# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044307
**Filing Date:** 2023-2
**Character Count:** 193635
**Document Hash:** e07fcebde3232a23688eedac1a536062
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044307.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044307

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340
- **IRS NUMBER:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679266

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### MainStay VP MacKay Strategic Bond Portfolio (Series ID: S000031904)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000099347 | Initial Class |  |
| C000099348 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MAINSTAY VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** MainStay VP MacKay Strategic Bond Portfolio

- **b. EDGAR series identifier (if any):** S000031904

- **c. LEI of Series:** 6C5519UGH7WX3W03CU84

**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:** $729008392.90

**Total Liabilities:** $5516816.82

**Net Assets:** $723491576.08

**Cash Not Reported:** $5531876.21

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1047.36000000 | **1-Year:** -13138.19000000 | **5-Year:** -51871.30000000 | **10-Year:** -46212.18000000 | **30-Year:** -76052.12000000

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

- **3-Month:** -1049.09000000 | **1-Year:** -6167.75000000 | **5-Year:** -36898.60000000 | **10-Year:** -53647.21000000 | **30-Year:** -97978.57000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099347 | -0.08%               | 2.64%                | 0.42%                |
| Class ID C000099348 | -0.10%               | 2.62%                | 0.40%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2058803.84             | $-1243550.41                               |
| Month 2  | $-2960931.25             | $19350926.85                               |
| Month 3  | $-3864123.90             | $4131874.23                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** LHMN0001

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2018-DNA2, Class B1                                 | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | CORP              | US        |   4225000 | PA      | $4231565.23   | 0.58%             | 2030-12-25      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                         | Western Midstream Operating LP                                                | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1627005.00   | 0.22%             | 2050-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K80, Class C                                | CUSIP: 30307RAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1385000 | PA      | $1250175.10   | 0.17%             | 2050-08-25      | Variable      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2020-SFR3, Class B                         | CUSIP: 74333AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1484117.21   | 0.21%             | 2027-10-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                            | Toll Brothers Finance Corp.                                                   | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2089000 | PA      | $1897984.68   | 0.26%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-DNA2, Class B1                           | CUSIP: 35565KBD9<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   3860000 | PA      | $3605216.45   | 0.50%             | 2050-02-25      | Floating      | 6.89%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2020-1, Class E                            | CUSIP: 33843FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2460000 | PA      | $2208589.72   | 0.31%             | 2027-06-15      | Fixed         | 3.52%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-158, Class NI                                               | CUSIP: 38382XY82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4873700 | PA      | $853829.77    | 0.12%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2086759.63   | 0.29%             | 2026-04-02      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -888 | NC      | $63323.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B1                           | CUSIP: 35564KCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4045000 | PA      | $3417853.49   | 0.47%             | 2033-08-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B1    | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1765000 | PA      | $1630118.70   | 0.23%             | 2033-08-25      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2019-4A, Class B6                 | CUSIP: 64830WCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3075847 | PA      | $1840033.25   | 0.25%             | 2058-12-25      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-XL2, Class A                        | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450309 | PA      | $1393925.97   | 0.19%             | 2038-10-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4580000 | PA      | $4586440.63   | 0.63%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2726587.12   | 0.38%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NCR Corp.                                              | NCR Corp.                                                                     | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2736635.07   | 0.38%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                      | BAT Capital Corp.                                                             | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $964211.62    | 0.13%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                           | Flex Intermediate Holdco LLC                                                  | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $1802769.74   | 0.25%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class C                                           | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $803394.93    | 0.11%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-MFM1, Class C                                           | CUSIP: 05608VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3155000 | PA      | $3006508.66   | 0.42%             | 2034-01-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                  | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2340000 | PA      | $2002536.39   | 0.28%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Match Group Holdings II LLC                            | Match Group Holdings II LLC                                                   | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $2916400.00   | 0.40%             | 2027-12-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Hertz Vehicle Financing LLC                            | Hertz Vehicle Financing LLC, Series 2021-1A, Class C                          | CUSIP: 42806MAC3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   1155000 | PA      | $1040430.12   | 0.14%             | 2025-12-26      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-183, Class HT                                               | CUSIP: 38382LTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4671330 | PA      | $360270.73    | 0.05%             | 2050-12-20      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Notes                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -500 | NC      | $280115.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-HQA1, Class B1                           | CUSIP: 35565JBD2<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |   2305000 | PA      | $2140826.38   | 0.30%             | 2050-01-25      | Floating      | 6.74%                 | Yes           |                  2 | On Loan: No      |
| NMI Holdings, Inc.                                     | NMI Holdings, Inc.                                                            | CUSIP: 629209AA5<br>LEI: 529900KNNGFXJX1C3Z08 | Long             | DBT              | CORP              | US        |    870000 | PA      | $878700.00    | 0.12%             | 2025-06-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1253988.26   | 0.17%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                              | Williams Cos., Inc. (The)                                                     | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $680552.42    | 0.09%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class D                                           | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $864653.21    | 0.12%             | 2041-12-09      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K81, Class C                                | CUSIP: 30297HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2020000 | PA      | $1792171.88   | 0.25%             | 2051-09-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-166, Class IC                                               | CUSIP: 38382LQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2043966 | PA      | $216295.34    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1               | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1367822.14   | 0.19%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class M2                           | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3827807 | PA      | $3801286.55   | 0.53%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | Taco Bell Funding LLC, Series 2021-1A, Class A23                              | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1772100 | PA      | $1346960.81   | 0.19%             | 2051-08-25      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                       | Comision Federal de Electricidad                                              | CUSIP: 200447AJ9<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |   2765000 | PA      | $1797886.72   | 0.25%             | 2051-02-09      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIVA, Class D                       | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815000 | PA      | $1359393.98   | 0.19%             | 2044-03-11      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2007-HE1, Class A3                     | CUSIP: 14454EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1316737 | PA      | $1278066.36   | 0.18%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2018-GW, Class C                                             | CUSIP: 12433UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1101800.18   | 0.15%             | 2035-05-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $1727725.62   | 0.24%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                     | General Motors Co.                                                            | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    685000 | PA      | $636362.47    | 0.09%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-145, Class LS                                               | CUSIP: 38382AWQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2058383 | PA      | $23110.29     | 0.00%             | 2049-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-34, Class SC                                                | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3423437 | PA      | $342456.68    | 0.05%             | 2050-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center | Regents of the University of California Medical Center                        | CUSIP: 913366KB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3030000 | PA      | $2007458.93   | 0.28%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2020-GA, Class B            | CUSIP: 63941UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485000 | PA      | $1114784.90   | 0.15%             | 2069-09-16      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2015-2, Class A                  | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346049 | PA      | $281009.45    | 0.04%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-VOLT, Class E                       | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3370000 | PA      | $3133993.51   | 0.43%             | 2036-09-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| BXHPP Trust                                            | BXHPP Trust, Series 2021-FILM, Class C                                        | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980000 | PA      | $881492.95    | 0.12%             | 2036-08-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class B1                           | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3615000 | PA      | $3301467.07   | 0.46%             | 2034-01-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 25160PAM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1660000 | PA      | $1663701.45   | 0.23%             | 2027-09-09      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc., Series Y                                                     | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2180000 | PA      | $1779815.22   | 0.25%             | 2026-11-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                       | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1681231.08   | 0.23%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                    | Iron Mountain, Inc.                                                           | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |   2254000 | PA      | $1965938.80   | 0.27%             | 2029-09-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA2, Class B1                                 | CUSIP: 35564LBD8<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1954093.76   | 0.27%             | 2049-03-25      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-41, Class FS                                                | CUSIP: 38382PCP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4740696 | PA      | $514864.28    | 0.07%             | 2050-10-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co., Series HH                                               | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1552762.50   | 0.21%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                          | Starwood Property Trust, Inc.                                                 | CUSIP: 85571BAU9<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |   3409000 | PA      | $2982875.00   | 0.41%             | 2026-07-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Lincoln National Corp.                                 | Lincoln National Corp.                                                        | CUSIP: 534187BN8<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   6418000 | PA      | $4941860.00   | 0.68%             | 2066-05-17      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D                    | CUSIP: 36263DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2285000 | PA      | $2018608.07   | 0.28%             | 2027-10-15      | Fixed         | 2.48%                 | Yes           |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                 | Howmet Aerospace, Inc.                                                        | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $1827500.00   | 0.25%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3922478 | PA      | $3680650.02   | 0.51%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                            | Match Group Holdings II LLC                                                   | CUSIP: 57667JAA0<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1514556.38   | 0.21%             | 2031-10-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2320000 | PA      | $2367487.50   | 0.33%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -178 | NC      | $-56810.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                             | CUSIP: 639057AD0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2740000 | PA      | $1961642.83   | 0.27%             | 2031-06-28      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2020-SFR4, Class A                                         | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2995000 | PA      | $2680087.13   | 0.37%             | 2037-11-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2005-31, Class 1A1                             | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2394355 | PA      | $2033877.26   | 0.28%             | 2035-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-10, Class SA                                                | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1914023 | PA      | $243732.64    | 0.03%             | 2052-02-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-21M, Class A                        | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819513 | PA      | $787395.99    | 0.11%             | 2036-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1139284.87   | 0.16%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2099254.94   | 0.29%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2021-A, Class E                            | CUSIP: 12656NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1929037.53   | 0.27%             | 2028-03-15      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                         | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2110239.79   | 0.29%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                | Crown Castle Towers LLC                                                       | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290000 | PA      | $2079974.48   | 0.29%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                        | Nordstrom, Inc.                                                               | CUSIP: 655664AS9<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    266000 | PA      | $221471.60    | 0.03%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Corp.                                  | Protective Life Corp.                                                         | CUSIP: 743674AY9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |   1564000 | PA      | $1839223.74   | 0.25%             | 2039-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5038, Class IB                                           | CUSIP: 3137FXMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050458 | PA      | $167503.52    | 0.02%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Calpine Corp.                                          | Calpine Corp.                                                                 | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2248577.86   | 0.31%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-6, Class AS                                                 | CUSIP: 38383GJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970851 | PA      | $11739.43     | 0.00%             | 2052-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-25, Class LI                                                | CUSIP: 38382NTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3785367 | PA      | $477563.85    | 0.07%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                 | Smithfield Foods, Inc.                                                        | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   2005000 | PA      | $1526593.01   | 0.21%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| U.S. Airways Pass-Through Trust                        | U.S. Airways Pass-Through Trust, Series 2012-1, Class A                       | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743941 | PA      | $719531.77    | 0.10%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2017-C01, Class 1B1                                              | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $408811.24    | 0.06%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2021-C, Class E                            | CUSIP: 12598CAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1141456.64   | 0.16%             | 2028-09-15      | Fixed         | 3.21%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2019-1, Class B                  | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1254362 | PA      | $1054148.30   | 0.15%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-83                                                          | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4684466 | PA      | $626331.79    | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NewRez Warehouse Securitization Trust                  | NewRez Warehouse Securitization Trust, Series 2021-1, Class B                 | CUSIP: 65246PAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2665000 | PA      | $2610628.67   | 0.36%             | 2055-05-25      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Office Properties Income Trust                         | Office Properties Income Trust                                                | CUSIP: 67623CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2310000 | PA      | $1790246.67   | 0.25%             | 2026-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-129, Class AG                                               | CUSIP: 38382JXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2966415 | PA      | $2252638.27   | 0.31%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                  | Nomura Holdings, Inc.                                                         | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1985000 | PA      | $1963152.00   | 0.27%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                   | Macquarie Group Ltd.                                                          | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   2065000 | PA      | $1584232.28   | 0.22%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-158, Class SB                                               | CUSIP: 38382XY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4891330 | PA      | $200831.16    | 0.03%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-162, Class KI                                               | CUSIP: 38383AE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4148224 | PA      | $594958.26    | 0.08%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                             | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    740000 | PA      | $744621.43    | 0.10%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1568541.90   | 0.22%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2016-2, Class A                  | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441158 | PA      | $1123620.84   | 0.16%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                       | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815000 | PA      | $655897.57    | 0.09%             | 2044-03-09      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Covanta Holding Corp.                                  | Covanta Holding Corp.                                                         | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $839751.75    | 0.12%             | 2029-12-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2021-4, Class D                            | CUSIP: 33845AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2985000 | PA      | $2608913.28   | 0.36%             | 2027-12-15      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B                | CUSIP: 80286MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2222232.63   | 0.31%             | 2027-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5205, Class KI                                           | CUSIP: 3137H67L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2446902 | PA      | $292487.27    | 0.04%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-129, Class SB                                               | CUSIP: 38382JXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6173851 | PA      | $75199.36     | 0.01%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5152, Class BI                                           | CUSIP: 3137H3AM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3811438 | PA      | $588287.86    | 0.08%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-149, Class CI                                               | CUSIP: 38382XBY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4253359 | PA      | $598758.11    | 0.08%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-188                                                         | CUSIP: 38382L2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4469290 | PA      | $474551.85    | 0.07%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-8, Class ID                                          | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2825916 | PA      | $567689.25    | 0.08%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kronos Acquisition Holdings, Inc.                      | Kronos Acquisition Holdings, Inc.                                             | CUSIP: 50106GAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2499850.00   | 0.35%             | 2026-12-31      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                  | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2715000 | PA      | $2062744.71   | 0.29%             | 2031-02-10      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                         | Bayview Commercial Asset Trust, Series 2005-3A, Class A1                      | CUSIP: 07324SCB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936388 | PA      | $852569.29    | 0.12%             | 2035-11-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| DROP Mortgage Trust                                    | DROP Mortgage Trust, Series 2021-FILE, Class A                                | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2005000 | PA      | $1909406.81   | 0.26%             | 2043-10-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class FA                                                | CUSIP: 38382VER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071689 | PA      | $915207.64    | 0.13%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5023, Class LI                                           | CUSIP: 3137FWV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1755183 | PA      | $279553.59    | 0.04%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4839, Class WO                                           | CUSIP: 3137FJK81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1209309 | PA      | $830447.06    | 0.11%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIV2, Class C                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $2415062.42   | 0.33%             | 2044-03-09      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-81, Class SA                                         | CUSIP: 3136BKAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14297177 | PA      | $178457.36    | 0.02%             | 2051-12-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-85, Class BI                                         | CUSIP: 3136BKHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4477193 | PA      | $695304.04    | 0.10%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2019-1A, Class A23                              | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   1499625 | PA      | $1367334.08   | 0.19%             | 2049-05-20      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-24, Class SC                                                | CUSIP: 38383FT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39645541 | PA      | $295176.91    | 0.04%             | 2052-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B            | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $654536.40    | 0.09%             | 2069-01-15      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2021-1, Class D                          | CUSIP: 262108AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3135000 | PA      | $2937870.89   | 0.41%             | 2029-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                          | Galton Funding Mortgage Trust, Series 2018-2, Class A51                       | CUSIP: 36418GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431795 | PA      | $407199.48    | 0.06%             | 2058-10-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K154, Class B                               | CUSIP: 302968AE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2450000 | PA      | $2069979.52   | 0.29%             | 2032-11-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV         | Teva Pharmaceutical Finance Netherlands III BV                                | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   2855000 | PA      | $2580633.76   | 0.36%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                    | Intesa Sanpaolo SpA                                                           | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2515000 | PA      | $1847790.44   | 0.26%             | 2032-06-01      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B1                           | CUSIP: 35564KQY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4835000 | PA      | $4288681.26   | 0.59%             | 2042-01-25      | Floating      | 7.33%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D                    | CUSIP: 36263LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3630000 | PA      | $3246173.24   | 0.45%             | 2027-07-15      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10295000 | PA      | $10332802.00  | 1.43%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Altice France SA                                       | Altice France SA                                                              | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   3495000 | PA      | $2620352.45   | 0.36%             | 2029-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                         | Piedmont Natural Gas Co., Inc.                                                | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1200011.21   | 0.17%             | 2052-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Victoria's Secret & Co.                                | Victoria's Secret & Co.                                                       | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |   1442000 | PA      | $1132114.20   | 0.16%             | 2029-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-3, Class YS                                          | CUSIP: 3136BLFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11189453 | PA      | $132672.23    | 0.02%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                     | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1721591.30   | 0.24%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE7, Class M1           | CUSIP: 61756YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    930000 | PA      | $707577.95    | 0.10%             | 2037-07-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                         | Aircastle Ltd.                                                                | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   3325000 | PA      | $2560250.00   | 0.35%             | 2026-06-15      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                           | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2045000 | PA      | $2002182.81   | 0.28%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1060287.75   | 0.15%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   3046837 | PA      | $2860629.36   | 0.40%             | 2049-10-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-136, Class YS                                               | CUSIP: 38382A4Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1955367 | PA      | $24671.45     | 0.00%             | 2049-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2021-4, Class D          | CUSIP: 02530TAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1955000 | PA      | $1791036.50   | 0.25%             | 2028-02-14      | Fixed         | 1.82%                 | Yes           |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                         | Braskem Netherlands Finance BV                                                | CUSIP: 10554TAB1<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |   1015000 | PA      | $910161.18    | 0.13%             | 2028-01-10      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2020-3, Class E                            | CUSIP: 33844TAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1295000 | PA      | $1131841.78   | 0.16%             | 2027-12-15      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2019-C, Class E                            | CUSIP: 12596UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1483126.50   | 0.20%             | 2025-07-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5149, Class LI                                           | CUSIP: 3137H2T79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5175670 | PA      | $685913.38    | 0.09%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR1, Class A                               | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4552350 | PA      | $4068148.45   | 0.56%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-105, Class KO                                        | CUSIP: 3136AGQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    578154 | PA      | $505059.79    | 0.07%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class IN                                                | CUSIP: 38382VKV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5839249 | PA      | $614767.86    | 0.08%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12685447 | PA      | $11899456.90  | 1.64%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                 | WEC Energy Group, Inc.                                                        | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   1860340 | PA      | $1556248.82   | 0.22%             | 2067-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                              | Mileage Plus Holdings LLC                                                     | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1845119 | PA      | $1834420.63   | 0.25%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                   | Owens-Brockway Glass Container, Inc.                                          | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   1093000 | PA      | $1060436.64   | 0.15%             | 2027-05-13      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| OneMain Finance Corp.                                  | OneMain Finance Corp.                                                         | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    880000 | PA      | $851197.60    | 0.12%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                         | Southern Co. Gas Capital Corp., Series 21A                                    | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1301045.84   | 0.18%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust             | BAMLL Commercial Mortgage Securities Trust, Series 2022-DKLX, Class E         | CUSIP: 05530SAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1335000 | PA      | $1244430.40   | 0.17%             | 2039-01-15      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2021-1, Class B                  | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1190156.70   | 0.16%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                       | Comision Federal de Electricidad                                              | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |   3255000 | PA      | $2461972.57   | 0.34%             | 2033-07-26      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-6, Class CF                                                 | CUSIP: 38383GJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970851 | PA      | $863476.79    | 0.12%             | 2052-01-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | Mexico Government Bond                                                        | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2230000 | PA      | $1384781.05   | 0.19%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                             | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1515713.55   | 0.21%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-C03, Class 1B1                                              | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $858462.09    | 0.12%             | 2030-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-R02, Class 2B1                                              | CUSIP: 20754KAF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1504196.60   | 0.21%             | 2041-11-25      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class B               | CUSIP: 90349GAN5<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   2535000 | PA      | $2488694.93   | 0.34%             | 2046-04-10      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1678978.14   | 0.23%             | 2040-02-25      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| California Institute of Technology                     | California Institute of Technology                                            | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $728658.47    | 0.10%             | 2119-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                       | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1370000 | PA      | $1180863.23   | 0.16%             | 2027-10-19      | Variable      | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                   | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1057104.84   | 0.15%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                  | Dominion Energy, Inc., Series C                                               | CUSIP: 25746UDM8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $877730.47    | 0.12%             | 2027-01-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1               | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4575000 | PA      | $4299865.91   | 0.59%             | 2041-10-25      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government Bond                                                      | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   2065000 | PA      | $1501662.61   | 0.21%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2021-1A, Class B1                             | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5634185 | PA      | $4697484.49   | 0.65%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                           | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3455000 | PA      | $2928449.36   | 0.40%             | 2026-05-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-145, Class LF                                               | CUSIP: 38382AWP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2122337 | PA      | $1894063.36   | 0.26%             | 2049-11-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The), Series V                                     | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3875000 | PA      | $3225563.02   | 0.45%             | 2026-11-10      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                          | Brazil Government Bond                                                        | CUSIP: 105756CE8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    565000 | PA      | $474470.86    | 0.07%             | 2031-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| L3Harris Technologies, Inc.                            | L3Harris Technologies, Inc.                                                   | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $2163307.80   | 0.30%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BXSC Commercial Mortgage Trust                         | BXSC Commercial Mortgage Trust, Series 2022-WSS, Class D                      | CUSIP: 05610BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1428599.10   | 0.20%             | 2035-03-15      | Floating      | 7.52%                 | Yes           |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                            | Toll Brothers Finance Corp.                                                   | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1251000 | PA      | $1068024.41   | 0.15%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class B                                           | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $245948.52    | 0.03%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                   | Cheniere Corpus Christi Holdings LLC                                          | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1411207.06   | 0.20%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| CNX Midstream Partners LP                              | CNX Midstream Partners LP                                                     | CUSIP: 12654AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2228105.56   | 0.31%             | 2030-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Realogy Group LLC                                      | Realogy Group LLC                                                             | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1039551.75   | 0.14%             | 2030-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-110, Class CO                                        | CUSIP: 3136AGV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1858772 | PA      | $1535808.28   | 0.21%             | 2039-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series MM                                              | CUSIP: 060505FQ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2476000 | PA      | $2141831.66   | 0.30%             | 2025-01-28      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                        | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2195000 | PA      | $1516627.44   | 0.21%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2190000 | PA      | $2183398.75   | 0.30%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2013-2, Class A                  | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1728668 | PA      | $1726306.95   | 0.24%             | 2023-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K84, Class C                                | CUSIP: 30297RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610000 | PA      | $549824.54    | 0.08%             | 2028-10-25      | Variable      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3053352.55   | 0.42%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2017-C05, Class 1B1                                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1082635.52   | 0.15%             | 2030-01-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-40, Class SI                                         | CUSIP: 3136BHQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3458498 | PA      | $329300.20    | 0.05%             | 2047-09-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class AI                                                | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4913997 | PA      | $512806.56    | 0.07%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                        | Nissan Motor Acceptance Co. LLC                                               | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   5030000 | PA      | $4199236.35   | 0.58%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV         | Teva Pharmaceutical Finance Netherlands III BV                                | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   2575000 | PA      | $2251837.50   | 0.31%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-1, Class YS                                                 | CUSIP: 38382CDW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4237929 | PA      | $43271.37     | 0.01%             | 2050-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-19, Class SG                                                | CUSIP: 38383GMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7930384 | PA      | $56772.82     | 0.01%             | 2052-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                    | SVB Financial Group, Series C                                                 | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1366241.44   | 0.19%             | 2026-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5200, Class SA                                           | CUSIP: 3137H6KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3399423 | PA      | $88772.20     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 63858SAA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    455000 | PA      | $480884.82    | 0.07%             | 2024-11-15      | Fixed         | 8.57%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                         | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1220740.73   | 0.17%             | 2028-03-24      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Popular, Inc.                                          | Popular, Inc.                                                                 | CUSIP: 733174AK2<br>LEI: 5493008CARDZMVQ3LO89 | Long             | DBT              | CORP              | PR        |   1953000 | PA      | $1935911.25   | 0.27%             | 2023-09-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D                       | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865000 | PA      | $2680416.65   | 0.37%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                        | CUSIP: 853254BX7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3345000 | PA      | $2561386.52   | 0.35%             | 2031-01-14      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1828000 | PA      | $1950518.45   | 0.27%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-10, Class LI                                         | CUSIP: 3136BFLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067282 | PA      | $161503.69    | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-12, Class JI                                         | CUSIP: 3136BFKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1571305 | PA      | $238076.89    | 0.03%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                | American Airlines, Inc.                                                       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1577100.26   | 0.22%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA1, Class B1                                 | CUSIP: 35563KBD1<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2737290.41   | 0.38%             | 2049-01-25      | Floating      | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    670000 | PA      | $750814.13    | 0.10%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class B                               | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3755000 | PA      | $3216412.09   | 0.44%             | 2038-08-17      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-1, Class PI                                                 | CUSIP: 38382ML56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1520350 | PA      | $197589.60    | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class A2                              | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230418 | PA      | $1014885.71   | 0.14%             | 2060-07-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 311                                                     | CUSIP: 3132HTPF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870348 | PA      | $648971.34    | 0.09%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | IRS                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  50000000 | PA      | $-105023.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $1970399.30   | 0.27%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5036                                                     | CUSIP: 3137F6TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2983550 | PA      | $613136.13    | 0.08%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class E                                           | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5235000 | PA      | $4049962.47   | 0.56%             | 2041-12-09      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| MainStay U.S. Government Liquidity Fund                | MainStay U.S. Government Liquidity Fund, Class I                              | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |   7740469 | NS      | $7740468.84   | 1.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bonds                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -65 | NC      | $110627.21    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class M2                           | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3130000 | PA      | $2947935.10   | 0.41%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                  | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3750000 | PA      | $2859375.00   | 0.40%             | 2028-03-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS, 30 Year                                                                 | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3539551 | PA      | $3216694.70   | 0.44%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1359668.60   | 0.19%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust             | BAMLL Commercial Mortgage Securities Trust, Series 2022-DKLX, Class F         | CUSIP: 05530SAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1702253.45   | 0.24%             | 2039-01-15      | Floating      | 9.29%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                         | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1156064.43   | 0.16%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Textron Financial Corp.                                | Textron Financial Corp.                                                       | CUSIP: 883199AR2<br>LEI: 4E8B2CNXPE5P5AY03O18 | Long             | DBT              | CORP              | US        |   3055000 | PA      | $2184325.00   | 0.30%             | 2042-02-15      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    908000 | PA      | $684645.29    | 0.09%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| First Horizon Bank                                     | First Horizon Bank                                                            | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1740077.86   | 0.24%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1654175.56   | 0.23%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                             | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    545000 | PA      | $428517.77    | 0.06%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class IB                                                | CUSIP: 38382QAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4544126 | PA      | $628710.72    | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Willis North America, Inc.                             | Willis North America, Inc.                                                    | CUSIP: 970648AK7<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    840000 | PA      | $595957.66    | 0.08%             | 2049-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-LBA, Class AJV                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2100576.93   | 0.29%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K81, Class B                                | CUSIP: 30297HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $127777.61    | 0.02%             | 2051-09-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2019-5A, Class B7                 | CUSIP: 64830MFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3309866 | PA      | $1949064.65   | 0.27%             | 2059-08-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-C06, Class 2B1                                              | CUSIP: 30711X5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1125524.51   | 0.16%             | 2031-03-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                          | Empresa Nacional del Petroleo                                                 | CUSIP: 29245JAM4<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | NUSS              | CL        |   4005000 | PA      | $3367149.40   | 0.47%             | 2031-09-16      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2020-C, Class E                            | CUSIP: 12597TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    855000 | PA      | $814583.12    | 0.11%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-166, Class CA                                               | CUSIP: 38382LQC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3198428 | PA      | $2386529.40   | 0.33%             | 2050-11-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MassMutual Global Funding II                           | MassMutual Global Funding II                                                  | CUSIP: 57629WCG3<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   2995000 | PA      | $2878490.31   | 0.40%             | 2025-01-11      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                         | Hertz Vehicle Financing III LP, Series 2021-2A, Class D                       | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4289000 | PA      | $3570557.33   | 0.49%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10    | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $900455.11    | 0.12%             | 2050-03-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5601750.00   | 0.77%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp., Series 2022-D, Class B                                   | CUSIP: 69335PEQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790000 | PA      | $1734845.09   | 0.24%             | 2027-08-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                          | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1769000 | PA      | $1341023.32   | 0.19%             | 2031-11-19      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    640000 | PA      | $485077.01    | 0.07%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-1, Class IA                                                 | CUSIP: 38383GRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837016 | PA      | $114871.09    | 0.02%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $637597.40    | 0.09%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-179, Class SA                                               | CUSIP: 38383CYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4530004 | PA      | $558005.84    | 0.08%             | 2050-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-32, Class SB                                         | CUSIP: 3136B4XC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2749068 | PA      | $270579.52    | 0.04%             | 2049-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                  | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1725000 | PA      | $1677554.77   | 0.23%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                  | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $935000.00    | 0.13%             | 2029-03-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE4, Class A2A          | CUSIP: 61753VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16625 | PA      | $5497.30      | 0.00%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government Bond                                                      | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    650000 | PA      | $610934.40    | 0.08%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $990474.80    | 0.14%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class B1                              | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1313405 | PA      | $1146308.74   | 0.16%             | 2060-07-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2021-4, Class C                            | CUSIP: 33845AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340000 | PA      | $1225072.76   | 0.17%             | 2027-12-15      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2M2               | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1597559 | PA      | $1573440.24   | 0.22%             | 2040-01-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| DISH DBS Corp.                                         | DISH DBS Corp.                                                                | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1153290.63   | 0.16%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Petroleos Mexicanos                                    | Petroleos Mexicanos                                                           | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   4990000 | PA      | $3183613.51   | 0.44%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                  | OneMain Finance Corp.                                                         | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2247938.55   | 0.31%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    910000 | PA      | $628244.74    | 0.09%             | 2051-02-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                  | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1935000 | PA      | $1935353.70   | 0.27%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: —       |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                  | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $1527945.02   | 0.21%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                               | Marathon Petroleum Corp.                                                      | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   2425000 | PA      | $2409939.80   | 0.33%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                      | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2420743.48   | 0.33%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-MFM1, Class D                                           | CUSIP: 05608VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3091500 | PA      | $2906235.99   | 0.40%             | 2034-01-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K155, Class B                               | CUSIP: 30296QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2975000 | PA      | $2545302.31   | 0.35%             | 2033-04-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Gazprom PJSC Via Gaz Capital SA                        | Gazprom PJSC Via Gaz Capital SA                                               | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |   2500000 | PA      | $1875000.00   | 0.26%             | 2037-08-16      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class M2                           | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2323452.61   | 0.32%             | 2033-12-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust, Series 2021-ESH, Class D                         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4130269 | PA      | $3954135.56   | 0.55%             | 2038-07-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5167, Class GI                                           | CUSIP: 3137H3LQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4691537 | PA      | $720692.84    | 0.10%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1               | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1835000 | PA      | $1550519.40   | 0.21%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                          | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $2075016.00   | 0.29%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K88, Class C                                | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2185000 | PA      | $1937923.70   | 0.27%             | 2052-02-25      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                 | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   1360000 | PA      | $1259579.29   | 0.17%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K63, Class C                                | CUSIP: 30300HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1925000 | PA      | $1755522.81   | 0.24%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Berry Global, Inc.                                     | Berry Global, Inc.                                                            | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    166000 | PA      | $159817.44    | 0.02%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K76, Class B                                | CUSIP: 302954AS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    420000 | PA      | $387130.00    | 0.05%             | 2051-06-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B            | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3490000 | PA      | $2223556.48   | 0.31%             | 2069-12-16      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Texas Capital Bancshares, Inc.                         | Texas Capital Bancshares, Inc.                                                | CUSIP: 88224QAA5<br>LEI: 549300466Q2SXRX0YM48 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2671181.16   | 0.37%             | 2031-05-06      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                          | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3458429.75   | 0.48%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                           | Sabine Pass Liquefaction LLC                                                  | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2710654.55   | 0.37%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA3, Class B1                                 | CUSIP: 35564TBD1<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | CORP              | US        |   2645000 | PA      | $2645017.46   | 0.37%             | 2049-07-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| TruGreen LP                                            | TruGreen LP, 1st Lien Term Loan                                               | CUSIP: 89787RAH5<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    944087 | PA      | $830796.85    | 0.11%             | 2027-11-02      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1705000 | PA      | $1589334.16   | 0.22%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                    | Hilton Domestic Operating Co., Inc.                                           | CUSIP: 432833AG6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |   3470000 | PA      | $3434625.22   | 0.47%             | 2025-05-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| AEP Texas, Inc.                                        | AEP Texas, Inc.                                                               | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1398451.01   | 0.19%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                             | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $956232.85    | 0.13%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2016967.91   | 0.28%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-ACNT, Class D                       | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535000 | PA      | $1450314.20   | 0.20%             | 2038-11-15      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1433795.01   | 0.20%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-57, Class SN                                         | CUSIP: 3136ATEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2640410 | PA      | $269740.83    | 0.04%             | 2046-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-54, Class HI                                         | CUSIP: 3136BGKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852755 | PA      | $106554.86    | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                            | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                        | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945000 | PA      | $812511.47    | 0.11%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $310841.31    | 0.04%             | 2026-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                     | United Airlines Pass-Through Trust, Series 2020-1, Class A                    | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1762555 | PA      | $1737783.69   | 0.24%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust, Series 2019-OBP, Class A                               | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1545000 | PA      | $1264834.80   | 0.17%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5191                                                     | CUSIP: 3137H5N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2514524 | PA      | $425516.33    | 0.06%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                              | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1280706 | PA      | $1143147.75   | 0.16%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K78, Class B                                | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    855000 | PA      | $785364.95    | 0.11%             | 2051-06-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2021-2, Class D          | CUSIP: 025291AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $1049530.31   | 0.15%             | 2027-07-13      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2021-J2, Class AIOS                                         | CUSIP: 12564ECM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53143488 | PA      | $532646.55    | 0.07%             | 2051-04-25      | Variable      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-105, Class QO                                        | CUSIP: 3136AGQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    513173 | PA      | $421645.05    | 0.06%             | 2040-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2019-2, Class E                            | CUSIP: 33845WAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1258000 | PA      | $1172857.05   | 0.16%             | 2026-12-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class SD                                                | CUSIP: 38382VEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13904177 | PA      | $163080.70    | 0.02%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                      | GreenPoint Mortgage Funding Trust, Series 2007-AR3, Class A1                  | CUSIP: 39539MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497628 | PA      | $427270.27    | 0.06%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 427, Class C77                                           | CUSIP: 31423XQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6740727 | PA      | $1014633.82   | 0.14%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-176, Class AI                                               | CUSIP: 38382LJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12691617 | PA      | $1354068.65   | 0.19%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSMC WEST Trust                                        | CSMC WEST Trust, Series 2020-WEST, Class A                                    | CUSIP: 12655QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2657500 | PA      | $2072742.11   | 0.29%             | 2035-02-15      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2022-1, Class D          | CUSIP: 02530WAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2620000 | PA      | $2357330.07   | 0.33%             | 2028-03-13      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class D                    | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1242887.70   | 0.17%             | 2027-04-15      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| MGM Resorts International                              | MGM Resorts International                                                     | CUSIP: 552953CC3<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2291834.77   | 0.32%             | 2023-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                              | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                       | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |   4209556 | NS      | $4209556.00   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| TruGreen LP                                            | TruGreen LP, 2nd Lien Term Loan                                               | CUSIP: 89787RAK8<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    645000 | PA      | $470850.00    | 0.07%             | 2028-11-02      | Variable      | 12.91%                | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series DD                                              | CUSIP: 060505EU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1796558.38   | 0.25%             | 2026-03-10      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-LBA, Class DV                                           | CUSIP: 05609BBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1820798.60   | 0.25%             | 2036-02-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                        | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1410000 | PA      | $1284081.53   | 0.18%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5200, Class FA                                                  | CUSIP: 3137H6KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1880968 | PA      | $1699986.79   | 0.23%             | 2052-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co., Series U                                                   | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    595000 | PA      | $574175.00    | 0.08%             | 2025-06-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Edison International                                   | Edison International, Series B                                                | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2244524.68   | 0.31%             | 2026-12-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A               | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |   3185000 | PA      | $2824873.64   | 0.39%             | 2036-08-17      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bonds                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        76 | NC      | $-61660.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freedom Mortgage Corp.                                 | Freedom Mortgage Corp.                                                        | CUSIP: 35640YAF4<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1005121.36   | 0.14%             | 2026-05-01      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust    | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class B | CUSIP: 46649XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2795000 | PA      | $2568483.14   | 0.36%             | 2031-07-05      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-205, Class GA                                               | CUSIP: 38383C3B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898462 | PA      | $742228.11    | 0.10%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QVC, Inc.                                              | QVC, Inc.                                                                     | CUSIP: 747262AZ6<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $1678975.00   | 0.23%             | 2028-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2020-SFR5, Class A                                         | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $748373.56    | 0.10%             | 2037-11-17      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                            | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2965000 | PA      | $2376203.01   | 0.33%             | 2029-03-23      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                  | Westpac Banking Corp.                                                         | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1825000 | PA      | $1356827.73   | 0.19%             | 2036-11-18      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397ZC0<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1228833.21   | 0.17%             | 2023-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                     | Grupo Televisa SAB                                                            | CUSIP: 40049JBE6<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |   1335000 | PA      | $1178706.73   | 0.16%             | 2049-05-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-146, Class IN                                               | CUSIP: 38382WH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3996129 | PA      | $642852.45    | 0.09%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2019-2A, Class B6                 | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145148 | PA      | $723039.41    | 0.10%             | 2057-12-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc.                                                  | CUSIP: 571903AP8<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1783775.19   | 0.25%             | 2025-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series X                                        | CUSIP: 571903AY9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    880000 | PA      | $817240.74    | 0.11%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-110, Class DO                                        | CUSIP: 3136AGW24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    786591 | PA      | $641806.69    | 0.09%             | 2043-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5070, Class PI                                           | CUSIP: 3137F9Y54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2291317 | PA      | $370872.78    | 0.05%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR4, Class B                               | CUSIP: 74333EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $1790315.27   | 0.25%             | 2038-05-17      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| Southwestern Energy Co.                                | Southwestern Energy Co., Term Loan                                            | CUSIP: 84546SAU7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1707100 | PA      | $1685761.25   | 0.23%             | 2027-06-22      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                      | Chile Government Bond                                                         | CUSIP: 168863DT2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   1475000 | PA      | $1154361.39   | 0.16%             | 2033-07-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-5, Class SN                                          | CUSIP: 3136BLHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1766275 | PA      | $5251.31      | 0.00%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                      | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1095000 | PA      | $1005418.43   | 0.14%             | 2033-08-11      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust, Series 2018-7, Class B3                               | CUSIP: 81747WEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1538409 | PA      | $1255131.01   | 0.17%             | 2048-09-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| National Fuel Gas Co.                                  | National Fuel Gas Co.                                                         | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $936462.48    | 0.13%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mastr Asset-Backed Securities Trust                    | Mastr Asset-Backed Securities Trust, Series 2006-HE4, Class A1                | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15647 | PA      | $4987.65      | 0.00%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2250000 | PA      | $1738351.06   | 0.24%             | 2031-02-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                           | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3555000 | PA      | $2880036.25   | 0.40%             | 2030-11-18      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-44, Class IQ                                                | CUSIP: 38382PMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5816931 | PA      | $840626.23    | 0.12%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc., Series M                                                     | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3975000 | PA      | $3749418.75   | 0.52%             | 2024-05-15      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                               | CUSIP: 00912XAX2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1038775.69   | 0.14%             | 2023-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                         | Citizens Financial Group, Inc., Series G                                      | CUSIP: 174610BD6<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1300468.83   | 0.18%             | 2026-10-06      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5021, Class SA                                           | CUSIP: 3137FWMZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3980080 | PA      | $132897.66    | 0.02%             | 2050-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                             | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2685000 | PA      | $2399448.77   | 0.33%             | 2028-05-22      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1750000 | PA      | $1434200.74   | 0.20%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Dana, Inc.                                             | Dana, Inc.                                                                    | CUSIP: 235825AJ5<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |   3885000 | PA      | $3106617.60   | 0.43%             | 2032-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                             | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $866392.75    | 0.12%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                        | Nordstrom, Inc.                                                               | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2288320.00   | 0.32%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                               | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1155877.94   | 0.16%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2017-C03, Class 1B1                                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $812888.92    | 0.11%             | 2029-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank (The)                         | Huntington National Bank (The)                                                | CUSIP: 44644AAE7<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    894000 | PA      | $884520.86    | 0.12%             | 2023-10-06      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                         | Hertz Vehicle Financing III LP, Series 2021-2A, Class C                       | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5027000 | PA      | $4145168.69   | 0.57%             | 2027-12-27      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2021-1A, Class A23                              | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   2415600 | PA      | $1860847.80   | 0.26%             | 2051-11-20      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                               | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1694473.34   | 0.23%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co., Series S                                                   | CUSIP: 949746RG8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2725000 | PA      | $2440537.25   | 0.34%             | 2024-06-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-56, Class FE                                                | CUSIP: 38382J4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5299664 | PA      | $674961.97    | 0.09%             | 2050-10-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                       | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2325274.60   | 0.32%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IM                                               | CUSIP: 38383CFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3951700 | PA      | $625003.58    | 0.09%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West Mortgage Trust                          | Manhattan West Mortgage Trust, Series 2020-1MW, Class A                       | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $956266.19    | 0.13%             | 2039-09-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    705000 | PA      | $696187.50    | 0.10%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP, Series H                                                  | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3435000 | PA      | $2954100.00   | 0.41%             | 2026-11-15      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-189, Class SU                                               | CUSIP: 38382MGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047252 | PA      | $126909.30    | 0.02%             | 2050-12-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Thor Industries, Inc.                                  | Thor Industries, Inc.                                                         | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1307330.64   | 0.18%             | 2029-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 311, Class S1                                           | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2578183 | PA      | $252539.50    | 0.03%             | 2043-08-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                    | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1310020.73   | 0.18%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                    | Iron Mountain, Inc.                                                           | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    465000 | PA      | $404085.00    | 0.06%             | 2030-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-10, Class DA                                         | CUSIP: 3136B9BV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1463125 | PA      | $1348814.79   | 0.19%             | 2060-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class B                        | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2352795 | PA      | $2009840.58   | 0.28%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-146, Class SA                                               | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3258645 | PA      | $385401.23    | 0.05%             | 2050-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                         | CUSIP: 045054AL7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1756813.80   | 0.24%             | 2029-11-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| STACR Trust                                            | STACR Trust, Series 2018-HRP2, Class B1                                       | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2195123.04   | 0.30%             | 2047-02-25      | Floating      | 8.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2020-1A, Class C                    | CUSIP: 36258XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2565000 | PA      | $2527319.89   | 0.35%             | 2025-11-17      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                            | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3000000 | PA      | $2782544.13   | 0.38%             | 2028-03-24      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class AS                    | CUSIP: 92939FAW9<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   2560000 | PA      | $2436429.82   | 0.34%             | 2047-08-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-23, Class PS                                         | CUSIP: 3136B9ET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2998742 | PA      | $310272.08    | 0.04%             | 2050-02-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-7, Class EI                                          | CUSIP: 3136BDJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4081332 | PA      | $562554.02    | 0.08%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | IRS                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  50000000 | PA      | $-105073.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                           | FirstEnergy Transmission LLC                                                  | CUSIP: 33767BAB5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1632182.34   | 0.23%             | 2025-01-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR2, Class B                               | CUSIP: 33767TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $707489.33    | 0.10%             | 2038-09-17      | Fixed         | 1.61%                 | Yes           |                  2 | On Loan: No      |
| AutoNation, Inc.                                       | AutoNation, Inc.                                                              | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1837921.41   | 0.25%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                     | DT Midstream, Inc.                                                            | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1458384.70   | 0.20%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    875000 | PA      | $740714.45    | 0.10%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                    | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2200000 | PA      | $1843105.64   | 0.25%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class IN                                                | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1889434 | PA      | $339616.07    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K79, Class B                                | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    455000 | PA      | $417061.92    | 0.06%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-122, Class HS                                               | CUSIP: 38382WBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3230471 | PA      | $414681.72    | 0.06%             | 2051-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                           | CUSIP: 35564KKK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5030000 | PA      | $4296212.03   | 0.59%             | 2041-09-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc., Series C                                                | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $895537.50    | 0.12%             | 2028-05-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2020-1A, Class D                    | CUSIP: 36258XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1371385.02   | 0.19%             | 2026-11-16      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A             | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2550000 | PA      | $2220172.29   | 0.31%             | 2027-08-20      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5164, Class SA                                           | CUSIP: 3137H3RK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9215248 | PA      | $313270.51    | 0.04%             | 2051-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                           | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2065000 | PA      | $1942017.48   | 0.27%             | 2042-02-25      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                   | SMRT, Series 2022-MINI, Class D                                               | CUSIP: 78457JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3161454.98   | 0.44%             | 2039-01-15      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| Banco BTG Pactual SA                                   | Banco BTG Pactual SA                                                          | CUSIP: 05971AAG6<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |   4265000 | PA      | $3875818.75   | 0.54%             | 2026-01-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR9, Class 2A      | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793846 | PA      | $601876.84    | 0.08%             | 2046-08-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                 | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   2935000 | PA      | $2272676.16   | 0.31%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2021-3A, Class E                  | CUSIP: 30166AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1645000 | PA      | $1402989.08   | 0.19%             | 2028-12-15      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                  | Kraft Heinz Foods Co.                                                         | CUSIP: 50077LAL0<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    718000 | PA      | $686669.75    | 0.09%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-RISE, Class D                                           | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3095000 | PA      | $2907756.83   | 0.40%             | 2036-11-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2021-4, Class D                | CUSIP: 80285VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3260000 | PA      | $3002625.28   | 0.42%             | 2027-10-15      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating LP                             | DCP Midstream Operating LP                                                    | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2059553.70   | 0.28%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 251526BN8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4285000 | PA      | $3581482.14   | 0.50%             | 2032-12-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                         | BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A                     | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1793077.37   | 0.25%             | 2039-05-15      | Floating      | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Alpek SAB de CV                                        | Alpek SAB de CV                                                               | CUSIP: 020564AE0<br>LEI: 549300PWKJTP62D4IQ66 | Long             | DBT              | CORP              | MX        |   3185000 | PA      | $2653905.58   | 0.37%             | 2031-02-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: —       |
| SLG Office Trust                                       | SLG Office Trust, Series 2021-OVA, Class D                                    | CUSIP: 78449RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825000 | PA      | $1355321.83   | 0.19%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                | American Airlines, Inc.                                                       | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3255000 | PA      | $2974926.26   | 0.41%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                         | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    935000 | PA      | $804439.77    | 0.11%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-ARIA, Class E                                           | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2903095.04   | 0.40%             | 2036-10-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5205000 | PA      | $5190157.63   | 0.72%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5040                                                     | CUSIP: 3137F6PH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1637714 | PA      | $274452.41    | 0.04%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                    | Petroleos Mexicanos                                                           | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   3570000 | PA      | $3256134.53   | 0.45%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                     | Hyatt Hotels Corp.                                                            | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   5450000 | PA      | $5106709.41   | 0.71%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       764 | NC      | $-416909.77   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BXHPP Trust                                            | BXHPP Trust, Series 2021-FILM, Class D                                        | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755000 | PA      | $669538.00    | 0.09%             | 2036-08-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-ACNT, Class E                       | CUSIP: 05609QAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3203901.26   | 0.44%             | 2038-11-15      | Floating      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| First NLC Trust                                        | First NLC Trust, Series 2007-1, Class A1                                      | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54604 | PA      | $25409.31     | 0.00%             | 2037-08-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1300000 | PA      | $1244068.53   | 0.17%             | 2028-05-12      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Acquisition Trust                    | JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1               | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19041 | PA      | $11987.94     | 0.00%             | 2047-03-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| NCR Corp.                                              | NCR Corp.                                                                     | CUSIP: 62886EAV0<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    268000 | PA      | $250594.74    | 0.03%             | 2029-09-01      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-C01, Class 1B1                                              | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   3910000 | PA      | $3978353.45   | 0.55%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class B1                           | CUSIP: 35564KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2140515.00   | 0.30%             | 2033-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                           | CUSIP: 35564KJP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $2922348.33   | 0.40%             | 2041-09-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A             | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1010000 | PA      | $915292.70    | 0.13%             | 2027-02-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| Golden Credit Card Trust                               | Golden Credit Card Trust, Series 2021-1A, Class C                             | CUSIP: 380881FD9<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |    540000 | PA      | $470425.59    | 0.07%             | 2028-08-15      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1315982.13   | 0.18%             | 2027-01-12      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7429895 | PA      | $7327144.87   | 1.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STACR Trust                                            | STACR Trust, Series 2018-HRP2, Class M3                                       | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   3017024 | PA      | $2933500.99   | 0.41%             | 2047-02-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1594631.28   | 0.22%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-115, Class YA                                               | CUSIP: 38382HG20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2045693 | PA      | $1559487.27   | 0.22%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                         | JBS USA LUX SA                                                                | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2290000 | PA      | $2184156.20   | 0.30%             | 2033-04-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2085350.00   | 0.29%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Synchrony Bank                                         | Synchrony Bank                                                                | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1933458.65   | 0.27%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                           | Hess Midstream Operations LP                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3171756.80   | 0.44%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** MAINSTAY VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer