0.01%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JLUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17900 | PA      | $17067.11     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       242000 | PA      | $230021.00    | 0.01%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1017000 | PA      | $997372.16    | 0.03%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       890000 | PA      | $816377.43    | 0.02%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LXEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5660 | PA      | $5456.48      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       751000 | PA      | $755266.97    | 0.02%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                               | Ares European CLO XI DAC                                                        | CUSIP: 000000000<br>LEI: 6354007OH9MZ1YTNJL79 | Long             | ABS-CBDO         | CORP              | IE        |      5724000 | PA      | $5951996.06   | 0.15%             | 2032-04-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        42271 | PA      | $39210.81     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60537 | PA      | $49531.91     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1170608 | PA      | $1157596.82   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       179329 | PA      | $157715.30    | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2011-12                                           | CUSIP: 17318WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146017 | PA      | $127943.47    | 0.00%             | 2047-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 3133Q5AA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3915007 | PA      | $594803.06    | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1694728 | PA      | $1380971.27   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XPO LOGISTICS INC                           | XPO Inc                                                                         | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |      1070000 | PA      | $1064352.54   | 0.03%             | 2025-02-23      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       456000 | PA      | $405962.18    | 0.01%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383CED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1651087 | PA      | $222529.24    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |       662000 | PA      | $413088.00    | 0.01%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20143700 | PA      | $13807876.86  | 0.36%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       275642 | PA      | $282133.64    | 0.01%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       261880 | PA      | $215176.13    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                            | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |       228000 | PA      | $200669.98    | 0.01%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                              | Newday Funding Master Issuer PLC - Series 2021-1                                | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |       684000 | PA      | $818043.97    | 0.02%             | 2029-03-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       658690 | PA      | $563356.57    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6062154 | PA      | $5885912.70   | 0.15%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                         | Bank of New Zealand                                                             | CUSIP: 06407EAE5<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |      3235000 | PA      | $2874313.35   | 0.07%             | 2027-01-27      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $3217036.85   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5965 | PA      | $6154.37      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1089809 | PA      | $897479.14    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                   | Qorvo Inc                                                                       | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |      3290000 | PA      | $3035469.61   | 0.08%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2019-2                                                   | CUSIP: 52604AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4144419 | PA      | $4022029.57   | 0.10%             | 2028-04-20      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                      | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |       425000 | PA      | $416975.45    | 0.01%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: —       |
| BERKSHIRE HATHAWAY FIN                      | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      1952000 | PA      | $1749941.32   | 0.05%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Laurel Road Prime Student Loan              | Laurel Road Prime Student Loan Trust 2019-A                                     | CUSIP: 51889RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       119409 | PA      | $116015.55    | 0.00%             | 2048-10-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       228971 | PA      | $230012.53    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4230000 | PA      | $4123530.14   | 0.11%             | 2028-07-25      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |       692000 | PA      | $662536.67    | 0.02%             | 2024-11-21      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       100000 | PA      | $86706.12     | 0.00%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBH7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      1125000 | PA      | $962243.99    | 0.02%             | 2029-09-06      | Fixed         | 3.46%                 | No            |                  2 | On Loan: —       |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       705000 | PA      | $679465.66    | 0.02%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                      | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W10    | CUSIP: 040104LM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87319 | PA      | $83552.29     | 0.00%             | 2034-10-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      2280000 | PA      | $2076286.33   | 0.05%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       379025 | PA      | $351725.37    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36235116 | PA      | $34878335.11  | 0.90%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       958005 | PA      | $29816.87     | 0.00%             | 2057-04-16      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       366000 | PA      | $357282.05    | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XV                                                                   | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $492677.05    | 0.01%             | 2031-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| VISA INC                                    | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |       851000 | PA      | $777895.70    | 0.02%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XVI-S Ltd                                                  | CUSIP: 64131TAN4<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |      2755000 | PA      | $2684425.72   | 0.07%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B5FE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        92333 | PA      | $75893.09     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                         | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4898000 | PA      | $4162859.67   | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA4                                         | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       825635 | PA      | $877823.23    | 0.02%             | 2050-08-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31397KL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       300836 | PA      | $21595.64     | 0.00%             | 2037-09-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5447122 | PA      | $189289.68    | 0.00%             | 2026-03-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           28 | NC      | $13562.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |       898000 | PA      | $809305.17    | 0.02%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       217179 | PA      | $212882.90    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52909 | PA      | $54030.35     | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410C3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          864 | PA      | $899.96       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383RWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2354392 | PA      | $34781.20     | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AGGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1658 | PA      | $1652.80      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |       724000 | PA      | $698387.06    | 0.02%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XEE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91862 | PA      | $90157.92     | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GPRB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       256773 | PA      | $227373.74    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       630997 | PA      | $639689.78    | 0.02%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       214000 | PA      | $194634.12    | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2798163 | PA      | $2663369.84   | 0.07%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                    | International Business Machines Corp                                            | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |       715000 | PA      | $696040.29    | 0.02%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       355096 | PA      | $314936.89    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582AY8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |       492000 | PA      | $444673.44    | 0.01%             | 2043-08-12      | Fixed         | 4.55%                 | No            |                  2 | On Loan: —       |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |        58000 | PA      | $57450.71     | 0.00%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       158550 | PA      | $130790.70    | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      1496000 | PA      | $1161285.71   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       597015 | PA      | $588633.06    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       370162 | PA      | $336689.53    | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        49428 | PA      | $47574.26     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |        52000 | PA      | $45408.13     | 0.00%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411CLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15708 | PA      | $16352.45     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2785000 | PA      | $2667810.57   | 0.07%             | 2025-02-04      | Fixed         | 1.84%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1234000 | PA      | $1178699.72   | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                 | Cargill Inc                                                                     | CUSIP: 141781BS2<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      2615000 | PA      | $2067026.51   | 0.05%             | 2031-11-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                              | Merck & Co Inc                                                                  | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |       489000 | PA      | $433386.94    | 0.01%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg              | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170000 | PA      | $158659.33    | 0.00%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                      | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       374000 | PA      | $376161.96    | 0.01%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       395000 | PA      | $365313.74    | 0.01%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136ARGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2967245 | PA      | $500106.26    | 0.01%             | 2046-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10245 | PA      | $10686.98     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       186000 | PA      | $154816.16    | 0.00%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      2445000 | PA      | $1893848.85   | 0.05%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YLYN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148187 | PA      | $133006.99    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                      | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      1835000 | PA      | $1211516.67   | 0.03%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      4210000 | PA      | $3632137.93   | 0.09%             | 2026-07-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |       117000 | PA      | $114070.64    | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184852 | PA      | $176717.37    | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       253000 | PA      | $202151.20    | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                         | Georgia-Pacific LLC                                                             | CUSIP: 373298BN7<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |       758000 | PA      | $804356.45    | 0.02%             | 2025-12-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MAGENTA BUYER LLC                           | Magenta Buyer LLC                                                               | CUSIP: 55910RAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       613100 | PA      | $521901.38    | 0.01%             | 2028-07-27      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C4                                      | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2849000 | PA      | $2484067.32   | 0.06%             | 2052-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      4310000 | PA      | $3488101.71   | 0.09%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      2708000 | PA      | $2639868.62   | 0.07%             | 2024-03-28      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| VOC ESCROW LTD                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       655000 | PA      | $563365.50    | 0.01%             | 2028-02-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        75249 | PA      | $68342.91     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       207000 | PA      | $150548.29    | 0.00%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       611879 | PA      | $519558.69    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313384BK4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      2080000 | PA      | $2071453.74   | 0.05%             | 2023-02-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                        | DH Europe Finance II Sarl                                                       | CUSIP: 000000000<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |       991000 | PA      | $716981.31    | 0.02%             | 2039-09-18      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1019780 | PA      | $61157.55     | 0.00%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                         | CBAM 2019-11R Ltd                                                               | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3040000 | PA      | $2957694.43   | 0.08%             | 2035-01-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        94620 | PA      | $98738.11     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       421000 | PA      | $415028.27    | 0.01%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       255000 | PA      | $280792.85    | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                      | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |        54000 | PA      | $51821.17     | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                         | NOVA Chemicals Corp                                                             | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |       378000 | PA      | $365242.50    | 0.01%             | 2024-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                             | Venture XVIII CLO Ltd                                                           | CUSIP: 92329FAP2<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |      2256302 | PA      | $2231367.35   | 0.06%             | 2029-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| EIG PEARL HOLDINGS SARL                     | EIG Pearl Holdings Sarl                                                         | CUSIP: 28249NAA9<br>LEI: 549300KIMRL45BWA5H76 | Long             | DBT              | CORP              | LU        |      1600000 | PA      | $1341800.00   | 0.03%             | 2036-08-31      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        43788 | PA      | $36141.42     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          -32 | NC      | $127878.38    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      1005000 | PA      | $904957.38    | 0.02%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       275000 | PA      | $264316.28    | 0.01%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      2319000 | PA      | $1897231.76   | 0.05%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       352594 | PA      | $348491.91    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1080000 | PA      | $944790.06    | 0.02%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       414760 | PA      | $407069.74    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       212169 | PA      | $205422.28    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31470 | PA      | $30914.51     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       540000 | PA      | $413458.96    | 0.01%             | 2050-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       975447 | PA      | $964388.60    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |       551000 | PA      | $403883.00    | 0.01%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GR                    | PeaceHealth Obligated Group                                                     | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       168000 | PA      | $150486.82    | 0.00%             | 2025-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                     | Sasol Financing USA LLC                                                         | CUSIP: 80386WAB1<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |       470000 | PA      | $426055.30    | 0.01%             | 2028-09-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       524212 | PA      | $515908.59    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MPZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16555 | PA      | $16169.29     | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       237388 | PA      | $194157.02    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                          | Ohio Power Co                                                                   | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |       328000 | PA      | $259751.58    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXVI Ltd                                                           | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       272000 | PA      | $265099.12    | 0.01%             | 2033-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QBJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171240 | PA      | $157315.51    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 5 Ltd                                                                   | CUSIP: 74923EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       430000 | PA      | $419345.33    | 0.01%             | 2032-07-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Greenwood Park CLO, Ltd                     | Greenwood Park CLO Ltd                                                          | CUSIP: 39729RAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3126000 | PA      | $3085008.14   | 0.08%             | 2031-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       784193 | PA      | $719561.10    | 0.02%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $10968.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418M4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11012 | PA      | $11041.13     | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200325 | PA      | $186151.95    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        17000 | PA      | $16738.28     | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      2545000 | PA      | $2430086.15   | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        86766 | PA      | $74705.88     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      1315000 | PA      | $1103411.02   | 0.03%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       675000 | PA      | $470414.46    | 0.01%             | 2041-08-12      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YTF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1017 | PA      | $1015.12      | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1600000 | PA      | $1551985.07   | 0.04%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                    | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568QAC1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |       232000 | PA      | $220400.00    | 0.01%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FUGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11946 | PA      | $11121.51     | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416NBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          345 | PA      | $343.69       | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        54000 | PA      | $58668.92     | 0.00%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAR9<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      1595000 | PA      | $1573453.80   | 0.04%             | 2027-07-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       187000 | PA      | $145300.04    | 0.00%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66261 | PA      | $67097.51     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2101659.58   | 0.05%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      2081000 | PA      | $1612691.76   | 0.04%             | 2031-07-13      | Fixed         | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171393 | PA      | $153409.40    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                  | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |      2975000 | PA      | $2571827.85   | 0.07%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                         | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |       261000 | PA      | $258494.22    | 0.01%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| GoldenTree Loan Opportunities               | Goldentree Loan Opportunities XI Ltd                                            | CUSIP: 38137HBU1<br>LEI: 549300ZH5R2TCUAYC824 | Long             | ABS-CBDO         | CORP              | KY        |       260000 | PA      | $256897.13    | 0.01%             | 2031-01-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEMU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1502492 | PA      | $1437346.28   | 0.04%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       453423 | PA      | $402044.96    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84176 | PA      | $78715.23     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |        13000 | PA      | $12883.76     | 0.00%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416LHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3056 | PA      | $3050.49      | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |       270000 | PA      | $229336.84    | 0.01%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       844992 | PA      | $743156.27    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                    | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       134000 | PA      | $125280.96    | 0.00%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |       871000 | PA      | $641697.75    | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1034834 | PA      | $1022792.53   | 0.03%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-6                                      | CUSIP: 64828GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1930645 | PA      | $1722032.15   | 0.04%             | 2059-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       231000 | PA      | $224606.97    | 0.01%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31402CVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10391 | PA      | $10714.93     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2395063.20   | 0.06%             | 2053-07-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 30 Day Federal Funds                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -47 | NC      | $-1068.55     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137APW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       276682 | PA      | $21053.65     | 0.00%             | 2039-08-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                | Calpine Corp                                                                    | CUSIP: 131347CQ7<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |        60000 | PA      | $50544.27     | 0.00%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                            | OZLM Funding IV Ltd                                                             | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |       284539 | PA      | $280429.86    | 0.01%             | 2030-10-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2021-REV1                                          | CUSIP: 345340AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       398000 | PA      | $348883.70    | 0.01%             | 2033-10-17      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65430 | PA      | $62323.91     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45496 | PA      | $44050.05     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      4250000 | PA      | $3847149.43   | 0.10%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      1182000 | PA      | $822450.38    | 0.02%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        51113 | PA      | $48954.64     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                | Calpine Corp                                                                    | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |        39000 | PA      | $33606.81     | 0.00%             | 2029-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329JPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       278715 | PA      | $260890.70    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPER                 | Charter Communications Operating LLC                                            | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |       420302 | PA      | $417208.11    | 0.01%             | 2025-04-30      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS JPY                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |            1 | NC      | $-1219186.39  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      6601000 | PA      | $4978209.70   | 0.13%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       600000 | PA      | $601522.72    | 0.02%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31403WG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8153 | PA      | $8183.03      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                         | American Express Co                                                             | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      2535000 | PA      | $2633714.75   | 0.07%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312928W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5959 | PA      | $6210.67      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42141 | PA      | $40421.18     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1186413 | PA      | $981405.62    | 0.03%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123240 | PA      | $115228.96    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80865 | PA      | $72305.00     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       247499 | PA      | $233184.91    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                             | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |       214000 | PA      | $180521.17    | 0.00%             | 2031-07-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35525000 | PA      | $31184289.06  | 0.80%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79561 | PA      | $80916.33     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        70185 | PA      | $68924.65     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2145000 | PA      | $1694138.82   | 0.04%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-GC43                                   | CUSIP: 17328HBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3008000 | PA      | $2619623.88   | 0.07%             | 2052-11-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       307000 | PA      | $292499.67    | 0.01%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       307928 | PA      | $295642.19    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPGI Trust                                  | TPGI Trust 2021-DGWD                                                            | CUSIP: 87267HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       710000 | PA      | $683947.33    | 0.02%             | 2026-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CF0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       945000 | PA      | $608338.34    | 0.02%             | 2059-03-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2014-GC26                                          | CUSIP: 36250HAD5<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |      1138872 | PA      | $1091700.32   | 0.03%             | 2047-11-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |       519000 | PA      | $312675.21    | 0.01%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                       | Mountain View CLO X Ltd                                                         | CUSIP: 62432CAU5<br>LEI: 549300RHYK4B5L898W39 | Long             | ABS-CBDO         | CORP              | KY        |      1135000 | PA      | $1123593.70   | 0.03%             | 2027-10-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-C LLC                                            | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       127000 | PA      | $103654.90    | 0.00%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      4250000 | PA      | $3834847.42   | 0.10%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1260312 | PA      | $1203272.45   | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                     | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |       370000 | PA      | $344738.41    | 0.01%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AR0<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |        30000 | PA      | $27786.77     | 0.00%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE22 Mortgage Trust                                                 | CUSIP: 12592XBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       959018 | PA      | $957710.31    | 0.02%             | 2048-03-10      | Fixed         | 3.21%                 | Yes           |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                          | Long Gilt                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |           57 | NC      | $-380309.87   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      5754000 | PA      | $4926782.40   | 0.13%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      1431000 | PA      | $1462333.83   | 0.04%             | 2025-05-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9753 | PA      | $9144.69      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      1472000 | PA      | $1271810.88   | 0.03%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| YMCA OF GREATER NY                          | YMCA of Greater New York                                                        | CUSIP: 98425BAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1540000 | PA      | $1370254.79   | 0.04%             | 2026-08-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       392908 | PA      | $336040.39    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800000 | PA      | $626279.28    | 0.02%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                           | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1247000 | PA      | $1233241.47   | 0.03%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XUAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       184379 | PA      | $171024.71    | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          389 | NC      | $66904.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M8J38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1137970 | PA      | $1035448.93   | 0.03%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313384AM1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      2220000 | PA      | $2215991.04   | 0.06%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1217760 | PA      | $1134862.62   | 0.03%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 4-R Ltd                                                   | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |      1959037 | PA      | $1937045.29   | 0.05%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                     | Glencore Finance Canada Ltd                                                     | CUSIP: 98417EAR1<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |        50000 | PA      | $45084.63     | 0.00%             | 2042-10-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      2764000 | PA      | $2041007.92   | 0.05%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       178000 | PA      | $146386.68    | 0.00%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                      | Indian Railway Finance Corp Ltd                                                 | CUSIP: 000000000<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |       200000 | PA      | $195350.00    | 0.01%             | 2024-03-29      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1099563 | PA      | $1029156.19   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAA0<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       457000 | PA      | $430313.14    | 0.01%             | 2025-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                         | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1220000 | PA      | $1007333.31   | 0.03%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       581000 | PA      | $538589.60    | 0.01%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296AJC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        28850 | PA      | $29251.16     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable              | OneMain Direct Auto Receivables Trust 2019-1                                    | CUSIP: 68267EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2309000 | PA      | $2216109.85   | 0.06%             | 2027-09-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796Z85<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7350000 | PA      | $7278256.21   | 0.19%             | 2023-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56806 | PA      | $53174.38     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 94973VBF3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       555000 | PA      | $528720.54    | 0.01%             | 2044-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133A2JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        74950 | PA      | $66744.80     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                      | American Airlines 2015-2 Class AA Pass Through Trust                            | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       125961 | PA      | $112983.55    | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                     | Mexican Bonos                                                                   | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    327730000 | PA      | $15005086.05  | 0.39%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          641 | NC      | $-1046632.40  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN INTL GROUP                         | American International Group Inc                                                | CUSIP: 026874DH7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |        20000 | PA      | $19346.28     | 0.00%             | 2026-04-01      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JAFJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       937455 | PA      | $928888.30    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TFS_18-3-A1                                 | TFS_18-3-A1                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |      3983530 | PA      | $4042433.22   | 0.10%             | 2023-03-16      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11887000 | PA      | $9791916.25   | 0.25%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Bank                                        | BANK 2019-BNK20                                                                 | CUSIP: 06540AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3037497 | PA      | $2634369.14   | 0.07%             | 2062-09-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AKZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1379897 | PA      | $1207834.67   | 0.03%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       720000 | PA      | $671673.86    | 0.02%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MK4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       113000 | PA      | $94094.05     | 0.00%             | N/A             | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      2705000 | PA      | $2541885.06   | 0.07%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3200019 | PA      | $519386.46    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS TRSBENCH7 INDEX                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |            1 | NC      | $-420704.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3789623 | PA      | $3233465.28   | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      1755000 | PA      | $1219725.00   | 0.03%             | 2031-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2021-2 Ltd                                                             | CUSIP: 26982AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      4115213 | PA      | $4090793.89   | 0.11%             | 2034-04-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181920 | PA      | $149305.39    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11195 | PA      | $11334.45     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3434142 | PA      | $2284479.16   | 0.06%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36180DPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16738 | PA      | $15745.63     | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AFGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       745988 | PA      | $610130.17    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31414LB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9489 | PA      | $9840.35      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |       253000 | PA      | $234055.67    | 0.01%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HE5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64542 | PA      | $61759.37     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7C51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       355685 | PA      | $349434.59    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                      | CenterPoint Energy Resources Corp                                               | CUSIP: 15189WAH3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |       251000 | PA      | $252473.00    | 0.01%             | 2041-01-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       860000 | PA      | $933737.57    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       385884 | PA      | $370998.23    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      2363000 | PA      | $2391028.35   | 0.06%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Stacr Remic Trust 2020-DNA1                                         | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |      2143000 | PA      | $2020729.42   | 0.05%             | 2050-01-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $947350.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |       350000 | PA      | $296730.58    | 0.01%             | 2031-05-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: —       |
| COMMONSPIRIT HEALTH                         | CommonSpirit Health                                                             | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |       214000 | PA      | $179882.29    | 0.00%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       170000 | PA      | $159912.73    | 0.00%             | 2025-05-06      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       829000 | PA      | $694306.32    | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128311 | PA      | $125936.46    | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MNZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44045 | PA      | $42188.75     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MLBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       241069 | PA      | $231056.69    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                             | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      1497000 | PA      | $1154325.32   | 0.03%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7XD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       100000 | PA      | $77655.34     | 0.00%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QCP5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       335000 | PA      | $286043.10    | 0.01%             | 2029-01-23      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4810000 | PA      | $4048926.69   | 0.10%             | 2046-07-17      | Fixed         | 2.40%                 | Yes           |                  2 | On Loan: No      |
| HUNTER DOUGLAS INC                          | Hunter Douglas Inc                                                              | CUSIP: 000000000<br>LEI: 529900811T142NS3H544 | Long             | LON              | CORP              | US        |      1462847 | PA      | $1283282.89   | 0.03%             | 2029-02-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QM6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96836 | PA      | $88062.32     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| St Pauls CLO                                | St Paul's CLO V DAC                                                             | CUSIP: 000000000<br>LEI: 635400LOBVY9OW2EI809 | Long             | ABS-CBDO         | CORP              | IE        |      4145938 | PA      | $4337729.01   | 0.11%             | 2030-02-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71555 | PA      | $65080.24     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       370960 | PA      | $326282.15    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WUHY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        58173 | PA      | $56818.37     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANK                            | Fifth Third Bank NA                                                             | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |      2195000 | PA      | $2215473.03   | 0.06%             | 2025-10-27      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413JS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14363 | PA      | $14899.67     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO VIII Ltd                                                          | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |       870890 | PA      | $855991.04    | 0.02%             | 2030-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MDZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297882 | PA      | $285405.00    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       113120 | PA      | $101656.13    | 0.00%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        87355 | PA      | $75111.33     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       385000 | PA      | $332519.88    | 0.01%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J56M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72307 | PA      | $71031.28     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82126 | PA      | $78967.76     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SALT RIVER AZ PROJ AGRIC IMPT               | Salt River Project Agricultural Improvement & Power District                    | CUSIP: 79575DE63<br>LEI: SHB8HO6GKXJ83RX5OV39 | Long             | DBT              | MUN               | US        |       515000 | PA      | $502302.05    | 0.01%             | 2041-01-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1489000 | PA      | $1089544.31   | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | Americredit Automobile Receivables Trust 2019-2                                 | CUSIP: 03066KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       756110 | PA      | $748605.30    | 0.02%             | 2025-04-18      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | AUDUSD EURO CURRENCY 9AM                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |            4 | NC      | $5040.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       430000 | PA      | $378864.26    | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        58916 | PA      | $57436.42     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       444647 | PA      | $390308.74    | 0.01%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5400000 | PA      | $5425132.14   | 0.14%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |        68000 | PA      | $60598.20     | 0.00%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VI Ltd                                                                     | CUSIP: 67108LAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5126996 | PA      | $5010356.35   | 0.13%             | 2031-04-17      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35795 | PA      | $34356.11     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11371360 | PA      | $10168803.63  | 0.26%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       787700 | PA      | $763412.43    | 0.02%             | 2024-11-03      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2022-4                                   | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3245000 | PA      | $3139588.77   | 0.08%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                       | Mountain View CLO IX Ltd                                                        | CUSIP: 62432BAN3<br>LEI: 549300URXZ1TS31FK720 | Long             | ABS-CBDO         | CORP              | KY        |      2083000 | PA      | $2041412.70   | 0.05%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XVIII                                                                | CUSIP: 03767NAC0<br>LEI: 549300LPFPUEJZX23R93 | Long             | ABS-CBDO         | CORP              | KY        |       250000 | PA      | $246786.08    | 0.01%             | 2030-10-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ANV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20243 | PA      | $18281.13     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       127000 | PA      | $125228.85    | 0.00%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                        | Taylor Morrison Communities Inc                                                 | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |       499000 | PA      | $434187.68    | 0.01%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2020-GS5                                            | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2219130 | PA      | $2183031.84   | 0.06%             | 2060-06-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304033 | PA      | $282237.02    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AHQK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       738728 | PA      | $40087.94     | 0.00%             | 2041-09-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $10968.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       309397 | PA      | $295012.49    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |        60000 | PA      | $54049.74     | 0.00%             | 2052-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1383000 | PA      | $1022696.76   | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          696 | PA      | $715.45       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merit                                       | MHP 2021-STOR                                                                   | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $675376.80    | 0.02%             | 2038-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10310 | PA      | $9650.97      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       455344 | PA      | $394600.30    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11634 | PA      | $11665.59     | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        12120 | PA      | $12637.50     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       200000 | PA      | $198731.46    | 0.01%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2021-3                                   | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3145000 | PA      | $3025000.01   | 0.08%             | 2027-09-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                    | Brookfield Residential Properties Inc / Brookfield Residential US LLC           | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       378000 | PA      | $298620.00    | 0.01%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                     | AEP Transmission Co LLC                                                         | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |       105000 | PA      | $66846.77     | 0.00%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1041948 | PA      | $1066597.56   | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90590 | PA      | $84039.39     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        58109 | PA      | $55407.97     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                    | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       697545 | PA      | $694996.53    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1100000 | PA      | $979758.53    | 0.03%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       800836 | PA      | $679641.86    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                          | Royalty Pharma PLC                                                              | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |      3680000 | PA      | $2870688.51   | 0.07%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7033 | PA      | $6738.70      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                    | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CE0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |       323000 | PA      | $218159.97    | 0.01%             | 2049-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        31377 | PA      | $29929.47     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6V93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38351 | PA      | $37598.59     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -28 | NC      | $-5687.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA CORP                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       366000 | PA      | $272465.50    | 0.01%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2015-4                                                | CUSIP: 89171UAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145000 | PA      | $1109944.91   | 0.03%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      2070000 | PA      | $1966175.59   | 0.05%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       171000 | PA      | $158226.74    | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |       568000 | PA      | $436595.35    | 0.01%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       622805 | PA      | $533669.99    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       148375 | PA      | $138780.30    | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | ARES LII CLO Ltd                                                                | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       990000 | PA      | $975655.49    | 0.03%             | 2031-04-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SETANTA AIRCRAFT LEASING                    | Setanta Aircraft Leasing DAC                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |       730000 | PA      | $724981.25    | 0.02%             | 2028-11-05      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                     | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |      2250000 | PA      | $2179742.45   | 0.06%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1300000 | PA      | $1250882.40   | 0.03%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -7500000 | PA      | $-6348857.33  | -0.16%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONTL AIRLINES 2012-2 A                     | Continental Airlines 2012-2 Class A Pass Through Trust                          | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       142420 | PA      | $135888.55    | 0.00%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       788000 | PA      | $785232.09    | 0.02%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30079 | PA      | $29847.12     | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MP4D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497532 | PA      | $436816.86    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $33385.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1959757 | PA      | $1602363.67   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-H4                                          | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405000 | PA      | $383691.05    | 0.01%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4080403 | PA      | $583533.16    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       125458 | PA      | $117987.60    | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                       | Sixth Street CLO XIX Ltd                                                        | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $6816989.90   | 0.18%             | 2034-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       852222 | PA      | $726558.76    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       640000 | PA      | $589059.97    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                                      | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |      1031000 | PA      | $1008791.58   | 0.03%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       311861 | PA      | $306659.04    | 0.01%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $198219.46    | 0.01%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WVAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25029 | PA      | $24346.65     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93517 | PA      | $79768.45     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GAINWELL ACQUISITION COR                    | Gainwell Acquisition Corp                                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       978162 | PA      | $923140.05    | 0.02%             | 2027-10-01      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBD5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |       277000 | PA      | $225446.22    | 0.01%             | 2047-09-30      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable              | Westlake Automobile Receivables Trust 2022-2                                    | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2560000 | PA      | $2492489.47   | 0.06%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| OHIO ST UNIV                                | Ohio State University/The                                                       | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |       865000 | PA      | $726867.02    | 0.02%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X4ZF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51958 | PA      | $50989.43     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3170889 | PA      | $2789167.50   | 0.07%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      3335000 | PA      | $2878687.29   | 0.07%             | 2027-10-19      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      2256000 | PA      | $1840329.76   | 0.05%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BM5<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |        69000 | PA      | $63822.67     | 0.00%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1967000 | PA      | $1877746.19   | 0.05%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: —       |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       700000 | PA      | $686696.14    | 0.02%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WAZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26877 | PA      | $26376.42     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      2820000 | PA      | $2464773.06   | 0.06%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       172910 | PA      | $184055.11    | 0.00%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       526000 | PA      | $504444.59    | 0.01%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |       827000 | PA      | $569114.03    | 0.01%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27910 | PA      | $26122.96     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       164000 | PA      | $158749.96    | 0.00%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                         | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       505000 | PA      | $491136.03    | 0.01%             | 2025-05-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| NATWEST GROUP PLC                           | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |       614000 | PA      | $577658.08    | 0.01%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680AZ6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      2732000 | PA      | $2045589.94   | 0.05%             | 2049-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413FJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          757 | PA      | $768.72       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            9 | NC      | $8296.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            3 | NC      | $2531.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           -6 | NC      | $-656.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                     | Bahamas Government International Bond                                           | CUSIP: 056732AG5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |       441000 | PA      | $331108.31    | 0.01%             | 2029-11-20      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |       322000 | PA      | $291066.50    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6435000 | PA      | $5944131.12   | 0.15%             | 2037-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3047751 | PA      | $2611741.65   | 0.07%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5159000 | PA      | $4411427.88   | 0.11%             | 2057-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |       462000 | PA      | $470989.27    | 0.01%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6177 | PA      | $6123.22      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE              | Port Authority of New York & New Jersey                                         | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       515000 | PA      | $498575.41    | 0.01%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2019-RIO                                                                   | CUSIP: 12597HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8824956 | PA      | $8820805.39   | 0.23%             | 2022-12-15      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                     | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |       535000 | PA      | $476751.88    | 0.01%             | 2028-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2017-BRBK Mortgage Trust                                                  | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $470012.80    | 0.01%             | 2034-10-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1082024 | PA      | $912087.91    | 0.02%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371LEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1039 | PA      | $1071.05      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2019-PR1                                            | CUSIP: 52475MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2333799 | PA      | $2332333.40   | 0.06%             | 2059-09-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       273458 | PA      | $245586.39    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31292SB33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       266997 | PA      | $256028.45    | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WRJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55479 | PA      | $53794.33     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       220000 | PA      | $209986.39    | 0.01%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66239 | PA      | $61685.77     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      6555000 | PA      | $6207651.34   | 0.16%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      5110000 | PA      | $4874562.17   | 0.13%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      1009000 | PA      | $809500.47    | 0.02%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1151437 | PA      | $1068228.72   | 0.03%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4858601 | PA      | $4266193.43   | 0.11%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |       155000 | PA      | $144706.38    | 0.00%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       215000 | PA      | $208443.31    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410KK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8697 | PA      | $9000.97      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo              | Structured Asset Investment Loan Trust 2004-BNC1                                | CUSIP: 86358EKX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       289018 | PA      | $275328.17    | 0.01%             | 2034-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29973 | PA      | $29379.93     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H3PZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        29672 | PA      | $26484.90     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-7                                               | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2978295 | PA      | $2499031.11   | 0.06%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Bravo Mortgage Asset Trust                  | Bravo Mortgage Asset Trust                                                      | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4608924 | PA      | $3890234.29   | 0.10%             | 2036-07-25      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90579 | PA      | $92122.18     | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1098.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust              | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                           | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       197000 | PA      | $171951.19    | 0.00%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MX4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       980697 | PA      | $943984.19    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1487138 | PA      | $1412469.16   | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Struct              | Freddie Mac Structured Pass-Through Certificates FRESR 2017-SR01                | CUSIP: 3137FCJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       258262 | PA      | $239887.08    | 0.01%             | 2027-11-25      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |       100000 | PA      | $92876.71     | 0.00%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1292 | PA      | $1318.63      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       258737 | PA      | $213552.34    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XJ4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31990 | PA      | $31530.49     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       500000 | PA      | $471513.72    | 0.01%             | 2032-10-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       250618 | PA      | $234031.47    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181629 | PA      | $161871.24    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181603 | PA      | $187398.91    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS TREASURY BOND                                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |            1 | NC      | $73876.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                          | Cenovus Energy Inc                                                              | CUSIP: 15135UAR0<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |       186000 | PA      | $167970.09    | 0.00%             | 2047-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W1VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7475 | PA      | $6676.49      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      4260000 | PA      | $4003498.07   | 0.10%             | 2026-02-18      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84994 | PA      | $79434.68     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP                       | Citadel Securities LP                                                           | CUSIP: 17288YAD4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |       161779 | PA      | $158341.18    | 0.00%             | 2028-02-02      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |        73000 | PA      | $70336.96     | 0.00%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371RLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34320 | PA      | $34411.92     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       538254 | PA      | $501981.71    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       148171 | PA      | $145525.18    | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                     | Hungary Government International Bond                                           | CUSIP: 445545AP1<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |      2420000 | PA      | $2300966.25   | 0.06%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle Global Market Strategies CLO 2015-5 Ltd                                 | CUSIP: 14312JAY8<br>LEI: 5493007AYUHLOG0AMH17 | Long             | ABS-CBDO         | CORP              | KY        |      8300000 | PA      | $8146371.15   | 0.21%             | 2032-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        98924 | PA      | $95123.44     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1115000 | PA      | $1021329.23   | 0.03%             | 2032-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H7BF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       562825 | PA      | $9701.87      | 0.00%             | 2052-05-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       846000 | PA      | $702226.71    | 0.02%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3454929 | PA      | $182626.52    | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS GBP                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |            1 | NC      | $215919.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       380554 | PA      | $312405.22    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       133294 | PA      | $110513.24    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                         | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3500000 | PA      | $3112256.77   | 0.08%             | 2026-12-01      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp II                                                  | CUSIP: 36255TAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |      5876171 | PA      | $4923714.43   | 0.13%             | 2031-09-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       407000 | PA      | $313658.87    | 0.01%             | 2049-01-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR1                                                  | CUSIP: 74331FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5479315 | PA      | $4721728.07   | 0.12%             | 2038-04-17      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417ADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171567 | PA      | $169585.59    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                         | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |       830000 | PA      | $755300.00    | 0.02%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KXXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3305303 | PA      | $2701751.60   | 0.07%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2018-EXP1 Trust                                                             | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175656 | PA      | $160361.48    | 0.00%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |        66000 | PA      | $66177.20     | 0.00%             | 2025-02-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AL1<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |       348000 | PA      | $167826.48    | 0.00%             | 2031-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       128967 | PA      | $120915.18    | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3131WLCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        99049 | PA      | $101032.12    | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       753730 | PA      | $438184.85    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AETNA INC                                   | Aetna Inc                                                                       | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |       469000 | PA      | $501000.64    | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2022-2                                                   | CUSIP: 68377HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1658734 | PA      | $1645065.88   | 0.04%             | 2029-10-09      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAL0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       771000 | PA      | $603589.74    | 0.02%             | 2048-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                    | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |       370000 | PA      | $331279.50    | 0.01%             | 2029-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SEALED AIR CORP                             | Sealed Air Corp                                                                 | CUSIP: 81211KAW0<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |       355000 | PA      | $351061.73    | 0.01%             | 2024-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       135603 | PA      | $129718.16    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       230000 | PA      | $215409.98    | 0.01%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |       443000 | PA      | $418744.03    | 0.01%             | 2027-03-27      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: —       |
| NVIDIA CORP                                 | NVIDIA Corp                                                                     | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |       263000 | PA      | $229730.22    | 0.01%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                 | CUSIP: 46651MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $455663.30    | 0.01%             | 2036-07-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       599279 | PA      | $588208.96    | 0.02%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ST                                    | State of Texas                                                                  | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |       400000 | PA      | $421998.29    | 0.01%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr              | Credit Acceptance Auto Loan Trust 2021-2                                        | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1370000 | PA      | $1317522.42   | 0.03%             | 2030-02-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162562 | PA      | $162243.67    | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                           | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |      2735000 | PA      | $2312998.44   | 0.06%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        87000 | PA      | $85982.88     | 0.00%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                             | State of Israel                                                                 | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |       240000 | PA      | $182670.00    | 0.00%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5816000 | PA      | $4813198.88   | 0.12%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                           | General Mills Inc                                                               | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |       655000 | PA      | $657025.61    | 0.02%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       410000 | PA      | $330178.13    | 0.01%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |            1 | NC      | $-90767.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KEYCORP                                     | KeyCorp                                                                         | CUSIP: 49326EEJ8<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |       660000 | PA      | $555991.25    | 0.01%             | 2029-10-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CO                                 | Southern Co/The                                                                 | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      2150000 | PA      | $2144610.87   | 0.06%             | 2027-08-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       462000 | PA      | $403313.36    | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust                                                                       | CUSIP: 12569DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4644063 | PA      | $4435519.32   | 0.11%             | 2062-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1280000 | PA      | $962400.00    | 0.02%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                         | Nigeria Government International Bond                                           | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |       230000 | PA      | $184862.50    | 0.00%             | 2027-11-28      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LUFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1613878 | PA      | $1421767.98   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2019-1 Ltd                                                             | CUSIP: 92917NAJ7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |      1368000 | PA      | $1346634.71   | 0.03%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAS8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      3075000 | PA      | $1546355.69   | 0.04%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H4HW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40620 | PA      | $39724.22     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK26                                                                 | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6236019 | PA      | $5494330.60   | 0.14%             | 2063-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1308786 | PA      | $104146.89    | 0.00%             | 2034-09-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162304 | PA      | $133963.24    | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       545000 | PA      | $567368.71    | 0.01%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3620C5BR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7429 | PA      | $7302.19      | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       360000 | PA      | $333524.90    | 0.01%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       544000 | PA      | $506137.83    | 0.01%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141880 | PA      | $137368.41    | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                            | Trestles Clo IV Ltd                                                             | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |       580000 | PA      | $563274.71    | 0.01%             | 2034-07-21      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3000000 | PA      | $2813214.21   | 0.07%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        20559 | PA      | $19162.81     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3950260 | PA      | $177955.65    | 0.00%             | 2029-06-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       258000 | PA      | $231860.25    | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1162194 | PA      | $188148.24    | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       228406 | PA      | $223761.09    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PORT AUTH OF NEW YORK & NEW JE              | Port Authority of New York & New Jersey                                         | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |       185000 | PA      | $194508.76    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                 | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       146000 | PA      | $112714.74    | 0.00%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       533908 | PA      | $488777.06    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-2                                                 | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3907181 | PA      | $3532645.73   | 0.09%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       664000 | PA      | $643036.35    | 0.02%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36296QH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       182901 | PA      | $186583.61    | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-NXS5                                 | CUSIP: 95000CBA0<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |      1416000 | PA      | $1329696.92   | 0.03%             | 2059-01-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       306981 | PA      | $265456.28    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SCIENTIFIC GAMES INTERNATIO                 | Scientific Games International Inc                                              | CUSIP: 000000000<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |       975100 | PA      | $960066.88    | 0.02%             | 2029-04-14      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3359591 | PA      | $3203341.02   | 0.08%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3MG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       173240 | PA      | $179636.80    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |        59000 | PA      | $52501.64     | 0.00%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       112000 | PA      | $111385.84    | 0.00%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGKP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       481984 | PA      | $425971.61    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       187698 | PA      | $158215.33    | 0.00%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                      | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |       380000 | PA      | $366483.29    | 0.01%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5547 | PA      | $5746.68      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $1139497.81   | 0.03%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       559000 | PA      | $443202.99    | 0.01%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd              | HPS Loan Management 10-2016 Ltd                                                 | CUSIP: 40436TAS5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |       970000 | PA      | $948353.97    | 0.02%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9PU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        59121 | PA      | $63504.61     | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      3575000 | PA      | $3061699.64   | 0.08%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       304000 | PA      | $285542.21    | 0.01%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       372464 | PA      | $365928.26    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VKNG                                          | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2313791 | PA      | $2257861.60   | 0.06%             | 2037-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-1745                                 | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150000 | PA      | $128143.79    | 0.00%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18000 | PA      | $17754.77     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                     | Daimler Trucks Finance North America LLC                                        | CUSIP: 233853AL4<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |      4750000 | PA      | $4557429.44   | 0.12%             | 2025-04-07      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140E7FY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5420 | PA      | $5171.46      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       135679 | PA      | $133143.18    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2021-1                                         | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1756000 | PA      | $1677812.52   | 0.04%             | 2036-06-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      4700000 | PA      | $4066855.01   | 0.10%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      1535000 | PA      | $1282318.83   | 0.03%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                     | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |       510000 | PA      | $416455.80    | 0.01%             | 2032-01-12      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1303289 | PA      | $82254.21     | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                    | Kaiser Foundation Hospitals                                                     | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |       285000 | PA      | $193808.67    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       174299 | PA      | $162978.56    | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |       190000 | PA      | $171483.21    | 0.00%             | 2027-03-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       692000 | PA      | $479616.90    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC21 Mortgage Trust                                                   | CUSIP: 12593FBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3436032 | PA      | $3256046.23   | 0.08%             | 2048-07-10      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       487841 | PA      | $386900.70    | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       440000 | PA      | $403614.04    | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31413R3W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7310 | PA      | $7579.82      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21614379 | PA      | $19246083.87  | 0.50%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2020-1 Ltd                                                              | CUSIP: 43731WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |       223962 | PA      | $224035.84    | 0.01%             | 2030-10-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL BV                     | Equate Petrochemical BV                                                         | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |       409000 | PA      | $390288.25    | 0.01%             | 2026-11-03      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Bank of America, National Association       | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-849922.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      3650000 | PA      | $3140790.69   | 0.08%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: —       |
| Retiro Mortgage Securities                  | Retiro Mortgage Securities DAC                                                  | CUSIP: 000000000<br>LEI: 635400CU9HBU644YSL41 | Long             | ABS-MBS          | CORP              | IE        |       633353 | PA      | $671428.98    | 0.02%             | 2075-07-30      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1376970 | PA      | $1380665.90   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |       440507 | PA      | $399138.84    | 0.01%             | 2047-11-16      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9171 | PA      | $9574.19      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2400000 | PA      | $2363781.38   | 0.06%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       284892 | PA      | $243287.93    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       582436 | PA      | $557888.12    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3026524 | PA      | $2554553.15   | 0.07%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       278000 | PA      | $266415.43    | 0.01%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2303000 | PA      | $1845274.37   | 0.05%             | 2057-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ELP 2021-ELP                                | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       870000 | PA      | $835074.55    | 0.02%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                       | Reynolds American Inc                                                           | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |       264000 | PA      | $259054.56    | 0.01%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       453000 | PA      | $431262.24    | 0.01%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3138975 | PA      | $2575242.18   | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -738 | NC      | $703520.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XIX Ltd                                                    | CUSIP: 55819QAY3<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |       687457 | PA      | $680428.57    | 0.02%             | 2028-01-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       308691 | PA      | $296750.15    | 0.01%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       493110 | PA      | $424573.19    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       394000 | PA      | $381098.73    | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-LC24                                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |      2426735 | PA      | $2213430.64   | 0.06%             | 2049-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131987000 | PA      | $127005320.95 | 3.28%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 5 Ltd                                                           | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7626000 | PA      | $7472241.54   | 0.19%             | 2031-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1003000 | PA      | $921180.05    | 0.02%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2345807 | PA      | $2082270.33   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                | Calpine Corp                                                                    | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |       651000 | PA      | $620860.93    | 0.02%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Onslow Bay Financial LLC                    | OBX 2018-1 Trust                                                                | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121829 | PA      | $114576.87    | 0.00%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44622 | PA      | $41704.74     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KHPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       485241 | PA      | $427835.99    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2606036 | PA      | $2408906.22   | 0.06%             | 2054-12-10      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FM86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       212494 | PA      | $212078.64    | 0.01%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      1775000 | PA      | $1566240.94   | 0.04%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2370000 | PA      | $2228475.28   | 0.06%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410F5Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9192 | PA      | $9596.46      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22202 | PA      | $21779.74     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                       | CUSIP: 3136FLEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400178 | PA      | $14529.95     | 0.00%             | 2026-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       458937 | PA      | $405510.75    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                      | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |      1055000 | PA      | $1094612.10   | 0.03%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16789 | PA      | $17568.38     | 0.00%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-MH1                                              | CUSIP: 89177WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       348019 | PA      | $341036.82    | 0.01%             | 2058-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41830000 | PA      | $34027042.68  | 0.88%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       474000 | PA      | $454101.13    | 0.01%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                             | Bermuda Government International Bond                                           | CUSIP: 085209AD6<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |       865000 | PA      | $828399.69    | 0.02%             | 2027-01-25      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      2692000 | PA      | $2335646.50   | 0.06%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                         | American Express Co                                                             | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       435000 | PA      | $357789.65    | 0.01%             | N/A             | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19736000 | PA      | $17315759.72  | 0.45%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       102296 | PA      | $95472.85     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                      | Northwoods Capital 22 Ltd                                                       | CUSIP: 66858HAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8500000 | PA      | $8356009.15   | 0.22%             | 2031-09-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                    | OCP SA                                                                          | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       411000 | PA      | $399517.69    | 0.01%             | 2025-10-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2017-3                               | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4485000 | PA      | $4003506.99   | 0.10%             | 2056-07-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      3405000 | PA      | $3357869.73   | 0.09%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       287065 | PA      | $245512.85    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       130000 | PA      | $113033.34    | 0.00%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66777 | PA      | $70353.85     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                        | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |       937000 | PA      | $898034.85    | 0.02%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      1430000 | PA      | $1243513.83   | 0.03%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        51460 | PA      | $46807.36     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418UB60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10168 | PA      | $10125.91     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379RAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3138737 | PA      | $76463.41     | 0.00%             | 2057-09-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L2NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       146428 | PA      | $120315.66    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL              | JPMorgan Chase Bank NA - CACLN                                                  | CUSIP: 48128U2P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       327579 | PA      | $311554.54    | 0.01%             | 2028-12-26      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       488638 | PA      | $419199.04    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       149000 | PA      | $137205.87    | 0.00%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       231000 | PA      | $233242.97    | 0.01%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55602 | PA      | $53404.50     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -7605000 | PA      | $-7492608.82  | -0.19%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3362271 | PA      | $3008038.85   | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      3901000 | PA      | $3181033.04   | 0.08%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      1943000 | PA      | $1735652.73   | 0.04%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       395111 | PA      | $365438.10    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                            | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |       630000 | PA      | $513450.00    | 0.01%             | 2031-07-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379AYP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3025101 | PA      | $464335.16    | 0.01%             | 2044-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        18363 | PA      | $17473.77     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       151000 | PA      | $168776.65    | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                         | CBAM 2020-12 Ltd                                                                | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2496000 | PA      | $2404453.46   | 0.06%             | 2034-07-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       647000 | PA      | $561732.39    | 0.01%             | 2027-11-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |        60000 | PA      | $59045.89     | 0.00%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1317000 | PA      | $1033127.35   | 0.03%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382QCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2143765 | PA      | $312785.42    | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       545000 | PA      | $458649.22    | 0.01%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFXV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       277955 | PA      | $272606.56    | 0.01%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                     | SBA Communications Corp                                                         | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |      2098000 | PA      | $1747133.92   | 0.05%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| OCP CLO Ltd                                 | OCP CLO 2014-5 Ltd                                                              | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |       220000 | PA      | $217091.84    | 0.01%             | 2031-04-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust Series 2003-WMC3                         | CUSIP: 5899292D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99208 | PA      | $96049.07     | 0.00%             | 2034-06-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                           | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |       242000 | PA      | $200276.02    | 0.01%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       523425 | PA      | $450060.52    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM 26 Ltd                                                                      | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1510000 | PA      | $1490940.03   | 0.04%             | 2031-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Laurel Road Prime Student Loan              | Laurel Road Prime Student Loan Trust 2018-C                                     | CUSIP: 51888JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1716933 | PA      | $1593413.25   | 0.04%             | 2043-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-GC43                                   | CUSIP: 17328HBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3230000 | PA      | $2778204.72   | 0.07%             | 2052-11-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a              | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 12489WJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5574 | PA      | $5138.73      | 0.00%             | 2035-05-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |       168000 | PA      | $121083.94    | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FSAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320794 | PA      | $300978.14    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2505250 | PA      | $2278557.15   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132JASZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32114 | PA      | $31127.95     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411CTQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4420 | PA      | $4486.70      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A2VA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       332801 | PA      | $329914.52    | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 31393YBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        97565 | PA      | $95975.73     | 0.00%             | 2034-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       370970 | PA      | $317244.04    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XGTF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21394 | PA      | $20973.96     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK16                                                                 | CUSIP: 065405AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1800000 | PA      | $1685606.94   | 0.04%             | 2052-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       331000 | PA      | $324292.23    | 0.01%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       438243 | PA      | $401244.32    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME AUSTRALIAN DOLLAR CURRENCY                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          237 | NC      | $-81572.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 BC / NEW RED FIN                    | 1011778 BC ULC / New Red Finance Inc                                            | CUSIP: 68245XAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       350000 | PA      | $348794.25    | 0.01%             | 2025-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B36<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       987000 | PA      | $810643.21    | 0.02%             | 2030-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5703 | PA      | $5478.34      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                              | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3248233 | PA      | $479790.89    | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $169282.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                         | Medline Borrower LP                                                             | CUSIP: 58503UAC7<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |       852952 | PA      | $809024.51    | 0.02%             | 2028-10-21      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10683 | PA      | $10047.04     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36180HBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8356 | PA      | $7858.53      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31400V3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13226 | PA      | $13632.65     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      2689000 | PA      | $2142909.49   | 0.06%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: —       |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      2240000 | PA      | $1455900.54   | 0.04%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2018-BNK14                                                                 | CUSIP: 06035RAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1715000 | PA      | $1627513.56   | 0.04%             | 2060-09-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       230000 | PA      | $217580.27    | 0.01%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       766000 | PA      | $682607.87    | 0.02%             | 2027-06-01      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       278817 | PA      | $238438.74    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A3YH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75673 | PA      | $78308.75     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33077 | PA      | $30826.22     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2017-CH1                                                 | CUSIP: 81746HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31669 | PA      | $29551.51     | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                     | PNMAC GMSR ISSUER TRUST 2018-GT2                                                | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       378000 | PA      | $371013.31    | 0.01%             | 2025-08-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31135 | PA      | $27809.74     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6E22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        23754 | PA      | $23216.11     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136330 | PA      | $126989.74    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                    | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |       931000 | PA      | $756126.06    | 0.02%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       958000 | PA      | $900022.03    | 0.02%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       209000 | PA      | $205944.98    | 0.01%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                     | Standard Industries Inc/NJ                                                      | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |        34000 | PA      | $30596.17     | 0.00%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       310000 | PA      | $264631.44    | 0.01%             | 2033-04-06      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136APTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217146 | PA      | $23770.19     | 0.00%             | 2045-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       885000 | PA      | $538746.69    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SINOPEC GRP OVERSEA 2014                    | Sinopec Group Overseas Development 2014 Ltd                                     | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |      1066000 | PA      | $1057802.46   | 0.03%             | 2024-04-10      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |       670000 | PA      | $643535.00    | 0.02%             | 2027-04-10      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       151318 | PA      | $40099.27     | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA4                                         | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173000 | PA      | $176675.82    | 0.00%             | 2050-09-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                            | Alabama Power Co                                                                | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       187000 | PA      | $145434.38    | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIG INTL HL                    | Digicel International Finance Ltd/Digicel international Holdings Ltd            | CUSIP: 25381VAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       535000 | PA      | $458361.25    | 0.01%             | 2024-05-25      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1325000 | PA      | $1300046.01   | 0.03%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36179BZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12299 | PA      | $11565.89     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       469000 | PA      | $442746.01    | 0.01%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced               | Volkswagen Auto Loan Enhanced Trust 2021-1                                      | CUSIP: 92868KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1611000 | PA      | $1531032.70   | 0.04%             | 2026-06-22      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411XZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9304 | PA      | $9682.41      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASURION LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VAX8<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |       601390 | PA      | $533733.45    | 0.01%             | 2026-12-23      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                    | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       128649 | PA      | $111065.19    | 0.00%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2022-SFR4 Trust                                            | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3002736 | PA      | $2786426.68   | 0.07%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       198944 | PA      | $185201.71    | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                               | OFSI BSL XI Ltd                                                                 | CUSIP: 67115PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4969062.00   | 0.13%             | 2031-07-18      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5020 | PA      | $5246.81      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KX2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3573095 | PA      | $2919221.31   | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       942411 | PA      | $254922.24    | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       469000 | PA      | $418071.25    | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LHJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $188655.44    | 0.00%             | 2032-09-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1426031 | PA      | $1202063.50   | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1732306 | PA      | $1727996.05   | 0.04%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       249000 | PA      | $266699.22    | 0.01%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          473 | PA      | $492.64       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378PE79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2164469 | PA      | $1971140.07   | 0.05%             | 2044-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       904816 | PA      | $843728.04    | 0.02%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2814982 | PA      | $2518323.92   | 0.06%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |       934000 | PA      | $931312.28    | 0.02%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136AAXW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       153840 | PA      | $15528.55     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       329309 | PA      | $329232.16    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5948112 | PA      | $5406320.47   | 0.14%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       586824 | PA      | $539982.34    | 0.01%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1745000 | PA      | $1396349.09   | 0.04%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140JWCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36486 | PA      | $32857.99     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |        62000 | PA      | $55487.20     | 0.00%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BBUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2803158 | PA      | $528777.82    | 0.01%             | 2050-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       272000 | PA      | $256518.65    | 0.01%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |       999000 | PA      | $824218.56    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3778406 | PA      | $3204343.41   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BE1<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |       176000 | PA      | $159181.20    | 0.00%             | 2044-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796CU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4530000 | PA      | $4471525.27   | 0.12%             | 2023-04-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      1725000 | PA      | $1737872.64   | 0.04%             | 2028-12-02      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2022-5                                   | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1060000 | PA      | $1030710.19   | 0.03%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       211000 | PA      | $197086.76    | 0.01%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410C5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9115 | PA      | $9489.62      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -12 | NC      | $250536.42    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       358660 | PA      | $352220.00    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3250405 | PA      | $212447.11    | 0.01%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                       | Mexico Government International Bond                                            | CUSIP: 91087BAQ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      2725000 | PA      | $2094503.13   | 0.05%             | 2041-08-14      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities               | GoldenTree Loan Opportunities IX Ltd                                            | CUSIP: 38123HAN4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |      3594824 | PA      | $3564216.11   | 0.09%             | 2029-10-29      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MMUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1469267 | PA      | $1245789.54   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                 | PepsiCo Inc                                                                     | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |        69000 | PA      | $65664.16     | 0.00%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME Japanese Yen Currency                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           95 | NC      | $288642.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RAYTHEON TECH CORP                          | Raytheon Technologies Corp                                                      | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |       290000 | PA      | $279541.92    | 0.01%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1259000 | PA      | $1157065.04   | 0.03%             | N/A             | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C49                                  | CUSIP: 95001WAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2713000 | PA      | $2576440.60   | 0.07%             | 2052-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YD3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50838 | PA      | $46195.16     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XCS3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       190000 | PA      | $186480.74    | 0.00%             | 2029-01-17      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2020-2                                   | CUSIP: 80285RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       274781 | PA      | $273900.09    | 0.01%             | 2025-09-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3501901 | PA      | $97924.72     | 0.00%             | 2028-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49534000 | PA      | $45502686.31  | 1.17%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                 | Federal Home Loan Mortgage Corp                                                 | CUSIP: 3134A4AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |       830000 | PA      | $976598.09    | 0.03%             | 2031-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| DP WORLD PLC                                | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |       775000 | PA      | $723559.38    | 0.02%             | 2048-09-25      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416MW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          655 | PA      | $652.26       | 0.00%             | 2024-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |       260000 | PA      | $212381.70    | 0.01%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       379000 | PA      | $368777.88    | 0.01%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        81091 | PA      | $77875.54     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      2345000 | PA      | $2421329.84   | 0.06%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30110000 | PA      | $29503095.31  | 0.76%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       623000 | PA      | $464250.83    | 0.01%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378H4E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       395277 | PA      | $38776.51     | 0.00%             | 2042-10-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                             | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |       337000 | PA      | $309197.02    | 0.01%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       440000 | PA      | $399592.91    | 0.01%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134584 | PA      | $111082.67    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1062000 | PA      | $969606.00    | 0.03%             | 2027-01-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            6 | NC      | $5812.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 312944TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       213973 | PA      | $205718.60    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NY & PRESBYTERIAN HOSPIT                    | New York and Presbyterian Hospital/The                                          | CUSIP: 649322AD6<br>LEI: 19EOSPKL8HML7MY3UE63 | Long             | DBT              | CORP              | US        |      1030000 | PA      | $827523.03    | 0.02%             | 2056-08-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       215179 | PA      | $192674.29    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                       | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |       510000 | PA      | $497457.04    | 0.01%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       118863 | PA      | $114114.88    | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66273 | PA      | $65427.27     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       696838 | PA      | $573220.77    | 0.01%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| PELABUHAN INDO PERSERO                      | Pelabuhan Indonesia Persero PT                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | ID        |       200000 | PA      | $193022.00    | 0.00%             | 2025-05-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176H5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36908 | PA      | $34709.11     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1414555 | PA      | $1466779.20   | 0.04%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                    | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |       341000 | PA      | $256559.88    | 0.01%             | 2051-06-23      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |       401000 | PA      | $365657.54    | 0.01%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36241KT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65596 | PA      | $67146.43     | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       934298 | PA      | $896960.58    | 0.02%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      1156000 | PA      | $1010008.07   | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      3213000 | PA      | $2830676.36   | 0.07%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: —       |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       793000 | PA      | $636726.61    | 0.02%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                     | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2290000 | PA      | $2274219.61   | 0.06%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X7KF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       836084 | PA      | $796480.97    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1895500 | PA      | $1546866.84   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7999203 | PA      | $6929927.92   | 0.18%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KXEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          428 | PA      | $437.25       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383TYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2444365 | PA      | $38903.28     | 0.00%             | 2052-07-20      | Floating      | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2013-C17                             | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306000 | PA      | $296848.58    | 0.01%             | 2047-01-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       274536 | PA      | $262737.61    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |            1 | NC      | $-88823.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |      1096704 | PA      | $51456.46     | 0.00%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51              | Octagon Investment Partners 51 Ltd                                              | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1105000 | PA      | $1066178.37   | 0.03%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2017-C5                                           | CUSIP: 90276TAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2437000 | PA      | $2244974.15   | 0.06%             | 2050-11-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |      2490000 | PA      | $2227741.55   | 0.06%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97631 | PA      | $96893.12     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL FIN EU                       | Liberty Mutual Finance Europe DAC                                               | CUSIP: 000000000<br>LEI: 254900GTNATA5DHR0920 | Long             | DBT              | CORP              | IE        |       437000 | PA      | $455106.50    | 0.01%             | 2024-03-27      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |       405000 | PA      | $351334.75    | 0.01%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                | Peru LNG Srl                                                                    | CUSIP: 715604AA2<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |       530000 | PA      | $441158.75    | 0.01%             | 2030-03-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99111 | PA      | $97266.20     | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                       | General Dynamics Corp                                                           | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       253000 | PA      | $225262.07    | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KTPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       745111 | PA      | $609314.85    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DALLAS-FORT WORTH TX INTERNATI              | Dallas Fort Worth International Airport                                         | CUSIP: 23503CAN7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       980000 | PA      | $888361.49    | 0.02%             | 2051-11-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                            | MP CLO VIII Ltd                                                                 | CUSIP: 62481WAL1<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |       990000 | PA      | $951526.22    | 0.02%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F9R37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       706934 | PA      | $90360.53     | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       663865 | PA      | $544004.43    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                            | Paramount Global                                                                | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |       380000 | PA      | $338923.36    | 0.01%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1051892 | PA      | $863332.64    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -31 | NC      | $-3148.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       459000 | PA      | $375658.57    | 0.01%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 3620C0SS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         9660 | PA      | $9085.06      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       225806 | PA      | $184549.66    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      3255000 | PA      | $3134270.75   | 0.08%             | 2023-11-08      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       124000 | PA      | $111989.90    | 0.00%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2015-C                                         | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |     63950000 | PA      | $2692711.86   | 0.07%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       100000 | PA      | $77257.87     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2022-NQM2                                       | CUSIP: 10568KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1065157 | PA      | $1010009.73   | 0.03%             | 2061-11-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       453000 | PA      | $373995.25    | 0.01%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       510831 | PA      | $413305.30    | 0.01%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable              | OneMain Direct Auto Receivables Trust 2021-1                                    | CUSIP: 682687AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       765000 | PA      | $649733.55    | 0.02%             | 2028-07-14      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371KLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          521 | PA      | $538.35       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                         | Ashtead Capital Inc                                                             | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1437592.47   | 0.04%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       790000 | PA      | $738723.98    | 0.02%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| WILLIAM CARTER                              | William Carter Co/The                                                           | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |       105000 | PA      | $100949.87    | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968632 | PA      | $850433.25    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Cap              | Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC1                         | CUSIP: 61746WYU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9915 | PA      | $9878.42      | 0.00%             | 2032-11-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |       354000 | PA      | $276681.54    | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |        52000 | PA      | $50062.95     | 0.00%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       656000 | PA      | $583564.57    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                      | Mondelez International Inc                                                      | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |       639000 | PA      | $592278.45    | 0.02%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                             | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |       600000 | PA      | $610812.60    | 0.02%             | 2027-10-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |       504000 | PA      | $437079.89    | 0.01%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2015-1 AA PTT                    | United Airlines 2015-1 Class AA Pass Through Trust                              | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        99427 | PA      | $88414.65     | 0.00%             | 2027-12-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                    | International Business Machines Corp                                            | CUSIP: 459200KM2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      3210000 | PA      | $2887494.80   | 0.07%             | 2027-02-09      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      5300000 | PA      | $5045406.55   | 0.13%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                 | Equinor ASA                                                                     | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |       565000 | PA      | $448263.43    | 0.01%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       210000 | PA      | $183879.05    | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                         | American Express Co                                                             | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |       360000 | PA      | $352847.03    | 0.01%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |       151000 | PA      | $132613.38    | 0.00%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2715 | PA      | $2832.81      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROWN GROUP HOLDING LLC                     | Brown Group Holding LLC                                                         | CUSIP: 11565HAB2<br>LEI: 25490094PF4HHK9QS109 | Long             | LON              | CORP              | US        |      1479933 | PA      | $1451656.17   | 0.04%             | 2028-06-07      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      5714000 | PA      | $5334443.32   | 0.14%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MBEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       287424 | PA      | $234554.90    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       480000 | PA      | $369584.23    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                    | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      1086000 | PA      | $1044362.76   | 0.03%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                       | Finance Department Government of Sharjah                                        | CUSIP: 000000000<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |      3205000 | PA      | $2647730.63   | 0.07%             | 2033-03-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5445 | PA      | $5132.62      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7757 | PA      | $8005.48      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       181865 | PA      | $159493.58    | 0.00%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PENNYMAC FIN SVCS INC                       | PennyMac Financial Services Inc                                                 | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |       473000 | PA      | $369727.97    | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22693 | PA      | $22186.85     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                    | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |       217000 | PA      | $210512.13    | 0.01%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 35565TBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |       435000 | PA      | $415425.74    | 0.01%             | 2050-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | Three-Month SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           74 | NC      | $80369.06     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3131Y8KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       861773 | PA      | $863587.86    | 0.02%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XHLP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45968 | PA      | $44891.91     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830BU2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      1290000 | PA      | $1299521.55   | 0.03%             | 2025-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ALABAMA ECON SETTLEMENT AUTH B              | Alabama Economic Settlement Authority                                           | CUSIP: 01026CAD3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       135000 | PA      | $125052.24    | 0.00%             | 2032-09-15      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       512000 | PA      | $328967.43    | 0.01%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KWH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3004 | PA      | $3112.95      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30518 | PA      | $28897.12     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1591560 | PA      | $212218.75    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       588039 | PA      | $509021.02    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96564 | PA      | $89671.25     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BMKU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1494297 | PA      | $299621.55    | 0.01%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                        | Westpac Banking Corp                                                            | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |      2520000 | PA      | $2575211.18   | 0.07%             | 2027-11-18      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49226 | PA      | $47839.65     | 0.00%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XCV6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       159000 | PA      | $150907.05    | 0.00%             | 2025-02-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       717399 | PA      | $665575.74    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J95Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       610700 | PA      | $584963.30    | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3620E0EV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1172359 | PA      | $1186437.04   | 0.03%             | 2060-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |       880000 | PA      | $744700.00    | 0.02%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XDAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       682572 | PA      | $669959.75    | 0.02%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CA DEPT OF WTR & P              | Los Angeles Department of Water & Power Water System Revenue                    | CUSIP: 544525NZ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1015000 | PA      | $1095493.38   | 0.03%             | 2039-07-01      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1072141 | PA      | $903752.06    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      3150000 | PA      | $2520126.09   | 0.07%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417YYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9638 | PA      | $9563.85      | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                    | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       495000 | PA      | $502654.73    | 0.01%             | 2026-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270251 | PA      | $232099.22    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                      | Mexico City Airport Trust                                                       | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |       545000 | PA      | $496222.50    | 0.01%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1617889 | PA      | $1379326.69   | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       450647 | PA      | $64508.86     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8698 | PA      | $9080.61      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                  | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |        43000 | PA      | $35359.89     | 0.00%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       499951 | PA      | $439052.47    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       367584 | PA      | $314597.85    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Certificates Trust 2004-BC4                                  | CUSIP: 126673KY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50073 | PA      | $49233.41     | 0.00%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                          | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |       750000 | PA      | $636435.30    | 0.02%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       167643 | PA      | $162683.48    | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       675222 | PA      | $590033.61    | 0.02%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XII                                                                  | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |       765000 | PA      | $753362.44    | 0.02%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MANUF & TRADERS TRUST CO                    | Manufacturers & Traders Trust Co                                                | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |      2550000 | PA      | $2566112.40   | 0.07%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| ARDAGH PKG FIN/HLDGS USA                    | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       430000 | PA      | $322646.20    | 0.01%             | 2027-08-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: —       |
| FREDDIE MAC                                 | Freddie Mac Coupon Strips                                                       | CUSIP: 3134A4NV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |       180000 | PA      | $113136.36    | 0.00%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                         | Petroleos Mexicanos                                                             | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      1485000 | PA      | $1163868.75   | 0.03%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       132000 | PA      | $127627.45    | 0.00%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140EBG39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       761858 | PA      | $729105.97    | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                       | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |       605000 | PA      | $476984.10    | 0.01%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                 | Lennar Corp                                                                     | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |        79000 | PA      | $78268.90     | 0.00%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       494850 | PA      | $453705.63    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9                      | CUSIP: 61762DAV3<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |       482341 | PA      | $480671.74    | 0.01%             | 2046-05-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       857394 | PA      | $859019.44    | 0.02%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       814006 | PA      | $729626.19    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JSM GLOBAL SARL                             | JSM Global Sarl                                                                 | CUSIP: 46592BAA0<br>LEI: 222100JFIJNVE1XMFY68 | Long             | DBT              | CORP              | LU        |       222000 | PA      | $144064.13    | 0.00%             | 2030-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                          | Province of Quebec Canada                                                       | CUSIP: 74815HCB6<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |       330000 | PA      | $351546.26    | 0.01%             | 2026-02-27      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                | Evergy Metro Inc                                                                | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |       561000 | PA      | $445684.07    | 0.01%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $4100756.00   | 0.11%             | 2027-08-20      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKVC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       546370 | PA      | $536615.87    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIG CLO Ltd                                 | AIG CLO 2019-2 Ltd                                                              | CUSIP: 00142MAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      3430000 | PA      | $3361463.11   | 0.09%             | 2033-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128KGFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6813 | PA      | $6936.09      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31416WHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30781 | PA      | $30787.02     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                              | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       520000 | PA      | $481506.96    | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| TIME WARNER CABLE ENTRMN                    | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       772000 | PA      | $861621.21    | 0.02%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                      | Pertamina Persero PT                                                            | CUSIP: 69370RAK3<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |       200000 | PA      | $177022.00    | 0.00%             | 2026-02-09      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       813106 | PA      | $36497.39     | 0.00%             | 2029-10-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                          | Conagra Brands Inc                                                              | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |      2505000 | PA      | $2437823.06   | 0.06%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3344 | PA      | $3215.36      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       252477 | PA      | $237558.15    | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                              | Newday Funding Master Issuer PLC - Series 2021-1                                | CUSIP: 65120LAA9<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |       541000 | PA      | $532273.67    | 0.01%             | 2029-03-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5409707 | PA      | $4588094.79   | 0.12%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F012619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12225000 | PA      | $9409707.93   | 0.24%             | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| STATE OF MINAS GERAIS                       | Brazil Minas SPE via State of Minas Gerais                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       579000 | PA      | $560291.06    | 0.01%             | 2028-02-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4578108 | PA      | $3733387.18   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE20 Mortgage Trust                                                 | CUSIP: 12592LBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2964685 | PA      | $2825867.86   | 0.07%             | 2047-11-10      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                            | APi Group DE Inc                                                                | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |      1013854 | PA      | $1005236.14   | 0.03%             | 2026-10-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                       | NYU Langone Hospitals                                                           | CUSIP: 62952EAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       175000 | PA      | $144925.56    | 0.00%             | 2047-07-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                       | General Dynamics Corp                                                           | CUSIP: 369550BG2<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |        97000 | PA      | $94492.45     | 0.00%             | 2025-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -18 | NC      | $-91125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AS8<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |       160000 | PA      | $145509.36    | 0.00%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                 | PepsiCo Inc                                                                     | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |       190000 | PA      | $136756.05    | 0.00%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ADNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       903322 | PA      | $739500.51    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD3 Mortgage Trust                                                      | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       190000 | PA      | $176683.60    | 0.00%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62289 | PA      | $58270.37     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       990000 | PA      | $917296.88    | 0.02%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| PARK AEROSPACE HOLDINGS                     | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |        97000 | PA      | $96732.57     | 0.00%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       875251 | PA      | $721214.46    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       900000 | PA      | $827245.89    | 0.02%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                            | Ascension Health                                                                | CUSIP: 04352EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       523000 | PA      | $399503.07    | 0.01%             | 2039-11-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      1011000 | PA      | $788470.72    | 0.02%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY NY TRANSITIONAL               | New York City Transitional Finance Authority Future Tax Secured Revenue         | CUSIP: 64971MZG0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       270000 | PA      | $279099.03    | 0.01%             | 2036-08-01      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US TREASURY LONG BOND                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |            3 | NC      | $1781.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |       639000 | PA      | $480677.32    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H7H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44564 | PA      | $42594.91     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       920000 | PA      | $896772.58    | 0.02%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO II-S Ltd                                                            | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |       196499 | PA      | $194149.32    | 0.01%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       454000 | PA      | $384100.44    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299693 | PA      | $247357.09    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38377EEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        60712 | PA      | $6603.38      | 0.00%             | 2040-04-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ATE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44202 | PA      | $43818.90     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9WN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       478890 | PA      | $486675.18    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 8 Ltd                                                           | CUSIP: 56845NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       350000 | PA      | $341935.90    | 0.01%             | 2033-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383ABJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       330681 | PA      | $108.53       | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3351000 | PA      | $3036863.56   | 0.08%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                  | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |      2725000 | PA      | $2725937.21   | 0.07%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2382000 | PA      | $2125656.07   | 0.05%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-3                                      | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2196908 | PA      | $2031517.57   | 0.05%             | 2058-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                     | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2939000 | PA      | $2689476.49   | 0.07%             | 2046-02-01      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80365000 | PA      | $68030122.52  | 1.76%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |       985000 | PA      | $770734.92    | 0.02%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       263000 | PA      | $247614.34    | 0.01%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                    | Lima Metro Line 2 Finance Ltd                                                   | CUSIP: 000000000<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |       283863 | PA      | $274956.57    | 0.01%             | 2034-07-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALTERRA MOUNTAIN COMPANY                    | Alterra Mountain Co                                                             | CUSIP: 46124CAJ6<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      1126174 | PA      | $1109844.72   | 0.03%             | 2028-08-17      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 2 LTD.                         | AGL Core CLO 2 Ltd                                                              | CUSIP: 001200AA2<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |      3126000 | PA      | $3077969.01   | 0.08%             | 2032-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                  | Air Canada                                                                      | CUSIP: 000000000<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | LON              | CORP              | CA        |       827925 | PA      | $815851.37    | 0.02%             | 2028-08-11      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2721000 | PA      | $2374786.49   | 0.06%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3881656 | PA      | $3395905.85   | 0.09%             | 2026-05-17      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 2013-1 Ltd                                                | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |       490000 | PA      | $484493.58    | 0.01%             | 2030-10-13      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| GENESEE & WYOMING INC                       | Genesee & Wyoming Inc                                                           | CUSIP: 55316HAB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |       710672 | PA      | $705987.87    | 0.02%             | 2026-12-30      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-F                                | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       483507 | PA      | $429186.92    | 0.01%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       441213 | PA      | $406961.56    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379VZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2909019 | PA      | $515342.98    | 0.01%             | 2043-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                           | Wellfleet CLO 2018-2 Ltd                                                        | CUSIP: 94949JAA3<br>LEI: 254900QO5AI38SSR4719 | Long             | ABS-CBDO         | CORP              | KY        |     11250000 | PA      | $10942378.88  | 0.28%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                         | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |        73000 | PA      | $52286.84     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | GoldentTree Loan Management US CLO 1 Ltd                                        | CUSIP: 38138KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       550000 | PA      | $532257.66    | 0.01%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                 | Hertz Vehicle Financing LLC                                                     | CUSIP: 42806MAN9<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |      5600000 | PA      | $4908551.76   | 0.13%             | 2028-06-26      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                    | Microchip Technology Inc                                                        | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |       350000 | PA      | $339881.31    | 0.01%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12844 | PA      | $12818.79     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO VIII Ltd                                                            | CUSIP: 01750LAA1<br>LEI: 635400EGZEWLZ9KRXG08 | Long             | ABS-CBDO         | CORP              | KY        |      1042000 | PA      | $1019014.11   | 0.03%             | 2031-07-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                        | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAF5<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |       353000 | PA      | $300465.60    | 0.01%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP                       | Lincoln National Corp                                                           | CUSIP: 534187AW9<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |       447000 | PA      | $438707.80    | 0.01%             | 2037-10-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2020-GC45                                          | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1239000 | PA      | $1062941.57   | 0.03%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |       123000 | PA      | $99308.71     | 0.00%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31417GUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23820 | PA      | $23170.85     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36294QLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1973 | PA      | $1855.47      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       811693 | PA      | $793530.13    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661EE3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |       240000 | PA      | $163372.96    | 0.00%             | 2041-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1393341 | PA      | $1252603.90   | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138128 | PA      | $114263.27    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216618 | PA      | $197361.05    | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       652023 | PA      | $615029.47    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-A                                                 | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12675 | PA      | $12502.76     | 0.00%             | 2058-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1227178 | PA      | $947543.53    | 0.02%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5HC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5713 | PA      | $5970.63      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                         | Verizon Owner Trust 2020-A                                                      | CUSIP: 92348TAA2<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |       105501 | PA      | $105105.52    | 0.00%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       351000 | PA      | $341907.67    | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38143U8H7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       266000 | PA      | $256352.63    | 0.01%             | 2026-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAU8<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      4540000 | PA      | $4385703.92   | 0.11%             | 2027-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| ORGANON & CO/ORG                            | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       400000 | PA      | $346489.83    | 0.01%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371L4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13130 | PA      | $13571.71     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |            1 | NC      | $222516.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       100000 | PA      | $83929.31     | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383C3X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2312523 | PA      | $36647.94     | 0.00%             | 2051-11-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |        40000 | PA      | $34100.35     | 0.00%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| POWER FINANCE CORP LTD                      | Power Finance Corp Ltd                                                          | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |       300000 | PA      | $274931.25    | 0.01%             | 2029-06-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 50077LBJ4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |       293000 | PA      | $281150.77    | 0.01%             | 2050-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5339 | PA      | $5085.83      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YJDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217746 | PA      | $196716.27    | 0.01%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XMKC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       360573 | PA      | $354301.42    | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       730000 | PA      | $688218.38    | 0.02%             | 2028-08-14      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       560203 | PA      | $78354.90     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                          | Union Pacific Corp                                                              | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |       251000 | PA      | $244225.07    | 0.01%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                             | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |       620000 | PA      | $598644.78    | 0.02%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37064 | PA      | $33681.77     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CURATORS OF THE UNIV OF MISSOU              | Curators of the University of Missouri/The                                      | CUSIP: 231266GC5<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |        85000 | PA      | $90932.67     | 0.00%             | 2041-11-01      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       277264 | PA      | $226009.47    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       121000 | PA      | $122251.65    | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      4295000 | PA      | $3861544.05   | 0.10%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: —       |
| KRAFT HEINZ FOODS CO                        | Kraft Heinz Foods Co                                                            | CUSIP: 42307TAG3<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |        19000 | PA      | $20634.46     | 0.00%             | 2032-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XURG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78041 | PA      | $76083.01     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       289045 | PA      | $237497.84    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      1347000 | PA      | $1185864.90   | 0.03%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        95645 | PA      | $83950.94     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       714825 | PA      | $569347.88    | 0.01%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       317997 | PA      | $306926.16    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407RVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          142 | PA      | $142.07       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2858824 | PA      | $2601667.01   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA REVENUES              | University of California                                                        | CUSIP: 91412GC86<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       119000 | PA      | $97822.75     | 0.00%             | 2115-05-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140KVKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4488439 | PA      | $3670956.17   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |       908000 | PA      | $714936.50    | 0.02%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-4 Ltd                                           | CUSIP: 69701PAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $293980.08    | 0.01%             | 2028-11-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                    | United Airlines 2016-2 Class AA Pass Through Trust                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       711412 | PA      | $604885.76    | 0.02%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WX4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33350 | PA      | $32088.58     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                        | Range Resources Corp                                                            | CUSIP: 75281AAS8<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |       270000 | PA      | $257353.16    | 0.01%             | 2025-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| TRANSCANADA PIPELINES                       | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |       609000 | PA      | $554743.52    | 0.01%             | 2034-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31407G6H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          594 | PA      | $586.12       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14409 | PA      | $13927.48     | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-ATrust                                      | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2197867 | PA      | $1988887.91   | 0.05%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      1055000 | PA      | $991805.46    | 0.03%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       160602 | PA      | $137233.98    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                    | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      1267000 | PA      | $1241941.78   | 0.03%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181106 | PA      | $188000.62    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        61333 | PA      | $50623.25     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1450447 | PA      | $1184284.86   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1286481.71   | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                     | CUSIP: 03328TBA2<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |       570000 | PA      | $562590.29    | 0.01%             | 2031-01-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      2844000 | PA      | $2564228.52   | 0.07%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76035 | PA      | $75065.29     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      3777000 | PA      | $2982396.36   | 0.08%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| NEW YORK TRANSPRTN DEV CORP LE              | New York Transportation Development Corp                                        | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      3070000 | PA      | $2845551.69   | 0.07%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 2 Ltd                                                                   | CUSIP: 48661TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       370000 | PA      | $363755.29    | 0.01%             | 2031-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       447000 | PA      | $407032.25    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1119947 | PA      | $951487.55    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EG GLOBAL FINANCE PLC                       | eG Global Finance PLC                                                           | CUSIP: 000000000<br>LEI: 549300TL8Q5207VYET27 | Long             | DBT              | CORP              | GB        |      1165000 | PA      | $1089631.13   | 0.03%             | 2025-10-30      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO               | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |      2677000 | PA      | $2342913.61   | 0.06%             | 2035-11-01      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| HOME DEPOT INC                              | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |       414000 | PA      | $330317.91    | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                       | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |      3360000 | PA      | $3193495.60   | 0.08%             | 2028-08-04      | Fixed         | 4.44%                 | No            |                  2 | On Loan: —       |
| CHICAGO MERCANTILE EXCHANGE INC.            | CME 3 Month Eurodollar                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           83 | NC      | $-855761.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1082958.29   | 0.03%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        90542 | PA      | $83316.27     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140F5BM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2703775 | PA      | $2522962.68   | 0.07%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                               | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10940 | PA      | $10288.15     | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                 | Nutrien Ltd                                                                     | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |      1710000 | PA      | $1743618.09   | 0.04%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       936106 | PA      | $800617.59    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138XGAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96850 | PA      | $95268.27     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10020000 | PA      | $6594412.50   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3948724 | PA      | $3783852.93   | 0.10%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4275000 | PA      | $4003804.69   | 0.10%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3398193 | PA      | $78615.16     | 0.00%             | 2027-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE25 Mortgage Trust                                                 | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       583661 | PA      | $10027.83     | 0.00%             | 2048-08-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       302698 | PA      | $297077.25    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31411UAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1962 | PA      | $1970.16      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK30                                                                 | CUSIP: 06541UBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2112114.50   | 0.05%             | 2053-12-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61622 | PA      | $58668.52     | 0.00%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      3555000 | PA      | $2613057.89   | 0.07%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust              | Option One Mortgage Loan Trust 2007-FXD2                                        | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4392123 | PA      | $3811844.12   | 0.10%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QABC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       360431 | PA      | $338568.85    | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       607000 | PA      | $566894.90    | 0.01%             | 2028-03-23      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: —       |
| MARYLAND ST TRANSPRTN AUTH TRA              | Maryland State Transportation Authority                                         | CUSIP: 574300HZ5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       455000 | PA      | $481374.15    | 0.01%             | 2043-07-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31371NHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4118 | PA      | $4298.98      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO                            | Invesco Euro CLO I DAC                                                          | CUSIP: 000000000<br>LEI: 549300GHZE7CYFQDBC40 | Long             | ABS-CBDO         | CORP              | IE        |      2496000 | PA      | $2588118.59   | 0.07%             | 2031-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       209000 | PA      | $201601.31    | 0.01%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      1057000 | PA      | $987896.87    | 0.03%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |       397000 | PA      | $360925.56    | 0.01%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      1655000 | PA      | $1570232.60   | 0.04%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WUH30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57017 | PA      | $55203.83     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334634 | PA      | $319764.59    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       177784 | PA      | $152738.76    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |        90000 | PA      | $82168.14     | 0.00%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       968000 | PA      | $904378.75    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-V Ltd                                                         | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2958000 | PA      | $2887727.69   | 0.07%             | 2034-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                            | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |       462000 | PA      | $333730.62    | 0.01%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QNDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1519114 | PA      | $1237698.21   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |       460000 | PA      | $430459.84    | 0.01%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| ITALY GOV'T INT BOND                        | Republic of Italy Government International Bond                                 | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      1218000 | PA      | $1474636.23   | 0.04%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1502548 | PA      | $1227092.99   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      2929000 | PA      | $2772851.67   | 0.07%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH1                                                 | CUSIP: 81747DAA7<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |       106335 | PA      | $98031.43     | 0.00%             | 2048-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                    | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       500000 | PA      | $447454.53    | 0.01%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |      1168000 | PA      | $1099344.03   | 0.03%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                     | Marathon Petroleum Corp                                                         | CUSIP: 56585AAM4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |       177000 | PA      | $160925.79    | 0.00%             | 2045-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1495409 | PA      | $1268151.70   | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X4NL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       278995 | PA      | $280868.27    | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |        50000 | PA      | $39938.51     | 0.00%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XB6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       704670 | PA      | $654296.24    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53542 | PA      | $52431.60     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418RW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3340 | PA      | $3333.37      | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       188991 | PA      | $161636.10    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                       | CUSIP: 89114TZT2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |      4540000 | PA      | $4163240.38   | 0.11%             | 2027-03-10      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| AMWINS GROUP INC                            | AmWINS Group Inc                                                                | CUSIP: 03234TAW8<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |       344647 | PA      | $337753.84    | 0.01%             | 2028-02-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1030000 | PA      | $923063.58    | 0.02%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |       774000 | PA      | $679034.50    | 0.02%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                     | Shell International Finance BV                                                  | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      2660000 | PA      | $1813181.82   | 0.05%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                     | Schlumberger Holdings Corp                                                      | CUSIP: 806851AH4<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |       582000 | PA      | $546572.80    | 0.01%             | 2029-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       689980 | PA      | $18402.94     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |       770000 | PA      | $579383.54    | 0.01%             | 2032-02-12      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        12889 | PA      | $13460.63     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132M6AE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       131631 | PA      | $129699.99    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418ELU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       986218 | PA      | $896265.69    | 0.02%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASCENT RESOURCES/ARU FIN                    | Ascent Resources Utica Holdings LLC / ARU Finance Corp                          | CUSIP: 04364VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       134000 | PA      | $130460.43    | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5283 | PA      | $5033.41      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3133ADUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1250655 | PA      | $1022428.72   | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       749145 | PA      | $644151.66    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2022-NQM2                                          | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4940066 | PA      | $4485045.79   | 0.12%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Small Business Administration               | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       366230 | PA      | $336967.24    | 0.01%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WEQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1317254 | PA      | $1187617.68   | 0.03%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       276000 | PA      | $247259.39    | 0.01%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138A9M68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9289 | PA      | $9208.57      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26641 | PA      | $25519.65     | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       192937 | PA      | $161071.28    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                       | Freeport Indonesia PT                                                           | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |       225000 | PA      | $215743.50    | 0.01%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4317630 | PA      | $3339623.25   | 0.09%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EHT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       219928 | PA      | $217795.81    | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re V Ltd                                                                | CUSIP: 67401JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28634 | PA      | $28646.39     | 0.00%             | 2030-10-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      1100000 | PA      | $1032757.00   | 0.03%             | 2025-12-20      | Fixed         | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2022-7                                   | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2590000 | PA      | $2614938.59   | 0.07%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       200000 | PA      | $162863.93    | 0.00%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38383RFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       918684 | PA      | $17750.35     | 0.00%             | 2052-04-20      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |       398000 | PA      | $332417.98    | 0.01%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-22

**Name of Applicant:** Advanced Series Trust

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Treasurer and Principal Financial and Accounting Officer