# EDGAR Filing Document

**Accession Number:** 0001011378
**File Stem:** 0001752724-23-041506
**Filing Date:** 2023-2
**Character Count:** 214047
**Document Hash:** 65f77f64b711e0acba5595bacde614c9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-041506.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-041506

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY VARIABLE INSURANCE FUND INC.
- **CENTRAL INDEX KEY:** 0001011378
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07607
- **FILM NUMBER:** 23671483

**BUSINESS ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-548-7786

**MAIL ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** UNIVERSAL INSTITUTIONAL FUNDS INC
- **DATE OF NAME CHANGE:** 20020322

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY UNIVERSAL FUNDS INC
- **DATE OF NAME CHANGE:** 19960328

## Series and Classes Contracts Data

### Core Plus Fixed Income Portfolio (Series ID: S000004166)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000011738 | Class II     | MJIIX           |
| C000011739 | Class I      | MFIPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY VARIABLE INSURANCE FUND INC.

- **b. Investment Company Act file number:** 811-07607

- **c. CIK number of Registrant:** 0001011378

- **d. LEI of Registrant:** KRX6WCBD0RZHNUHCX346

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

  - **Street Address 1:** 522 FIFTH AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-548-7786

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

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

- **b. EDGAR series identifier (if any):** S000004166

- **c. LEI of Series:** Z21J3O1LEZEL6BEMID65

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $97119251.54

**Total Liabilities:** $13691115.46

**Net Assets:** $83428136.08

**Cash Not Reported:** $594611.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -92.00000000 | **1-Year:** -1844.26000000 | **5-Year:** -5713.62000000 | **10-Year:** -7856.06000000 | **30-Year:** -3479.71000000

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

- **3-Month:** -110.91000000 | **1-Year:** -1945.05000000 | **5-Year:** -3946.19000000 | **10-Year:** -3381.22000000 | **30-Year:** -721.61000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000011738 | -1.65%               | 3.60%                | -0.46%               |
| Class ID C000011739 | -1.68%               | 3.66%                | -0.47%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-666078.62              | $-443502.42                                |
| Month 2  | $-19984.56               | $2604941.20                                |
| Month 3  | $436505.14               | $-948813.33                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Index

- **Index Identifier:** BBG_US_Agg

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $9167.33      | 0.01%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H5DS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $143174.08    | 0.17%             | 2049-01-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                  | Residential Asset Securitization Trust 2006-A6                                                                             | CUSIP: 76113FAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19679 | PA      | $10949.83     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                   | American Homes 4 Rent 2015-SFR2 Trust                                                                                      | CUSIP: 02666BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $476553.76    | 0.57%             | 2052-10-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31384WAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1040 | PA      | $1066.15      | 0.00%             | 2030-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                                                                          | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $66969.83     | 0.08%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24766 | PA      | $25623.80     | 0.03%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                           | Life 2022-BMR Mortgage Trust                                                                                               | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $169975.98    | 0.20%             | 2039-05-15      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                   | Entergy Louisiana LLC                                                                                                      | CUSIP: 29364WBE7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    125000 | PA      | $96357.08     | 0.12%             | 2030-12-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                                                                    | CUSIP: 404119CG2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39145.37     | 0.05%             | 2052-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138AUDE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97780 | PA      | $94562.43     | 0.11%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                                                                       | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    350000 | PA      | $324415.05    | 0.39%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-3                                                                          | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    581232 | PA      | $518286.02    | 0.62%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                    | Niagara Mohawk Power Corp                                                                                                  | CUSIP: 65364UAQ9<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    300000 | PA      | $244258.52    | 0.29%             | 2032-01-10      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                                 | Macy's Retail Holdings LLC                                                                                                 | CUSIP: 55617LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $69536.00     | 0.08%             | 2030-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED USD / SOLD CNY                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |         1 | NC      | $-11903.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31416KAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142857 | PA      | $149581.75    | 0.18%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2007-1F                                                                                            | CUSIP: 3622MPAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75639 | PA      | $48252.98     | 0.06%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED CNY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $113.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18297 | PA      | $19035.68     | 0.02%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United Wholsale Mortgage LLC                            | UWM Mortgage Trust 2021-INV1                                                                                               | CUSIP: 90354XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467898 | PA      | $377936.95    | 0.45%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                                                                     | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228662 | PA      | $202343.23    | 0.24%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                                                                   | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24923.86     | 0.03%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                            | Vontier Corp                                                                                                               | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |    250000 | PA      | $200673.89    | 0.24%             | 2028-04-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                        | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    347238 | NS      | $347237.50    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                  | BP Capital Markets PLC                                                                                                     | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $65859.38     | 0.08%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GRUPO AVAL LTD                                          | Grupo Aval Ltd                                                                                                             | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $162366.15    | 0.19%             | 2030-02-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                         | RingCentral Inc                                                                                                            | CUSIP: 76680RAH0<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    125000 | PA      | $98750.00     | 0.12%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                   | Australia Government Bond                                                                                                  | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    825000 | PA      | $440894.35    | 0.53%             | 2032-05-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H7MC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $270449.40    | 0.32%             | 2032-05-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                                                           | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5450000 | PA      | $3732292.00   | 4.47%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                    | PRET 2022-NPL4 LLC                                                                                                         | CUSIP: 69381RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278482 | PA      | $267628.05    | 0.32%             | 2052-08-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2016-KF21 Mortgage Trust                                                                                             | CUSIP: 30289XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41928 | PA      | $39782.36     | 0.05%             | 2026-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                       | Imperial Fund Mortgage Trust 2021-NQM4                                                                                     | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482056 | PA      | $406274.12    | 0.49%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                                     | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $219973.50    | 0.26%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-1                                                                          | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    480585 | PA      | $426809.12    | 0.51%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2014-CCRE18 Mortgage Trust                                                                                            | CUSIP: 12632QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2432628 | PA      | $25741.71     | 0.03%             | 2047-07-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2006-4CB                                                                                            | CUSIP: 12668BPM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11213 | PA      | $6312.45      | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                                                                        | CUSIP: 65339KCA6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    150000 | PA      | $98609.58     | 0.12%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    150000 | PA      | $109624.10    | 0.13%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                   | Uber Technologies Inc                                                                                                      | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    190000 | PA      | $160978.71    | 0.19%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Banc of America Funding Corporation                     | Banc of America Funding 2007-5 Trust                                                                                       | CUSIP: 059523AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14435 | PA      | $11508.93     | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                                   | AIMCO CLO Series 2018-B                                                                                                    | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $614900.63    | 0.74%             | 2032-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                                                    | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $293852.40    | 0.35%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities          | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                                                              | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752368 | PA      | $169055.07    | 0.20%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC                          | ELFI Graduate Loan Program 2022-A LLC                                                                                      | CUSIP: 28628CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189926 | PA      | $180069.44    | 0.22%             | 2047-08-26      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H8UC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $174386.45    | 0.21%             | 2054-08-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                     | Rate Mortgage Trust 2021-J4                                                                                                | CUSIP: 75410JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521030 | PA      | $417597.49    | 0.50%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        28 | NC      | $-13770.67    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                                                           | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    125000 | PA      | $83324.20     | 0.10%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-2                                                                          | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    504271 | PA      | $448794.82    | 0.54%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                       | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    175000 | PA      | $140487.35    | 0.17%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31380DW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       804 | PA      | $825.39       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                         | Nordea Bank Abp                                                                                                            | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $201268.91    | 0.24%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                                                           | CUSIP: 91282CBD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $1000000.00   | 1.20%             | 2022-12-31      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                        | Crown Castle Inc                                                                                                           | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    150000 | PA      | $131573.29    | 0.16%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40853 | PA      | $8903.36      | 0.01%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-NR1                                                                                                         | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321682 | PA      | $303695.68    | 0.36%             | 2055-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                             | PURCHASED BRL / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |         1 | NC      | $-4399.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                                 | Sun Communities Operating LP                                                                                               | CUSIP: 866677AH0<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              |  | US        |    225000 | PA      | $198781.57    | 0.24%             | 2032-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust 2018-ALXA                                                                     | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $158937.46    | 0.19%             | 2043-01-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6896 | PA      | $7084.12      | 0.01%             | 2037-07-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                                         | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73136.12     | 0.09%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED CNY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $494.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                                                   | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76862.49     | 0.09%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9990 | PA      | $10281.11     | 0.01%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                | Marsh & McLennan Cos Inc                                                                                                   | CUSIP: 571748AK8<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    125000 | PA      | $132169.09    | 0.16%             | 2033-08-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust                                                                                    | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154987 | PA      | $132936.16    | 0.16%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: B95VEAG06 CDS USD R V 03MEVENT II6895320220927 CCPCDX / Short: B95VEAG06 CDS USD P F  5.00000 II8805840220927 CCPCDX | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    878000 | OU      | $-5406.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4250000 | PA      | $4097265.41   | 4.91%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17810 | PA      | $18350.61     | 0.02%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |         1 | NC      | $10856.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Bill                                                                                                | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    833000 | PA      | $826100.26    | 0.99%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2017-SC02                                                                          | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22248 | PA      | $19382.34     | 0.02%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128MJJR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5342 | PA      | $5602.97      | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9751 | PA      | $9593.28      | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                   | Alibaba Group Holding Ltd                                                                                                  | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $159714.32    | 0.19%             | 2031-02-09      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UNITED OVERSEAS BANK LTD                                | United Overseas Bank Ltd                                                                                                   | CUSIP: 91127KAH5<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | DBT              | CORP              | SG        |    325000 | PA      | $299997.66    | 0.36%             | 2032-10-07      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM 2021-8 LLC                                                                                                            | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204849 | PA      | $182717.43    | 0.22%             | 2026-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                     | SVB Financial Group                                                                                                        | CUSIP: 78486QAF8<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    125000 | PA      | $91466.75     | 0.11%             | 2031-02-02      | Fixed         | 1.80%                 | No            |                  2 | On Loan: —       |
| Jol Air                                                 | JOL Air Ltd                                                                                                                | CUSIP: 46651NAB0<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |    226849 | PA      | $151111.16    | 0.18%             | 2044-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2007-5 Trust                                                                                       | CUSIP: 059523AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13204 | PA      | $12694.33     | 0.02%             | 2037-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                | Volkswagen Group of America Finance LLC                                                                                    | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    275000 | PA      | $267089.55    | 0.32%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                  | Egypt Government International Bond                                                                                        | CUSIP: 03846JAC4<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $124180.00    | 0.15%             | 2061-02-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137FXYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2950000 | PA      | $457803.98    | 0.55%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                         | VMC Finance 2021-HT1 LLC                                                                                                   | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    261056 | PA      | $252797.43    | 0.30%             | 2037-01-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| SEALED AIR CORP                                         | Sealed Air Corp                                                                                                            | CUSIP: 81211KAZ3<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64859.31     | 0.08%             | 2026-10-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2020-BNK30                                                                                                            | CUSIP: 06541UBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $462035.40    | 0.55%             | 2053-12-15      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                      | Octagon Investment Partners 51 Ltd                                                                                         | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $877817.70    | 1.05%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                            | Eurosail-NL 2007-2 BV                                                                                                      | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    300000 | PA      | $316165.45    | 0.38%             | 2040-10-17      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED USD / SOLD GBP                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-51526.06    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                                                           | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    125000 | PA      | $89623.36     | 0.11%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                      | Dominican Republic International Bond                                                                                      | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    225000 | PA      | $165863.27    | 0.20%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                         | Life Storage LP                                                                                                            | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              |  | US        |    125000 | PA      | $96468.29     | 0.12%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM 2022-3 LLC                                                                                                            | CUSIP: 693589AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266308 | PA      | $254628.37    | 0.31%             | 2027-06-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Headlands Residential                                   | Headlands Residential 2021-RPL1 LLC                                                                                        | CUSIP: 42210JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $327196.21    | 0.39%             | 2026-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        40 | NC      | $-25959.40    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| DXC TECHNOLOGY CO                                       | DXC Technology Co                                                                                                          | CUSIP: 23355LAL0<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |    350000 | PA      | $305243.65    | 0.37%             | 2026-09-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                                             | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $284200.58    | 0.34%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                | Rogers Communications Inc                                                                                                  | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $136485.66    | 0.16%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                     | Medline Borrower LP                                                                                                        | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |    150000 | PA      | $121161.75    | 0.15%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital                                            | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $117120.81    | 0.14%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2015-GC33                                                                              | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140010 | PA      | $77886.83     | 0.09%             | 2058-09-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                  | Export-Import Bank of India                                                                                                | CUSIP: 30216JAE5<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    200000 | PA      | $173804.35    | 0.21%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-3                                                                          | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $408231.27    | 0.49%             | 2056-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                     | Petroleos Mexicanos                                                                                                        | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    448000 | PA      | $352666.50    | 0.42%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                       | General Motors Co                                                                                                          | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     75000 | PA      | $73721.76     | 0.09%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $328617.01    | 0.39%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PELOTON INTERACTIVE INC                                 | Peloton Interactive Inc                                                                                                    | CUSIP: 70614WAB6<br>LEI: 5493002YS021166W0339 | Long             | DBT              | CORP              | US        |    235000 | PA      | $167747.36    | 0.20%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2020-555                                                                               | CUSIP: 17328EAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $195107.15    | 0.23%             | 2041-12-10      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                 | Jersey Central Power & Light Co                                                                                            | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    150000 | PA      | $121525.77    | 0.15%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2014-C21                                                                        | CUSIP: 46642EBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2662841 | PA      | $25351.97     | 0.03%             | 2047-08-15      | Variable      | 0.94%                 | 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        |    125000 | PA      | $122837.14    | 0.15%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                              | Grifols SA                                                                                                                 | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $187508.71    | 0.22%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387882 | PA      | $29822.30     | 0.04%             | 2043-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR ISSUER TRUST 2022-GT1                                                                                           | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $284312.73    | 0.34%             | 2027-05-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                    | PRET 2021-NPL6 LLC                                                                                                         | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153580 | PA      | $142616.21    | 0.17%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                                                      | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $283173.60    | 0.34%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                                                                         | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455205 | PA      | $45626.37     | 0.05%             | 2044-06-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21638 | PA      | $23110.78     | 0.03%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2007-OA7                                                                                            | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |     70051 | PA      | $59048.70     | 0.07%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                     | NOVA Chemicals Corp                                                                                                        | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    165000 | PA      | $135130.05    | 0.16%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138AXVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156298 | PA      | $151218.76    | 0.18%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26386 | PA      | $25369.72     | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15457 | PA      | $15973.40     | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                               | CIM Trust 2021-INV1                                                                                                        | CUSIP: 12566PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369091 | PA      | $296743.29    | 0.36%             | 2051-07-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-NR4                                                                                                         | CUSIP: 12566DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231075 | PA      | $214276.52    | 0.26%             | 2061-10-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H8C74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $217282.64    | 0.26%             | 2050-06-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                                                                | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    275000 | PA      | $254250.94    | 0.30%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                                                   | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    175000 | PA      | $144596.82    | 0.17%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                             | Legacy Mortgage Asset Trust 2020-GS4                                                                                       | CUSIP: 52474KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314459 | PA      | $308718.60    | 0.37%             | 2060-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Sage AR Funding                                         | Sage AR Funding                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    400000 | PA      | $438546.65    | 0.53%             | 2051-11-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418DD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49238 | PA      | $43145.68     | 0.05%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                                                                 | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    175000 | PA      | $122873.52    | 0.15%             | 2041-08-12      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | PURCHASED USD / SOLD AUD                                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-28170.56    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $594.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71425.87     | 0.09%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                       | Imperial Fund Mortgage Trust 2022-NQM1                                                                                     | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273812 | PA      | $238320.49    | 0.29%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust 2021-RM1                                                                               | CUSIP: 10638CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236707 | PA      | $202705.57    | 0.24%             | 2063-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H5XX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625000 | PA      | $116384.00    | 0.14%             | 2032-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PNMAC GMSR ISSUER TRUST 2018-GT1                                                                                           | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300851.58    | 0.36%             | 2023-02-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DFD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10072 | PA      | $10372.79     | 0.01%             | 2037-08-01      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                                                                          | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    216074 | PA      | $190637.50    | 0.23%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                | Northern States Power Co/MN                                                                                                | CUSIP: 665772CR8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    150000 | PA      | $103312.01    | 0.12%             | 2050-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                  | Galaxy Pipeline Assets Bidco Ltd                                                                                           | CUSIP: 36321PAA8<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    263897 | PA      | $244903.21    | 0.29%             | 2027-09-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31412TYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       762 | PA      | $818.55       | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                     | Macquarie Group Ltd                                                                                                        | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    125000 | PA      | $96202.62     | 0.12%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-VAMF                                                                                                         | CUSIP: 05609TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $364197.09    | 0.44%             | 2039-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED CNY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |         1 | NC      | $-36.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |         1 | NC      | $2387.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                         | Allegro CLO XI Ltd                                                                                                         | CUSIP: 01750HAA0<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246368.75    | 0.30%             | 2033-01-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                         | Cologix Canadian Issuer LP                                                                                                 | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    400000 | PA      | $269979.32    | 0.32%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| AIRBNB INC                                              | Airbnb Inc                                                                                                                 | CUSIP: 009066AB7<br>LEI: 549300HMUDNO0RY56D37 | Long             | DBT              | CORP              | US        |    130000 | PA      | $107315.00    | 0.13%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2017-SC02                                                                          | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    153283 | PA      | $131336.73    | 0.16%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                              | Start II LTD                                                                                                               | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    122672 | PA      | $104839.68    | 0.13%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172531 | PA      | $159023.69    | 0.19%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                 | Philippine Government International Bond                                                                                   | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $171791.35    | 0.21%             | 2047-03-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20117 | PA      | $21408.80     | 0.03%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                                                               | CUSIP: 20030NDM0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    200000 | PA      | $162144.45    | 0.19%             | 2031-01-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-1                                                                          | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    545315 | PA      | $482348.25    | 0.58%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                                                                          | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $169352.78    | 0.20%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                         | Cologix Data Centers US Issuer LLC                                                                                         | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $197121.65    | 0.24%             | 2051-12-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                              | NBN Co Ltd                                                                                                                 | CUSIP: 62878U2B7<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |    225000 | PA      | $178719.54    | 0.21%             | 2031-05-05      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust               | Taubman Centers Commercial Mortgage Trust 2022-DPM                                                                         | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $438066.18    | 0.53%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2016-SC02                                                                          | CUSIP: 3137G1BD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54802 | PA      | $48096.68     | 0.06%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                       | EURO-BTP FUTURE MAR23                                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -3 | NC      | $28409.71     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        16 | NC      | $-18250.64    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SVB FINANCIAL GROUP                                     | SVB Financial Group                                                                                                        | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    100000 | PA      | $57732.13     | 0.07%             | 2031-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3620ARRB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135535 | PA      | $126728.05    | 0.15%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vita Scientia                                           | Vita Scientia 2022-1 DAC                                                                                                   | CUSIP: 000000000<br>LEI: 635400JHBEHLCY2DZM20 | Long             | ABS-MBS          | CORP              | IE        |    250000 | PA      | $233437.20    | 0.28%             | 2025-08-27      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |         1 | NC      | $19.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                | Virginia Electric and Power Co                                                                                             | CUSIP: 927804GF5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    125000 | PA      | $82716.32     | 0.10%             | 2051-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-0.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 3617J7FM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1634 | PA      | $1642.52      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2015-SC02                                                                          | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83978 | PA      | $72843.60     | 0.09%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO Ltd                                        | Sculptor CLO XXVI Ltd                                                                                                      | CUSIP: 81124TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840000 | PA      | $819162.96    | 0.98%             | 2034-07-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group Inc                                 | CNO Financial Group Inc                                                                                                    | CUSIP: 12621EAL7<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |     95000 | PA      | $90711.61     | 0.11%             | 2029-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                                                                | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    375000 | PA      | $338984.83    | 0.41%             | 2029-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SWAP MORGAN STANLEY COC                                 | SWAP MORGAN STANLEY COC                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     75000 | NS      | $75000.00     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2825000 | PA      | $2569645.00   | 3.08%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jackson Park Trust                                      | Jackson Park Trust 2019-LIC                                                                                                | CUSIP: 46868RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $289985.84    | 0.35%             | 2039-10-14      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                  | BP Capital Markets PLC                                                                                                     | CUSIP: 05565QDU9<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     75000 | PA      | $71812.50     | 0.09%             | 2025-06-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2014-GC24                                                                                     | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4093832 | PA      | $37276.59     | 0.04%             | 2047-09-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-4                                                                          | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    472771 | PA      | $418678.47    | 0.50%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                                                             | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20407.28     | 0.02%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2022-A LLC                                                                                      | CUSIP: 20825YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $396946.44    | 0.48%             | 2026-12-15      | Fixed         | 9.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                                                                         | CUSIP: 36194TQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102465 | PA      | $95239.15     | 0.11%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2020-1 Trust                                                                                                     | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376211 | PA      | $314158.90    | 0.38%             | 2055-04-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM 2021-9 LLC                                                                                                            | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222655 | PA      | $202234.17    | 0.24%             | 2026-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                                                             | CUSIP: 023135BU9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    100000 | PA      | $60714.46     | 0.07%             | 2060-06-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                         | Bayview MSR Opportunity Master Fund Trust 2021-INV5                                                                        | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222044 | PA      | $186413.16    | 0.22%             | 2051-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                 | Duke Energy Indiana LLC                                                                                                    | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |     83000 | PA      | $52467.78     | 0.06%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-2                                                                          | CUSIP: 35563PKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    191179 | PA      | $169816.93    | 0.20%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DC66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11045 | PA      | $11362.96     | 0.01%             | 2037-05-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                                                                          | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    160321 | PA      | $150603.01    | 0.18%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust                                                                                    | CUSIP: 3137G1BL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81508 | PA      | $71089.76     | 0.09%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                               | NovaStar Mortgage Funding Trust Series 2003-3                                                                              | CUSIP: 66987XCT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175353 | PA      | $172727.41    | 0.21%             | 2033-12-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9677 | PA      | $9962.03      | 0.01%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | New Residential Mortgage LLC 2020-FNT2                                                                                     | CUSIP: 64830YAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330239 | PA      | $311611.86    | 0.37%             | 2025-07-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                         | CVS Health Corp                                                                                                            | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135395.30    | 0.16%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138EGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61754 | PA      | $61216.40     | 0.07%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2021-HB7 LLC                                                                                                          | CUSIP: 12530BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $319744.43    | 0.38%             | 2031-10-27      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| OVERSEA-CHINESE BANKING                                 | Oversea-Chinese Banking Corp Ltd                                                                                           | CUSIP: 69033CAD1<br>LEI: 5493007O3QFXCPOGWK22 | Long             | DBT              | CORP              | SG        |    200000 | PA      | $179657.00    | 0.22%             | 2030-09-10      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust 2017-4                                                                                 | CUSIP: 35563PDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $232120.25    | 0.28%             | 2057-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Highways PLC                                            | Highways 2021 PLC                                                                                                          | CUSIP: 000000000<br>LEI: 635400GGBFFTA8MRIA09 | Long             | ABS-MBS          | CORP              | GB        |    299998 | PA      | $347761.73    | 0.42%             | 2031-12-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM 2022-2 LLC                                                                                                            | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290417 | PA      | $272101.34    | 0.33%             | 2027-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                        | BAT Capital Corp                                                                                                           | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    275000 | PA      | $228684.69    | 0.27%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust 2013-C13                                                                                   | CUSIP: 92937UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $364972.43    | 0.44%             | 2045-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| SILGAN HOLDINGS INC                                     | Silgan Holdings Inc                                                                                                        | CUSIP: 827048AX7<br>LEI: KAF673KJXD92C8KSLU49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176678.42    | 0.21%             | 2026-04-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                                    | Garda World Security Corp                                                                                                  | CUSIP: 36485MAK5<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $176940.00    | 0.21%             | 2027-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                                                                  | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $211416.48    | 0.25%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                                                                  | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43318.07     | 0.05%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                       | Real Estate Asset Liquidity Trust                                                                                          | CUSIP: 75585RSK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   3437435 | PA      | $114217.29    | 0.14%             | 2031-02-12      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2022-HB8 LLC                                                                                                          | CUSIP: 12526WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $259005.00    | 0.31%             | 2025-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                                                                  | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $105024.60    | 0.13%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solut                                  | Mauser Packaging Solutions Holding Co                                                                                      | CUSIP: 12429TAE4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111213.21    | 0.13%             | 2025-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| JBS USA/FOOD/FINANCE                                    | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                                                                     | CUSIP: 46590XAR7<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | XX        |    225000 | PA      | $197124.75    | 0.24%             | 2027-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| McLaren Health Care Corp                                | McLaren Health Care Corp                                                                                                   | CUSIP: 581760AV7<br>LEI: 549300OY1YHQK68ZQX37 | Long             | DBT              | CORP              | US        |    150000 | PA      | $125573.09    | 0.15%             | 2048-05-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                | Telefonica Emisiones SA                                                                                                    | CUSIP: 87938WAT0<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    300000 | PA      | $285080.11    | 0.34%             | 2027-03-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2007-QS2 Trust                                                                                                 | CUSIP: 74923CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6070 | PA      | $4899.56      | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2021-3                                                                                             | CUSIP: 61946TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186717 | PA      | $141440.68    | 0.17%             | 2052-06-20      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust             | MF1 2021-W10X                                                                                                              | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $453665.04    | 0.54%             | 2034-12-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Commercial Mortgage Securities Trust 2022-DKLX                                                                       | CUSIP: 05530SAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $329141.26    | 0.39%             | 2039-01-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust 2021-RM2                                                                               | CUSIP: 10638MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242580 | PA      | $213014.33    | 0.26%             | 2061-10-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2015-GC35                                                                              | CUSIP: 17324KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270126 | PA      | $37140.29     | 0.04%             | 2048-11-10      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                         | Nissan Motor Co Ltd                                                                                                        | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $269513.43    | 0.32%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                        | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    125000 | PA      | $95903.93     | 0.11%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        42 | NC      | $-29352.90    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                                                           | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $113770.61    | 0.14%             | 2037-01-10      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2016-SC01                                                                          | CUSIP: 3137G1AW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43275 | PA      | $37992.90     | 0.05%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                                                                         | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235656.33    | 0.28%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                              | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    475000 | PA      | $370568.39    | 0.44%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2014-LC17 Mortgage Trust                                                                                              | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2202794 | PA      | $19646.06     | 0.02%             | 2047-10-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                       | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41531.52     | 0.05%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         6 | NC      | $-17393.32    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FELLS POINT FUNDING TR                                  | Fells Point Funding Trust                                                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $227879.12    | 0.27%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-3                                                                          | CUSIP: 35563PCE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165371 | PA      | $162672.25    | 0.19%             | 2056-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6764 | PA      | $6950.13      | 0.01%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                 | Imperial Brands Finance PLC                                                                                                | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $334802.91    | 0.40%             | 2024-07-26      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1025000 | PA      | $1010906.71   | 1.21%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418CX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55032 | PA      | $52912.78     | 0.06%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp Reverse Mortgage Loan Trust 2007-RM1                                                      | CUSIP: 86363BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889639 | PA      | $791122.89    | 0.95%             | 2047-05-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                                                                   | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246982.71    | 0.30%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2007-15CB                                                                                           | CUSIP: 02151CAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37355 | PA      | $23858.54     | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39239 | PA      | $35535.82     | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                                                                   | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    225000 | PA      | $173574.07    | 0.21%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                            | MKT 2020-525M Mortgage Trust                                                                                               | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $107825.44    | 0.13%             | 2040-02-12      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                | Italy Buoni Poliennali Del Tesoro                                                                                          | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    621204 | PA      | $627353.00    | 0.75%             | 2027-10-28      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                  | Banc of America Alternative Loan Trust 2006-7                                                                              | CUSIP: 059469AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252565 | PA      | $76651.69     | 0.09%             | 2036-10-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                    | Westpac Banking Corp                                                                                                       | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     75000 | PA      | $55900.46     | 0.07%             | 2035-11-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140E7GS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44527 | PA      | $42899.04     | 0.05%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust 2021-APPL                                                                     | CUSIP: 63874AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $307988.10    | 0.37%             | 2038-08-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $125937.82    | 0.15%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                | American Airlines Inc/AAdvantage Loyalty IP Ltd                                                                            | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    160000 | PA      | $146521.73    | 0.18%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                 | Global Partners LP / GLP Finance Corp                                                                                      | CUSIP: 37954FAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $76096.56     | 0.09%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust 2019-MILE                                                                     | CUSIP: 63875FAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $455999.05    | 0.55%             | 2036-07-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137FUZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $229955.45    | 0.28%             | 2038-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                   | Lehman Mortgage Trust 2007-8                                                                                               | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623279 | PA      | $227842.06    | 0.27%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-1855.09     | -0.00%            |  |  |  | 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        |    300000 | PA      | $193210.29    | 0.23%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26449 | PA      | $26216.81     | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                                                              | CUSIP: 46642CBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4224984 | PA      | $25468.42     | 0.03%             | 2047-07-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HEATH SYS TX                                 | Children's Health System of Texas                                                                                          | CUSIP: 16876HAB5<br>LEI: 254900FK4IY1J5YO2L69 | Long             | DBT              | CORP              | US        |    175000 | PA      | $105254.49    | 0.13%             | 2050-08-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H9MB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $293683.22    | 0.35%             | 2055-11-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2018-3                                                                          | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    346774 | PA      | $307405.97    | 0.37%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9526 | PA      | $9871.62      | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co                                    | Matador Resources Co                                                                                                       | CUSIP: 576485AE6<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    205000 | PA      | $197398.40    | 0.24%             | 2026-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                   | Dick's Sporting Goods Inc                                                                                                  | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    250000 | PA      | $162099.02    | 0.19%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31393DKH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $976.46       | 0.00%             | 2033-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | PURCHASED MXN / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |         1 | NC      | $-35.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14808 | PA      | $15745.75     | 0.02%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Illinois State Toll Highway Authority                   | ILLINOIS ST TOLL HIGHWAY AUTH                                                                                              | CUSIP: 452252FH7<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |    705000 | PA      | $758020.23    | 0.91%             | 2034-01-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| HELLENIC REPUBLIC                                       | Hellenic Republic Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    143000 | PA      | $143511.42    | 0.17%             | 2027-04-22      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                               | BPR Trust 2022-SSP                                                                                                         | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $347360.93    | 0.42%             | 2039-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1144757.81   | 1.37%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                          | Lowe's Cos Inc                                                                                                             | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72239.60     | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-3                                                                          | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76327 | PA      | $67864.39     | 0.08%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED AUD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |         1 | NC      | $0.50         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | JP        |         1 | NC      | $2714.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD SEK                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $1966.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17399 | PA      | $18084.38     | 0.02%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2015-SC01                                                                          | CUSIP: 3137G1AC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7409 | PA      | $6513.41      | 0.01%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust 2021-OVA                                                                                                  | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3650000 | PA      | $58683.79     | 0.07%             | 2041-07-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                        | COLT 2021-RPL1 Trust                                                                                                       | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154053 | PA      | $135051.40    | 0.16%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                                                           | CUSIP: 3133JL4R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53546 | PA      | $41814.82     | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-3                                                                          | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74073 | PA      | $69693.27     | 0.08%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418DE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70980 | PA      | $66134.35     | 0.08%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                      | JP Morgan Alternative Loan Trust                                                                                           | CUSIP: 46627MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31946 | PA      | $26948.35     | 0.03%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13617 | PA      | $14544.69     | 0.02%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-WEHO                                                                                                             | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513579 | PA      | $501799.22    | 0.60%             | 2023-04-15      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| PMC PLS ESR Issuer LLC                                  | PMC PLS ESR Issuer LLC                                                                                                     | CUSIP: 69375JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264522 | PA      | $249332.39    | 0.30%             | 2027-02-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust 2021-8INV                                                                                          | CUSIP: 33852HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371217 | PA      | $298568.38    | 0.36%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                  | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    325000 | PA      | $322764.05    | 0.39%             | 2023-07-03      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137F84K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715000 | PA      | $107961.14    | 0.13%             | 2049-01-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H7ZE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    775000 | PA      | $178878.22    | 0.21%             | 2054-06-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                  | Pertamina Persero PT                                                                                                       | CUSIP: 69370RAL1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    450000 | PA      | $364791.11    | 0.44%             | 2031-02-09      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31382XP95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $203.28       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140E5ZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10278 | PA      | $10323.41     | 0.01%             | 2045-12-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                                                                        | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $130160.57    | 0.16%             | 2031-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137H4RJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $128685.08    | 0.15%             | 2036-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                                 | PMT Issuer Trust - FMSR                                                                                                    | CUSIP: 69346MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $288692.43    | 0.35%             | 2027-06-25      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                             | Wayfair Inc                                                                                                                | CUSIP: 94419LAM3<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |    285000 | PA      | $187102.50    | 0.22%             | 2025-10-01      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                                                                         | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $185796.40    | 0.22%             | 2028-03-24      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                               | MFT Trust 2020-ABC                                                                                                         | CUSIP: 55317BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $124337.02    | 0.15%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2019-1AA                                | Delta Air Lines 2019-1 Class AA Pass Through Trust                                                                         | CUSIP: 24737BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $146292.17    | 0.18%             | 2024-04-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                 | Piedmont Natural Gas Co Inc                                                                                                | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    125000 | PA      | $102296.99    | 0.12%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -15 | NC      | $-1382.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                                                           | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $170308.30    | 0.20%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                 | Standard Industries Inc/NJ                                                                                                 | CUSIP: 000000000<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114986.75    | 0.14%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                                                             | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    160000 | PA      | $120476.00    | 0.14%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                                                                  | CUSIP: 3136FCRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5902 | PA      | $1069.79      | 0.00%             | 2035-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                                 | Australia & New Zealand Banking Group Ltd                                                                                  | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $147163.05    | 0.18%             | 2035-11-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                                                                           | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    305980 | PA      | $245971.12    | 0.29%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                 | SG Commercial Mortgage Securities Trust 2020-COVE                                                                          | CUSIP: 78397FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $393588.97    | 0.47%             | 2037-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148754 | PA      | $143750.64    | 0.17%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                                    | Falcon 2019-1 Aerospace Ltd                                                                                                | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    176080 | PA      | $142896.17    | 0.17%             | 2039-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-86CB                                                                                           | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2428 | PA      | $1511.98      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                                                                  | CUSIP: 31364HN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       218 | PA      | $10.51        | 0.00%             | 2026-11-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DKA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4761 | PA      | $4934.15      | 0.01%             | 2037-10-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31403MRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2758 | PA      | $2897.05      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-2                                                                          | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99776 | PA      | $93800.78     | 0.11%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                   | VOLT CV LLC                                                                                                                | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162697 | PA      | $143673.65    | 0.17%             | 2051-11-27      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |         1 | NC      | $1353.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                                        | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   9870744 | NS      | $9870744.03   | 11.83%            |  |  |  | No            |                  1 | On Loan: No      |
| SYNGENTA FINANCE NV                                     | Syngenta Finance NV                                                                                                        | CUSIP: 87164KAG9<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $290820.41    | 0.35%             | 2025-04-24      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM                                           | Bank Hapoalim BM                                                                                                           | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |    225000 | PA      | $194566.50    | 0.23%             | 2032-01-21      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195516 | PA      | $168743.94    | 0.20%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2019-BNK21                                                                                                            | CUSIP: 06540BBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3502744 | PA      | $145882.79    | 0.17%             | 2052-10-17      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2017-3                                                                          | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    324676 | PA      | $284750.56    | 0.34%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIONS GATE CAPITAL HOLD                                 | Lions Gate Capital Holdings LLC                                                                                            | CUSIP: 53627NAE1<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |    145000 | PA      | $84259.06     | 0.10%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2020-3                                                                          | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $515416.98    | 0.62%             | 2060-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                   | Level 3 Financing Inc                                                                                                      | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    175000 | PA      | $148178.70    | 0.18%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DDA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14259 | PA      | $14664.61     | 0.02%             | 2037-04-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26276 | PA      | $27904.93     | 0.03%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                                                                   | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $100761.05    | 0.12%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                | Public Service Enterprise Group Inc                                                                                        | CUSIP: 744573AU0<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    150000 | PA      | $120261.29    | 0.14%             | 2031-11-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                                | Banque Ouest Africaine de Developpement                                                                                    | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |    350000 | PA      | $299862.50    | 0.36%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                     | Ecuador Government International Bond                                                                                      | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     62425 | PA      | $25708.57     | 0.03%             | 2040-07-31      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140FCXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161197 | PA      | $150163.62    | 0.18%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE9 Mortgage Trust                                                                                             | CUSIP: 12625UBC6<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |   5781292 | PA      | $229.81       | 0.00%             | 2045-07-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                                                             | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $8612.40      | 0.01%             | 2046-04-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64694 | PA      | $62477.71     | 0.07%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                   | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205260 | PA      | $22583.45     | 0.03%             | 2058-08-20      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15716 | PA      | $16394.84     | 0.02%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                                                                 | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    250000 | PA      | $169668.13    | 0.20%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GC34                                                                                     | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   4478574 | PA      | $120294.72    | 0.14%             | 2048-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $861.49       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                               | CUSIP: 3137F9ZB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1635498 | PA      | $249796.20    | 0.30%             | 2049-02-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31418W5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44243 | PA      | $44767.75     | 0.05%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01 | Multifamily Connecticut Avenue Securities Trust 2020-01                                                                    | CUSIP: 62548QAB7<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |     14569 | PA      | $14463.36     | 0.02%             | 2050-03-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1951 | PA      | $1987.34      | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3132GLB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102433 | PA      | $99228.22     | 0.12%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3436 | PA      | $3457.30      | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2016-SC01                                                                          | CUSIP: 3137G1AV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25430 | PA      | $21962.76     | 0.03%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                           | PURCHASED USD / SOLD EUR                                                                                                   | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-150038.50   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                               | Uniform Mortgage-Backed Security, TBA                                                                                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2608126.17   | 3.13%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253441 | PA      | $233598.99    | 0.28%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED EUR / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | XX        |         1 | NC      | $1710.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                              | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1                                                                 | CUSIP: 09228YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    346915 | PA      | $229530.91    | 0.28%             | 2041-12-16      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                                                                          | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    175000 | PA      | $167390.78    | 0.20%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                                                                         | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1522 | PA      | $260.11       | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VTR FINANCE BV                                          | VTR Finance NV                                                                                                             | CUSIP: 918374AA7<br>LEI: 213800F4XI4RJB82XM19 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $77559.16     | 0.09%             | 2028-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9619 | PA      | $10194.01     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                                                                         | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     73000 | PA      | $63806.68     | 0.08%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                                                                          | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88368 | PA      | $18505.95     | 0.02%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-A4                                                                                           | CUSIP: 46631JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26183 | PA      | $21116.01     | 0.03%             | 2037-06-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2015-SC01                                                                          | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30967 | PA      | $26720.33     | 0.03%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                          | Newday Funding Master Issuer PLC - Series 2022-1                                                                           | CUSIP: 65120LAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    500000 | PA      | $488522.00    | 0.59%             | 2030-04-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                                                              | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    150000 | PA      | $114525.06    | 0.14%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED USD / SOLD ZAR                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-44944.56    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                                 | Hundred Acre Wood Trust 2021-INV2                                                                                          | CUSIP: 44555PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396165 | PA      | $318262.49    | 0.38%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-86CB                                                                                           | CUSIP: 12668BFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4764 | PA      | $2966.59      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                  | Banc of America Alternative Loan Trust 2006-6                                                                              | CUSIP: 059487AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89313 | PA      | $71645.00     | 0.09%             | 2046-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                       | General Motors Co                                                                                                          | CUSIP: 37045VAL4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72246.49     | 0.09%             | 2046-04-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | PURCHASED GBP / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |         1 | NC      | $-159.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                                | Republic of South Africa Government Bond                                                                                   | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  12298000 | PA      | $617351.82    | 0.74%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3250 | PA      | $3386.87      | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                              | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151074.21    | 0.18%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                                                                          | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    257316 | PA      | $226961.13    | 0.27%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                             | Ivory Coast Government International Bond                                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    125000 | PA      | $106120.35    | 0.13%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31286DB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16943 | PA      | $17549.11     | 0.02%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                        | RALI Series 2006-QS4 Trust                                                                                                 | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15617 | PA      | $12213.02     | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED CAD / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |         1 | NC      | $-34.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2015-SC02                                                                          | CUSIP: 3137G1AL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72386 | PA      | $63491.61     | 0.08%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275761 | PA      | $258211.28    | 0.31%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                                                                        | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    225000 | PA      | $211703.62    | 0.25%             | 2025-01-22      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                       | HSBC Holdings PLC                                                                                                          | CUSIP: 404280BZ1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $437665.08    | 0.52%             | 2025-03-11      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                            | GAIA Aviation Ltd                                                                                                          | CUSIP: 87404LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    349980 | PA      | $198665.21    | 0.24%             | 2044-12-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Note/Bond                                                                                           | CUSIP: 912828ZD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $446576.26    | 0.54%             | 2023-03-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2724 | PA      | $2813.14      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                  | UNIV OF MICHIGAN MI                                                                                                        | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    170000 | PA      | $138327.76    | 0.17%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                     | NEW YORK NY                                                                                                                | CUSIP: 64966HYM6<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    245000 | PA      | $262416.98    | 0.31%             | 2036-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2015-SC01                                                                          | CUSIP: 3137G1AF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1312 | PA      | $1310.67      | 0.00%             | 2045-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LIMITED                           | LUNAR AIRCRAFT 2020-1 LTD                                                                                                  | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105173 | PA      | $86472.45     | 0.10%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                       | EURO-BUXL 30Y BND MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -1 | NC      | $26070.43     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3140JBXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292636 | PA      | $231268.64    | 0.28%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PMT ISSUER TRUST - FMSR                                 | PMT Issuer Trust - FMSR                                                                                                    | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $631870.72    | 0.76%             | 2026-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                          | Var Energi ASA                                                                                                             | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $204112.84    | 0.24%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                    | PURCHASED USD / SOLD CAD                                                                                                   | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |         1 | NC      | $562.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                            | CUSIP: 3138X0PH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196823 | PA      | $190766.22    | 0.23%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE COAL INFRASTRU                                | Newcastle Coal Infrastructure Group Pty Ltd                                                                                | CUSIP: 65106WAA3<br>LEI: 549300YAJ8XYYGW2TZ32 | Long             | DBT              | CORP              | AU        |    275000 | PA      | $237257.35    | 0.28%             | 2027-09-29      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                                                                      | CUSIP: 3128KVBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3680.24      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                         | ChaseFlex Trust Series 2007-1                                                                                              | CUSIP: 16165VAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307038 | PA      | $125838.97    | 0.15%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Mortgage Trust 2022-C18                                                                                              | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $102939.94    | 0.12%             | 2055-12-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| SPLUNK INC                                              | Splunk Inc                                                                                                                 | CUSIP: 848637AF1<br>LEI: 549300XGDSGBP6UEI867 | Long             | DBT              | CORP              | US        |    200000 | PA      | $169760.00    | 0.20%             | 2027-06-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    525000 | PA      | $419942.26    | 0.50%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| JOHNS HOPKINS UNIVERSITY                                | Johns Hopkins University                                                                                                   | CUSIP: 478115AF5<br>LEI: 549300Z1XKWYKTIOM958 | Long             | DBT              | CORP              | US        |    145000 | PA      | $91240.34     | 0.11%             | 2060-01-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                    | Enel Finance International NV                                                                                              | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    225000 | PA      | $203259.36    | 0.24%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                     | Coinbase Global Inc                                                                                                        | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |    110000 | PA      | $58289.00     | 0.07%             | 2028-10-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Mississippi Power Co                                    | Mississippi Power Co                                                                                                       | CUSIP: 605417CB8<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    275000 | PA      | $258381.52    | 0.31%             | 2028-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                   | PRPM 2021-11 LLC                                                                                                           | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313109 | PA      | $283937.83    | 0.34%             | 2026-11-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                          | PURCHASED CNY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |         1 | NC      | $-76.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                          | JPN 10Y BOND(OSE) MAR23                                                                                                    | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -1 | NC      | $20268.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cascade Funding Mortgage Trust                          | CFMT 2022-HB9 LLC                                                                                                          | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $179729.50    | 0.22%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago O'Hare International Airport                    | CHICAGO IL O'HARE INTERNATIONAL ARPT REVENUE                                                                               | CUSIP: 167593AN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    115000 | PA      | $128808.40    | 0.15%             | 2040-01-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                  | Egypt Government International Bond                                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $149503.69    | 0.18%             | 2031-04-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SPOTIFY USA INC                                         | Spotify USA Inc                                                                                                            | CUSIP: 84921RAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $113400.00    | 0.14%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                                    | GCAT 2022-NQM3 Trust                                                                                                       | CUSIP: 36168MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500897 | PA      | $485833.31    | 0.58%             | 2067-04-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | New Residential Mortgage LLC                                                                                               | CUSIP: 64830YAA5<br>LEI: 549300FB4YR8GY21CA08 | Long             | ABS-O            | CORP              | US        |    325215 | PA      | $306301.12    | 0.37%             | 2025-06-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                                 | Hundred Acre Wood Trust 2021-INV3                                                                                          | CUSIP: 44555QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486157 | PA      | $390559.08    | 0.47%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                                                                    | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $107051.61    | 0.13%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2017-KF27 Mortgage Trust                                                                                             | CUSIP: 30301BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39468 | PA      | $37624.56     | 0.05%             | 2026-12-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                    | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $205423.27    | 0.25%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust 2017-4                                                                                 | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575719 | PA      | $567288.87    | 0.68%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                                                                  | CUSIP: 31364HS65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $0.01         | 0.00%             | 2024-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                | Rockies Express Pipeline LLC                                                                                               | CUSIP: 77340RAS6<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94587.00     | 0.11%             | 2025-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2013-GCJ14                                                                                    | CUSIP: 36198FAV4<br>LEI: 549300ITVQSU1IHX4H03 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $403917.78    | 0.48%             | 2046-08-10      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | PURCHASED JPY / SOLD USD                                                                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |         1 | NC      | $24287.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC CREDITO INVERSIONES                                | Banco de Credito e Inversiones SA                                                                                          | CUSIP: 05890MAB9<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |    225000 | PA      | $187493.92    | 0.22%             | 2031-10-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Trust                            | Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC                                                                                 | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249358 | PA      | $220807.46    | 0.26%             | 2026-10-16      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                                                              | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2514868 | PA      | $43396.19     | 0.05%             | 2049-12-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust 2016-SC02                                                                          | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79992 | PA      | $68880.61     | 0.08%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                           | UWM Mortgage Trust 2021-INV3                                                                                               | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342564 | PA      | $276272.48    | 0.33%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1                            | TVC Mortgage Trust 2020-RTL1                                                                                               | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58557 | PA      | $58417.17     | 0.07%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2007-S2                                                                                           | CUSIP: 46630WAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4100 | PA      | $5787.98      | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                     | Georgia-Pacific LLC                                                                                                        | CUSIP: 37331NAK7<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    175000 | PA      | $145690.17    | 0.17%             | 2030-04-30      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                                                                      | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $241435.20    | 0.29%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO XX Ltd                                                                                         | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $380932.11    | 0.46%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                | Last Mile Logistics Pan Euro Finance DAC                                                                                   | CUSIP: 000000000<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |     99554 | PA      | $95720.28     | 0.11%             | 2033-08-17      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BELROSE FUNDING TRUST                                   | Belrose Funding Trust                                                                                                      | CUSIP: 080807AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $75944.46     | 0.09%             | 2030-08-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE                                   | Banco Santander Chile                                                                                                      | CUSIP: 05970FAC5<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |    150000 | PA      | $142549.05    | 0.17%             | 2025-01-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                                                                          | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83822 | PA      | $80351.42     | 0.10%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                                    | Conn's Receivables Funding 2021-A LLC                                                                                      | CUSIP: 20825GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $122808.45    | 0.15%             | 2026-05-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                                  | Resorts World Las Vegas LLC / RWLV Capital Inc                                                                             | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $142146.32    | 0.17%             | 2029-04-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                              | Dexcom Inc                                                                                                                 | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |    200000 | PA      | $218500.00    | 0.26%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: —       |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                                                                  | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $208500.00    | 0.25%             | 2082-10-31      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-19

**Name of Applicant:** MORGAN STANLEY VARIABLE INSURANCE FUND INC.

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer