# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-014681
**Filing Date:** 2023-1
**Character Count:** 151784
**Document Hash:** 3553795a5e30740b0b334fd84a7c452e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014681.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014681

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23556529

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity Series Short-Term Credit Fund (Series ID: S000048583)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000153158 | Fidelity Series Short-Term Credit Fund | FYBTX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Series Short-Term Credit Fund**

**November 30, 2022**

SS1-NPRT1-0123

1.9863242.107 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 73.9%** | &nbsp;&nbsp;**Nonconvertible Bonds - 73.9%** | &nbsp;&nbsp;**Nonconvertible Bonds - 73.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 3.8%  |  |  |
| Diversified Telecommunication Services - 1.9% |  |  |
| AT&T, Inc. 1.7% 3/25/26  | 3100000 | 2794244 |
| NTT Finance Corp.: |  |  |
|  0.583% 3/1/24 (b) | 2527000  | 2391934  |
|  1.162% 4/3/26 (b) | 5299000  | 4706734  |
| Verizon Communications, Inc. 2.625% 8/15/26  | 1460000 | 1358798 |
|  |  | 11251710 |
| Media - 0.7% |  |  |
| Discovery Communications LLC 4.9% 3/11/26  | 1460000 | 1419004 |
| Magallanes, Inc. 3.788% 3/15/25 (b) | 3100000 | 2962213 |
|  |  | 4381217 |
| Wireless Telecommunication Services - 1.2% |  |  |
| T-Mobile U.S.A., Inc.: |  |  |
|  1.5% 2/15/26  | 1170000  | 1048298  |
|  2.25% 2/15/26  | 1600000  | 1455634  |
|  3.5% 4/15/25  | 4500000  | 4356926  |
|  |  | 6860858 |
| TOTAL COMMUNICATION SERVICES |  | 22493785 |
| CONSUMER DISCRETIONARY - 4.6%  |  |  |
| Automobiles - 3.7% |  |  |
| American Honda Finance Corp. 1% 9/10/25  | 3100000 | 2806724 |
| BMW U.S. Capital LLC 3.25% 4/1/25 (b) | 3100000 | 2998045 |
| Daimler Finance North America LLC 5.5% 11/27/24 (b) | 1460000 | 1470101 |
| General Motors Financial Co., Inc.: |  |  |
|  1.05% 3/8/24  | 1414000  | 1337634  |
|  1.25% 1/8/26  | 4954000  | 4341653  |
|  5.25% 3/1/26  | 3100000  | 3071150  |
| Volkswagen Group of America Finance LLC 0.875% 11/22/23 (b) | 6000000 | 5742562 |
|  |  | 21767869 |
| Multiline Retail - 0.3% |  |  |
| Dollar General Corp. 4.25% 9/20/24  | 1370000 | 1349649 |
| Specialty Retail - 0.6% |  |  |
| AutoNation, Inc. 4.5% 10/1/25  | 1460000 | 1423566 |
| AutoZone, Inc. 3.625% 4/15/25  | 1460000 | 1419842 |
| Lowe's Companies, Inc. 4.4% 9/8/25  | 716000 | 710914 |
|  |  | 3554322 |
| TOTAL CONSUMER DISCRETIONARY |  | 26671840 |
| CONSUMER STAPLES - 4.5%  |  |  |
| Food & Staples Retailing - 0.4% |  |  |
| 7-Eleven, Inc.: |  |  |
|  0.625% 2/10/23 (b) | 1124000  | 1114053  |
|  0.8% 2/10/24 (b) | 1376000  | 1305452  |
|  |  | 2419505 |
| Food Products - 1.4% |  |  |
| Conagra Brands, Inc. 0.5% 8/11/23  | 4070000 | 3938850 |
| McCormick & Co., Inc. 0.9% 2/15/26  | 5000000 | 4394649 |
|  |  | 8333499 |
| Tobacco - 2.7% |  |  |
| BAT Capital Corp. 3.222% 8/15/24  | 350000 | 337556 |
| BAT International Finance PLC 1.668% 3/25/26  | 6600000 | 5850430 |
| Imperial Tobacco Finance PLC 3.125% 7/26/24 (b) | 5257000 | 5013703 |
| Philip Morris International, Inc.: |  |  |
|  2.75% 2/25/26  | 1460000  | 1374001  |
|  5.125% 11/15/24  | 3000000  | 2999138  |
|  |  | 15574828 |
| TOTAL CONSUMER STAPLES |  | 26327832 |
| ENERGY - 6.3%  |  |  |
| Oil, Gas & Consumable Fuels - 6.3% |  |  |
| Canadian Natural Resources Ltd. 2.05% 7/15/25  | 4381000 | 4088993 |
| Enbridge, Inc.: |  |  |
|  2.15% 2/16/24  | 559000  | 539040  |
|  2.5% 2/14/25  | 584000  | 552588  |
| Energy Transfer LP: |  |  |
|  3.6% 2/1/23  | 8291000  | 8264698  |
|  4.2% 9/15/23  | 1668000  | 1655818  |
| EQT Corp. 5.678% 10/1/25  | 1129000 | 1125907 |
| Equinor ASA 1.75% 1/22/26  | 909000 | 833730 |
| MPLX LP: |  |  |
|  1.75% 3/1/26  | 5000000  | 4463085  |
|  4.5% 7/15/23  | 990000  | 984034  |
| Occidental Petroleum Corp. 2.9% 8/15/24  | 2098000 | 2014080 |
| Phillips 66 Co.: |  |  |
|  1.3% 2/15/26  | 1750000  | 1571331  |
|  3.85% 4/9/25  | 3100000  | 3031400  |
| Pioneer Natural Resources Co. 0.55% 5/15/23  | 4724000 | 4630964 |
| The Williams Companies, Inc. 4% 9/15/25  | 1460000 | 1423423 |
| Western Gas Partners LP 3 month U.S. LIBOR + 1.100% 5.0407% 1/13/23 (c)(d) | 1756000 | 1752488 |
|  |  | 36931579 |
| FINANCIALS - 37.6%  |  |  |
| Banks - 23.0% |  |  |
| Bank of America Corp.: |  |  |
|  0.976% 4/22/25 (c) | 10000000  | 9341106  |
|  1.843% 2/4/25 (c) | 5500000  | 5252478  |
| Barclays PLC: |  |  |
|  1.007% 12/10/24 (c) | 3245000  | 3068597  |
|  3.932% 5/7/25 (c) | 10000000  | 9645997  |
|  4.338% 5/16/24 (c) | 10000000  | 9908293  |
| Citigroup, Inc. 4.4% 6/10/25  | 326000 | 320612 |
| Danske Bank A/S 3.875% 9/12/23 (b) | 3793000 | 3737277 |
| HSBC Holdings PLC: |  |  |
|  0.976% 5/24/25 (c) | 6000000  | 5519374  |
|  1.645% 4/18/26 (c) | 4469000  | 4015751  |
| Intesa Sanpaolo SpA 3.375% 1/12/23 (b) | 5000000 | 4985403 |
| JPMorgan Chase & Co.: |  |  |
|  0.824% 6/1/25 (c) | 9763000  | 9079497  |
|  2.083% 4/22/26 (c) | 5000000  | 4645068  |
|  3.22% 3/1/25 (c) | 5000000  | 4867998  |
| Lloyds Banking Group PLC 0.695% 5/11/24 (c) | 4010000 | 3913292 |
| Mitsubishi UFJ Financial Group, Inc.: |  |  |
|  0.848% 9/15/24 (c) | 6000000  | 5768053  |
|  0.953% 7/19/25 (c) | 5000000  | 4637063  |
|  2.193% 2/25/25  | 6000000  | 5634856  |
| Mizuho Financial Group, Inc. 0.849% 9/8/24 (c) | 2945000 | 2829191 |
| National Bank of Canada 0.55% 11/15/24 (c) | 2428000 | 2316148 |
| NatWest Group PLC: |  |  |
|  2.359% 5/22/24 (c) | 3422000  | 3356455  |
|  3.875% 9/12/23  | 5847000  | 5776497  |
| NatWest Markets PLC 0.8% 8/12/24 (b) | 3125000 | 2883616 |
| Santander Holdings U.S.A., Inc. 3.5% 6/7/24  | 4731000 | 4590525 |
| Societe Generale: |  |  |
|  2.625% 10/16/24 (b) | 908000  | 855320  |
|  3.875% 3/28/24 (b) | 3557000  | 3474170  |
| Sumitomo Mitsui Financial Group, Inc. 1.474% 7/8/25  | 5000000 | 4558329 |
| Wells Fargo & Co.: |  |  |
|  1.654% 6/2/24 (c) | 5000000  | 4909605  |
|  2.164% 2/11/26 (c) | 5000000  | 4661570  |
|  |  | 134552141 |
| Capital Markets - 5.9% |  |  |
| Credit Suisse AG 0.495% 2/2/24  | 5000000 | 4567040 |
| Deutsche Bank AG New York Branch: |  |  |
|  0.898% 5/28/24  | 1760000  | 1646145  |
|  1.447% 4/1/25 (c) | 4153000  | 3831304  |
|  2.222% 9/18/24 (c) | 9466000  | 9081698  |
| Morgan Stanley 0.79% 5/30/25 (c) | 11000000 | 10192427 |
| UBS Group AG 1.008% 7/30/24 (b)(c) | 5345000 | 5180580 |
|  |  | 34499194 |
| Consumer Finance - 6.6% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |
|  1.65% 10/29/24  | 3012000  | 2771539  |
|  1.75% 1/30/26  | 4184000  | 3691387  |
|  4.125% 7/3/23  | 2112000  | 2093022  |
|  4.875% 1/16/24  | 1464000  | 1443299  |
| Ally Financial, Inc.: |  |  |
|  1.45% 10/2/23  | 789000  | 761917  |
|  5.125% 9/30/24  | 4280000  | 4246196  |
| Capital One Financial Corp. 1.343% 12/6/24 (c) | 2500000 | 2385284 |
| Hyundai Capital America 1% 9/17/24 (b) | 5519000 | 5068591 |
| John Deere Capital Corp. 3.4% 9/11/25  | 3100000 | 3022771 |
| Synchrony Financial: |  |  |
|  4.25% 8/15/24  | 5352000  | 5220317  |
|  4.375% 3/19/24  | 5198000  | 5105071  |
| Toyota Motor Credit Corp. 5.4% 11/10/25  | 3000000 | 3050613 |
|  |  | 38860007 |
| Diversified Financial Services - 1.7% |  |  |
| Athene Global Funding: |  |  |
|  0.95% 1/8/24 (b) | 5259000  | 4985953  |
|  1% 4/16/24 (b) | 5000000  | 4676242  |
|  |  | 9662195 |
| Insurance - 0.4% |  |  |
| Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 2318000 | 2060410 |
| TOTAL FINANCIALS |  | 219633947 |
| HEALTH CARE - 2.3%  |  |  |
| Biotechnology - 0.8% |  |  |
| AbbVie, Inc.: |  |  |
|  3.2% 5/14/26  | 1460000  | 1387841  |
|  3.6% 5/14/25  | 3100000  | 3015359  |
|  |  | 4403200 |
| Health Care Providers & Services - 0.5% |  |  |
| Cigna Corp. 1.25% 3/15/26  | 1750000 | 1567051 |
| CVS Health Corp. 3% 8/15/26  | 1460000 | 1372436 |
|  |  | 2939487 |
| Pharmaceuticals - 1.0% |  |  |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 6250000 | 6060990 |
| TOTAL HEALTH CARE |  | 13403677 |
| INDUSTRIALS - 5.5%  |  |  |
| Aerospace & Defense - 2.0% |  |  |
| The Boeing Co.: |  |  |
|  1.167% 2/4/23  | 4219000  | 4187165  |
|  1.95% 2/1/24  | 5000000  | 4810494  |
|  4.875% 5/1/25  | 3000000  | 2972173  |
|  |  | 11969832 |
| Airlines - 0.8% |  |  |
| Delta Air Lines, Inc. 2.9% 10/28/24  | 4794000 | 4544712 |
| Building Products - 0.3% |  |  |
| Carrier Global Corp. 2.242% 2/15/25  | 1750000 | 1650777 |
| Commercial Services & Supplies - 0.9% |  |  |
| Republic Services, Inc. 0.875% 11/15/25  | 6080000 | 5440454 |
| Machinery - 0.8% |  |  |
| Caterpillar Financial Services Corp. 3.65% 8/12/25  | 3100000 | 3035563 |
| Daimler Trucks Finance North America LLC 1.625% 12/13/24 (b) | 1475000 | 1371104 |
|  |  | 4406667 |
| Trading Companies & Distributors - 0.7% |  |  |
| Air Lease Corp.: |  |  |
|  0.7% 2/15/24  | 2107000  | 1984245  |
|  0.8% 8/18/24  | 2623000  | 2412574  |
|  |  | 4396819 |
| TOTAL INDUSTRIALS |  | 32409261 |
| INFORMATION TECHNOLOGY - 4.9%  |  |  |
| Electronic Equipment & Components - 0.8% |  |  |
| Dell International LLC/EMC Corp.: |  |  |
|  5.45% 6/15/23  | 3149000  | 3150844  |
|  6.02% 6/15/26  | 1600000  | 1634008  |
|  |  | 4784852 |
| IT Services - 1.2% |  |  |
| The Western Union Co.: |  |  |
|  2.85% 1/10/25  | 1063000  | 1011523  |
|  4.25% 6/9/23  | 6026000  | 5985402  |
|  |  | 6996925 |
| Semiconductors & Semiconductor Equipment - 0.7% |  |  |
| Microchip Technology, Inc. 0.983% 9/1/24  | 3079000 | 2846852 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 3.875% 6/18/26  | 1460000 | 1389073 |
|  |  | 4235925 |
| Software - 2.2% |  |  |
| Oracle Corp. 5.8% 11/10/25  | 3000000 | 3072896 |
| VMware, Inc.: |  |  |
|  0.6% 8/15/23  | 5987000  | 5797621  |
|  1% 8/15/24  | 3937000  | 3665851  |
|  |  | 12536368 |
| TOTAL INFORMATION TECHNOLOGY |  | 28554070 |
| MATERIALS - 0.9%  |  |  |
| Chemicals - 0.9% |  |  |
| Celanese U.S. Holdings LLC: |  |  |
|  5.9% 7/5/24  | 1500000  | 1490829  |
|  6.05% 3/15/25  | 1460000  | 1452667  |
| Nutrien Ltd. 5.9% 11/7/24  | 782000 | 791032 |
| Westlake Corp. 3.6% 8/15/26  | 1460000 | 1371622 |
|  |  | 5106150 |
| REAL ESTATE - 0.4%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.4% |  |  |
| American Tower Corp. 1.3% 9/15/25  | 1905000 | 1713297 |
| Crown Castle International Corp. 1.35% 7/15/25  | 444000 | 404062 |
|  |  | 2117359 |
| UTILITIES - 3.1%  |  |  |
| Electric Utilities - 1.0% |  |  |
| FirstEnergy Corp.: |  |  |
|  1.6% 1/15/26  | 476000  | 420863  |
|  2.05% 3/1/25  | 2724000  | 2513477  |
| Southern Co. 0.6% 2/26/24  | 2247000 | 2125202 |
| Tampa Electric Co. 3.875% 7/12/24  | 881000 | 860623 |
|  |  | 5920165 |
| Gas Utilities - 0.3% |  |  |
| ONE Gas, Inc. 0.85% 3/11/23  | 1560000 | 1556559 |
| Independent Power and Renewable Electricity Producers - 0.4% |  |  |
| Emera U.S. Finance LP 0.833% 6/15/24  | 2827000 | 2620268 |
| Multi-Utilities - 1.4% |  |  |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (c)(d) | 4294000 | 4232377 |
| DTE Energy Co. 4.22% 11/1/24  | 1600000 | 1575401 |
| NiSource, Inc. 0.95% 8/15/25  | 1953000 | 1761056 |
| WEC Energy Group, Inc. 5% 9/27/25  | 570000 | 572419 |
|  |  | 8141253 |
| TOTAL UTILITIES |  | 18238245 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $453,154,575) |  | <br> **431887745** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 5.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 5.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 5.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Notes: |  |  |
|  0.25% 7/31/25  | 18000000 | 16254837 |
|  0.75% 8/31/26 (e) | 17561500 | 15596807 |
|  4.5% 11/15/25  | 2250000 | 2275313 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $34,886,551) |  | **34126957** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 0.9%  |  |  |
| 4.5% 3/1/39 to 9/1/49  | 4145819 | 4121550 |
| 5.5% 11/1/34  | 1030267 | 1056500 |
| 7.5% 11/1/31  | 217 | 230 |
| TOTAL FANNIE MAE |  | 5178280 |
| Freddie Mac - 0.0%  |  |  |
| 8.5% 5/1/26 to 7/1/28  | 9550 | 9962 |
| Ginnie Mae - 0.0%  |  |  |
| 7% to 7% 1/15/25 to 8/15/32  | 118294 | 122731 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $5,693,096) |  | <br> **5310973** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 11.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 11.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 11.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| American Express Credit Account Master Trust Series 2022-4 Class A, 4.95% 10/15/27  | 947000 | 950703 |
| Capital One Multi-Asset Execution Trust Series 2022-A3 Class A, 4.95% 10/15/27  | 1170000 | 1173820 |
| Carvana Auto Receivables Trust Series 2021-P2 Class A3, 0.49% 3/10/26  | 4908903 | 4710229 |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/30 (b)(c)(d) | 6035468 | 5935949 |
| Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27  | 1450000 | 1417941 |
| Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, 1 month U.S. LIBOR + 0.500% 4.5436% 7/25/34 (c)(d) | 107970 | 100997 |
| Dell Equipment Finance Trust Series 2021-1 Class A3, 0.43% 5/22/26 (b) | 2373000 | 2315233 |
| Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b) | 2163509 | 2084703 |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 5850000 | 5722710 |
| Enterprise Fleet Financing LLC: |  |  |
|  Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 2541550 | 2469019 |
|  Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 1164918 | 1122764 |
|  Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 258000 | 251141 |
| GMF Floorplan Owner Revolving Trust Series 2020-1 Class A, 0.68% 8/15/25 (b) | 2239000 | 2166158 |
| Marlette Funding Trust Series 2021-2A Class A, 0.51% 9/15/31 (b) | 201424 | 200844 |
| MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (b) | 1976513 | 1936857 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 5.0791% 7/17/32 (b)(c)(d) | 6160000 | 6000746 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.2886% 1/25/36 (c)(d) | 135282 | 131782 |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 3401130 | 2969324 |
| Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26  | 988000 | 965898 |
| Santander Retail Auto Lease Trust Series 2021-A Class A3, 0.51% 7/22/24 (b) | 3228000 | 3131936 |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 5.6097% 11/18/30 (b)(c)(d) | 6386000 | 6278051 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (c)(d) | 115132 | 108593 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (b) | 18696 | 18597 |
|  Series 2021-2 Class A, 0.91% 6/20/31 (b) | 777396 | 760769 |
|  Series 2021-3 Class A, 0.83% 7/20/31 (b) | 1494334 | 1450121 |
| VCAT Asset Securitization, LLC: |  |  |
|  Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 822798 | 785409 |
|  Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 3456833 | 3122017 |
|  Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c) | 4394636 | 4064169 |
| Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 5.0291% 4/17/30 (b)(c)(d) | 5671140 | 5574884 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $70,408,235) |  | **67921364** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 1.0%  |  |  |
| Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c) | 1928190 | 1763590 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 823579 | 782426 |
| Cascade Funding Mortgage Trust: |  |  |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 908509 | 872246 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1164325 | 1096635 |
| Preston Ridge Partners Mortgage Trust Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 1783488 | 1617336 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(d) | 1244 | 1122 |
| TOTAL PRIVATE SPONSOR |  | 6133355 |
| U.S. Government Agency - 0.4%  |  |  |
| Fannie Mae: |  |  |
|  floater Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 4.3161% 5/25/45 (c)(d) | 494820 | 490296 |
|  sequential payer Series 2001-40 Class Z, 6% 8/25/31  | 41598 | 41958 |
|  Series 2016-27:  |  |  |
| Class HK, 3% 1/25/41 <br>| 517573 | 489270 |
| Class KG, 3% 1/25/40 <br>| 237748 | 224790 |
|  Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 4.3661% 7/25/46 (c)(d) | 558551 | 555956 |
| Freddie Mac Series 3949 Class MK, 4.5% 10/15/34  | 274684 | 272821 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 2075091 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $8,767,419) |  | <br> **8208446** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.1%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 1502000 | 1389057 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(d) | 3055000 | 2875426 |
| BX Trust floater Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(d) | 330000 | 328553 |
| CF Hippolyta Issuer LLC sequential payer: |  |  |
|  Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 4873546 | 4309793 |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 3247856 | 2797935 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(d) | 1128000 | 1095372 |
| Citigroup Commercial Mortgage Trust sequential payer Series 2013-GC17 Class A4, 4.131% 11/10/46  | 2062000 | 2024496 |
| CSAIL Commercial Mortgage Trust sequential payer Series 19-C15 Class A2, 3.4505% 3/15/52  | 2246108 | 2171247 |
| CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 4.625% 7/15/32 (b)(c)(d) | 1279000 | 1196881 |
| GS Mortgage Securities Trust: |  |  |
|  sequential payer Series 2014-GC18 Class AAB, 3.648% 1/10/47  | 11302 | 11170 |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 4380572 | 4290976 |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 1465107 | 1461334 |
| JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(d) | 1930387 | 1872834 |
| Morgan Stanley Capital I Trust sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 3286000 | 3050045 |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(d) | 852405 | 851206 |
| WF-RBS Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2013-C14 Class ASB, 2.977% 6/15/46  | 95311 | 94862 |
|  Series 2013-C16 Class ASB, 3.963% 9/15/46  | 161049 | 159500 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $32,322,619) |  | **29980687** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.8%** | &nbsp;&nbsp;**Money Market Funds - 0.8%** | &nbsp;&nbsp;**Money Market Funds - 0.8%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (f) <br>(Cost $4,450,392) <br>| 4449502 | **4450392** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.6%**<br> (Cost $609,682,887)<br>| <br>**581886564** |
| **NET OTHER ASSETS (LIABILITIES) - 0.4%**  | **2606817** |
| **NET ASSETS - 100.0%** | **584493381** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 175 | Mar 2023 | 35937891 | 91258 | 91258 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 148 | Mar 2023 | 16068406 | 96828 | 96828 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **188086** |
| The notional amount of futures purchased as a percentage of Net Assets is 8.8% | The notional amount of futures purchased as a percentage of Net Assets is 8.8% | The notional amount of futures purchased as a percentage of Net Assets is 8.8% | The notional amount of futures purchased as a percentage of Net Assets is 8.8% | The notional amount of futures purchased as a percentage of Net Assets is 8.8% | The notional amount of futures purchased as a percentage of Net Assets is 8.8% |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $163,057,499 or 27.9% of net assets.

(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $480,496.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 123298 | 58336867 | 54009773 | 34396 | - | - | 4450392 | 0.0% |
| Total | 123298 | 58336867 | 54009773 | 34396 | - | - | 4450392 |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds and U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Series Short-Term Credit Fund

- **b. EDGAR series identifier (if any):** S000048583

- **c. LEI of Series:** 5493002SQB6GUJQNUB87

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $585044365.66

**Total Liabilities:** $1126088.69

**Net Assets:** $583918276.97

**Cash Not Reported:** $547.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 12587.85349242 | **1-Year:** 60866.71901369 | **5-Year:** 34296.49612784 | **10-Year:** 1195.63595956 | **30-Year:** 214.23805868

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

- **3-Month:** 304.12759669 | **1-Year:** 2138.12988492 | **5-Year:** 669.18543237 | **10-Year:** 0.12433216 | **30-Year:** 0.00192266

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000153158 | -1.19%               | -0.25%               | 1.25%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-41390.13               | $-7551780.23                               |
| Month 2  | $-1093414.75             | $-1042894.48                               |
| Month 3  | $-335015.06              | $6006391.91                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Credit 1-3 Years Bond Index

- **Index Identifier:** 24467449

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CENT CLO 21 LTD/CENT CLO 21 CORP                          | CENT CLO 21 LTD/CORP 3ML+97 07/27/2030 144A                          | CUSIP: 15137EBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6035468 | PA      | $5935948.68   | 1.02%             | 2030-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                   | NATIONAL BANK OF CANADA 0.55/VAR 11/15/2024                          | CUSIP: 63307A2M6<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   2428000 | PA      | $2316147.60   | 0.40%             | 2024-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                             | LOWES COS INC 4.4% 09/08/2025                                        | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    716000 | PA      | $710914.09    | 0.12%             | 2025-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TR 2021-A                     | SANTANDER RETAIL AUTO LEASE TR 2021-A 0.51% 07/22/2024 144A          | CUSIP: 80286TAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3228000 | PA      | $3131936.01   | 0.54%             | 2024-07-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/32 #569160                                              | CUSIP: 36200QJD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1135 | PA      | $1193.98      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #549552                                              | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        76 | PA      | $79.76        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #475200                                              | CUSIP: 36209L3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       416 | PA      | $429.16       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                               | BANK OF AMERICA CORP 0.976%/VAR 04/22/2025                           | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9341105.50   | 1.60%             | 2025-04-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                               | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                   | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1502000 | PA      | $1389057.11   | 0.24%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                      | BARCLAYS PLC (UNGTD) 1.007%/VAR 12/10/2024                           | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3245000 | PA      | $3068597.32   | 0.53%             | 2024-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                          | T-MOBILE USA INC 3.5% 04/15/2025                                     | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4356926.19   | 0.75%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 11/27 #462363                                             | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       345 | PA      | $354.09       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                            | AIR LEASE CORP 0.7% 02/15/2024                                       | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2107000 | PA      | $1984244.81   | 0.34%             | 2024-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #481353                                             | CUSIP: 36209TWN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1094 | PA      | $1130.05      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                               | IMPERIAL BRANDS FINANCE PLC 3.125% 07/26/2024 144A                   | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   5257000 | PA      | $5013702.73   | 0.86%             | 2024-07-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #456802                                              | CUSIP: 36208PNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       321 | PA      | $331.35       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/31 #545304                                             | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $230.21       | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                  | LLOYDS TSB BANK T1Y 0.695%/VAR 05/11/2024                            | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4010000 | PA      | $3913292.35   | 0.67%             | 2024-05-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/31 #781324                                              | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4166 | PA      | $4341.07      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                            | DEUTSCHE BANK AG NEW YORK BNCH 0.898% 05/28/2024                     | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1646144.91   | 0.28%             | 2024-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                 | BOEING CO 1.95% 02/01/2024                                           | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4810493.95   | 0.82%             | 2024-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2017-CHOP A                                          | CSMC 2017-CHOP A 1ML+75 07/15/2032                                   | CUSIP: 12651QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279000 | PA      | $1196880.78   | 0.20%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST 2021                             | AJAX MORTGAGE LOAN TRUST 2021-B A VAR 06/25/2066 144A                | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1928190 | PA      | $1763590.12   | 0.30%             | 2066-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 11/28 #469699                                             | CUSIP: 36209EX49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       746 | PA      | $767.78       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #473582                                              | CUSIP: 36209KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       891 | PA      | $917.86       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/29 #780951                                              | CUSIP: 36225BBU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       371 | PA      | $382.21       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2049#FM1534                                     | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3064459 | PA      | $3045083.64   | 0.52%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #544721                                              | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       391 | PA      | $409.15       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #468256                                              | CUSIP: 36209DE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1931 | PA      | $1992.79      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2021-1                       | DELL EQUIPMENT FINANCE TRUST 2021-1 0.43% 05/22/2026 144A            | CUSIP: 24703QAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2373000 | PA      | $2315232.87   | 0.40%             | 2026-05-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/31 #474760                                              | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       522 | PA      | $544.45       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                  | MICROCHIP TECHNOLOGY INC 0.983% 09/01/2024                           | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   3079000 | PA      | $2846852.39   | 0.49%             | 2024-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2026#                                           | CUSIP: 3128FFB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $802.02       | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                | CAPITAL ONE FINANCIAL CORP SOFR 1.343%/VAR 12/06/2024                | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2385284.25   | 0.41%             | 2024-12-06      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL3                                            | VCAT 2021-NPL3 VAR 05/25/2051 144A                                   | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4394636 | PA      | $4064169.29   | 0.70%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK              | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A  | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930387 | PA      | $1872833.78   | 0.32%             | 2029-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                         | DELL INTL/EMC CORP 5.45% 06/15/2023                                  | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3149000 | PA      | $3150843.74   | 0.54%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                         | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A              | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3286000 | PA      | $3050044.50   | 0.52%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                  | GENERAL MTRS FINL CO INC 1.25% 01/08/2026                            | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4954000 | PA      | $4341652.51   | 0.74%             | 2026-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                | VMWARE INC 0.6% 08/15/2023                                           | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   5987000 | PA      | $5797620.95   | 0.99%             | 2023-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #465912                                              | CUSIP: 36209AR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       116 | PA      | $119.17       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                       | INTESA SANPAOLO SPA 3.375% 01/12/2023 144A                           | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   5000000 | PA      | $4985402.95   | 0.85%             | 2023-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/29 #488256                                              | CUSIP: 36210CMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1584 | PA      | $1641.77      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                            | MORGAN STANLEY 0.79/VAR 05/30/2025                                   | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10192426.75  | 1.75%             | 2025-05-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                           | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3895 | PA      | $4093.09      | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 21-3                         | UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A              | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1494334 | PA      | $1450120.80   | 0.25%             | 2031-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                | CIGNA CORP 1.25% 03/15/2026                                          | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1567051.08   | 0.27%             | 2026-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/31 #558993                                              | CUSIP: 36213M7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4090 | PA      | $4291.34      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                          | SOCIETE GENERALE FRANCE 2.625% 10/16/2024 144A                       | CUSIP: 83368RAU6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    908000 | PA      | $855320.10    | 0.15%             | 2024-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/25 #780105                                              | CUSIP: 36225ADJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16 | PA      | $15.61        | 0.00%             | 2025-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                          | FIRSTENERGY CORP 1.6% 01/15/2026                                     | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    476000 | PA      | $420863.20    | 0.07%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                        | WELLS FARGO and CO NEW 2.164%/VAR 02/11/2026                         | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4661569.60   | 0.80%             | 2026-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/32 #587698                                              | CUSIP: 36201M3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       920 | PA      | $969.50       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2013-GC17                           | CITIGROUP COML MTG TR 13-GC17 4.131% 11/10/2046                      | CUSIP: 17321RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062000 | PA      | $2024496.34   | 0.35%             | 2046-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/29 #477009                                              | CUSIP: 36209N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       321 | PA      | $331.47       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                 | BOEING CO 1.167% 02/04/2023                                          | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4219000 | PA      | $4187165.11   | 0.72%             | 2023-02-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL2 LLC                                        | VCAT 2021-NPL2 A1 LLC 2.115% 03/27/2051 144A                         | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3456833 | PA      | $3122016.77   | 0.53%             | 2051-03-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                            | DEUTSCHE BANK AG NEW YORK BNCH 1.447%/VAR 04/01/2025                 | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   4153000 | PA      | $3831304.01   | 0.66%             | 2025-04-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES INC                                        | DELTA AIRLINES INC 2.9% 10/28/2024                                   | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   4794000 | PA      | $4544712.00   | 0.78%             | 2024-10-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                   | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A      | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    908509 | PA      | $872246.11    | 0.15%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/29 #457860                                              | CUSIP: 36208QTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1753 | PA      | $1808.75      | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2                                               | PRPM 2021-2 2.115% 03/25/2026 144A                                   | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1783488 | PA      | $1617336.34   | 0.28%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/29 #487117                                              | CUSIP: 36210BDW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1339 | PA      | $1386.23      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #462643                                              | CUSIP: 36208V5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6374 | PA      | $6563.18      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/29 #471552                                              | CUSIP: 36209GZR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $82.80        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #486539                                              | CUSIP: 36210APY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3672 | PA      | $3774.20      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                   | DEERE JOHN CAPITAL CORP 3.4% 09/11/2025                              | CUSIP: 24422ETC3<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3022770.60   | 0.52%             | 2025-09-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/28 #780995                                             | CUSIP: 36225BC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       663 | PA      | $681.92       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                              | AUTOZONE INC 3.625% 04/15/2025                                       | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1419842.31   | 0.24%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                               | NUTRIEN LTD 5.9% 11/07/2024                                          | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    782000 | PA      | $791031.87    | 0.14%             | 2024-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                 | OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024                            | CUSIP: 674599CW3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2098000 | PA      | $2014080.00   | 0.34%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                               | PHILLIPS 66 1.3% 02/15/2026                                          | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1571331.04   | 0.27%             | 2026-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                              | PIONEER NATURAL RESOURCES CO 0.55% 05/15/2023                        | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   4724000 | PA      | $4630963.75   | 0.79%             | 2023-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/32 #552576                                              | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       992 | PA      | $1038.27      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-40 Z 6% 8/31                                                | CUSIP: 313920NH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     41598 | PA      | $41958.32     | 0.01%             | 2031-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                          | FIRSTENERGY CORP 2.05% 03/01/2025                                    | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   2724000 | PA      | $2513476.75   | 0.43%             | 2025-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/28 #475544                                              | CUSIP: 36209MHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1745 | PA      | $1802.53      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/30 #528329                                              | CUSIP: 36212A4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5772 | PA      | $6018.08      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/32 #574355                                              | CUSIP: 36200WBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       293 | PA      | $304.19       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                              | 7 ELEVEN INC 0.625% 02/10/2023 144A                                  | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1124000 | PA      | $1114052.60   | 0.19%             | 2023-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/32 #594252                                              | CUSIP: 36201VEZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22451 | PA      | $23635.65     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #780773                                              | CUSIP: 36225A2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12350 | PA      | $12605.15     | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK PL SECS INC                                          | PPSI 2005-WCH1 M4 1ML+83 1/36                                        | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    135282 | PA      | $131782.48    | 0.02%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                 | ROYAL BK SCOTLND GRP PLC(UNGTD) 2.359/VAR 05/22/2024                 | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3422000 | PA      | $3356454.67   | 0.57%             | 2024-05-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/32 #569702                                              | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       302 | PA      | $315.76       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/31 #474763                                              | CUSIP: 36209LML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       237 | PA      | $246.93       | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                | ABBVIE INC 3.2% 05/14/2026                                           | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1387840.95   | 0.24%             | 2026-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                          | SOUTHERN COMPANY 0.6% 02/26/2024                                     | CUSIP: 842587DG9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   2247000 | PA      | $2125202.17   | 0.36%             | 2024-02-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                            | AIR LEASE CORP 0.8% 08/18/2024                                       | CUSIP: 00914AAP7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2623000 | PA      | $2412573.68   | 0.41%             | 2024-08-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 08/01/2039#FM1353                                     | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499102 | PA      | $496842.91    | 0.09%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                      | WEC ENERGY GROUP INC 5% 09/27/2025                                   | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    570000 | PA      | $572418.70    | 0.10%             | 2025-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2014-GC18                                  | GS MTG SECS TR 2014-GC18 AAB 3.648% 01/10/2047                       | CUSIP: 36252RAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11302 | PA      | $11170.01     | 0.00%             | 2047-01-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                       | AMERICAN TOWER CORP 1.3% 09/15/2025                                  | CUSIP: 03027XBB5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1713296.94   | 0.29%             | 2025-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG NY BRNCH                                 | CREDIT SUISSE AG NY BRNCH 0.495% 02/02/2024                          | CUSIP: 22550L2E0<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4567040.10   | 0.78%             | 2024-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                     | JPMORGAN CHASE and CO 0.824/VAR 06/01/2025                           | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9763000 | PA      | $9079497.45   | 1.55%             | 2025-06-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #587033                                              | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1413 | PA      | $1479.82      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                   | SANTANDER HLDGS USA INC 3.5% 06/07/2024                              | CUSIP: 80282KAW6<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   4731000 | PA      | $4590524.97   | 0.79%             | 2024-06-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                              | AT and T INC 1.7% 03/25/2026                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2794244.15   | 0.48%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/28 #464132                                              | CUSIP: 36208XSV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3340 | PA      | $3437.20      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 5.50% 11/34 #310105                                             | CUSIP: 31374CNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030267 | PA      | $1056499.93   | 0.18%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                 | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                  | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128000 | PA      | $1095371.58   | 0.19%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 07/01/2027#                                           | CUSIP: 31292GS49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $208.64       | 0.00%             | 2027-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                   | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                        | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3247856 | PA      | $2797935.20   | 0.48%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                   | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                        | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4873546 | PA      | $4309793.02   | 0.74%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                           | NXP B V/NXP FDG LLC/NXP USA INC 3.875% 06/18/2026                    | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   1460000 | PA      | $1389073.20   | 0.24%             | 2026-06-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFF 2021-1                                                | EFF 2021-1 0.44% 12/21/2026 144A                                     | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1164918 | PA      | $1122763.67   | 0.19%             | 2026-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                            | SEMT 2004-6 A3B 6ML+44 7/34                                          | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1244 | PA      | $1121.70      | 0.00%             | 2034-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                        | MITSUBISHI UFJ FIN GRP INC 2.193% 02/25/2025                         | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   6000000 | PA      | $5634855.78   | 0.97%             | 2025-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                  | EQT CORP 5.678% 10/01/2025                                           | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1129000 | PA      | $1125906.54   | 0.19%             | 2025-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/32 #582173                                              | CUSIP: 36201FXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2712 | PA      | $2843.82      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                          | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A               | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    777396 | PA      | $760768.69    | 0.13%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                       | DOLLAR GEN CORP NEW 4.25% 09/20/2024                                 | CUSIP: 256677AJ4<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1349648.68   | 0.23%             | 2024-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #474767                                              | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       478 | PA      | $500.64       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                     | REPUBLIC SERVICES INC 0.875% 11/15/2025                              | CUSIP: 760759AY6<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |   6080000 | PA      | $5440453.92   | 0.93%             | 2025-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 06/01/2027#                                           | CUSIP: 3128FPPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1945 | PA      | $2039.96      | 0.00%             | 2027-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/32 #552619                                              | CUSIP: 36213E4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       246 | PA      | $257.61       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 11/28 #488293                                             | CUSIP: 36210CNJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2342 | PA      | $2415.91      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                   | BAYER US FIN II LLC 4.25% 12/15/2025 144A                            | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   6250000 | PA      | $6060989.94   | 1.04%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #483164                                              | CUSIP: 36209VWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4995 | PA      | $5163.57      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                              | NISOURCE INC 0.95% 08/15/2025                                        | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1953000 | PA      | $1761056.21   | 0.30%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                              | DISCOVERY COMMUNICATIONS LLC 4.9% 03/11/2026                         | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1419003.58   | 0.24%             | 2026-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/32 #579718                                              | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315 | PA      | $331.93       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/31 #529426                                              | CUSIP: 36212CD73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       606 | PA      | $628.93       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARLETTE FDG TR 2021-2                                    | MARLETTE FDG TR 2021-2 0.51% 09/15/2031 144A                         | CUSIP: 57108TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201424 | PA      | $200843.92    | 0.03%             | 2031-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                                      | WESTERN UN CO 2.85% 01/10/2025                                       | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   1063000 | PA      | $1011522.65   | 0.17%             | 2025-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                        | ALLY FINL INC 5.125% 09/30/2024                                      | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   4280000 | PA      | $4246195.70   | 0.73%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                     | TMTS 2003-4HE A 1ML+43 9/34                                          | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115132 | PA      | $108592.71    | 0.02%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                           | DANSKE BANK AS (UNGTD) 3.875% 09/12/2023 144A                        | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3793000 | PA      | $3737276.77   | 0.64%             | 2023-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                       | NATWEST MARKETS PLC 0.8% 08/12/2024 144A                             | CUSIP: 63906YAB4<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   3125000 | PA      | $2883616.47   | 0.49%             | 2024-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC 2021                        | VCAT ASSET SECURITIZATION LLC 2021 2.2891% 12/26/2050 144A           | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    822798 | PA      | $785409.37    | 0.13%             | 2050-12-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                          | GMF FLOORPLAN OWNER REVOLVING TR 0.68% 08/15/2025 144A               | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2239000 | PA      | $2166158.17   | 0.37%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                      | BARCLAYS BANK PLC 4.338/VAR 05/16/2024                               | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $9908292.50   | 1.70%             | 2024-05-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FDG 2 LLC                              | DONLEN FLEET LEASE FDG 2 LLC 0.56% 12/11/2034 144A                   | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2163509 | PA      | $2084703.25   | 0.36%             | 2034-12-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/29 #499907                                              | CUSIP: 36210RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1013 | PA      | $1046.23      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                                      | WESTERN UN CO 4.25% 06/09/2023                                       | CUSIP: 959802AX7<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   6026000 | PA      | $5985402.42   | 1.03%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                       | CARRIER GLOBAL CORP 2.242% 02/15/2025                                | CUSIP: 14448CAN4<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1650776.77   | 0.28%             | 2025-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                   | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                       | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4380572 | PA      | $4290976.31   | 0.73%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                           | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                        | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $328552.59    | 0.06%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                     | JPMORGAN CHASE and CO 3.22/VAR 03/01/2025                            | CUSIP: 46647PAH9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4867998.35   | 0.83%             | 2025-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                 | NATWEST GRP PLC(UNGTD) 3.875% 09/12/2023                             | CUSIP: 780097BD2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   5847000 | PA      | $5776497.11   | 0.99%             | 2023-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                   | HYUNDAI CAP AMER 1% 09/17/2024 144A                                  | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5519000 | PA      | $5068591.21   | 0.87%             | 2024-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 07/01/2028#                                           | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       559 | PA      | $578.62       | 0.00%             | 2028-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TCI-FLATIRON CLO 2016-1 LTD / TCI-FLATIRON CLO 2016-1 LLC | TCI-FLATIRON CLO 2017-1A AR LTD/LLC 3ML+96 11/18/2030 144A           | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6386000 | PA      | $6278051.06   | 1.08%             | 2030-11-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                        | WELLS FARGO and CO NEW 1.654%/VAR 06/02/2024                         | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4909604.60   | 0.84%             | 2024-06-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                | VERIZON COMMUNICATIONS INC 2.625% 08/15/2026                         | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1358798.36   | 0.23%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                          | NTT FINANCE CORP 1.162% 04/03/2026 144A                              | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   5299000 | PA      | $4706734.06   | 0.81%             | 2026-04-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.75% 08/31/2026                                           | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17561500 | PA      | $15596807.19  | 2.67%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                               | ONE GAS INC 0.85% 03/11/2023                                         | CUSIP: 68235PAJ7<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1556559.26   | 0.27%             | 2023-03-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                 | BOEING CO 4.875% 05/01/2025                                          | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2972173.29   | 0.51%             | 2025-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                       | EMERA US FINANCE LP 0.833% 06/15/2024                                | CUSIP: 29103DAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2827000 | PA      | $2620268.44   | 0.45%             | 2024-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 2YR NOTE (CBT) FUT MAR23 TUH3                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       175 | NC      | $91258.13     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                                | ABBVIE INC 3.6% 05/14/2025                                           | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3015359.37   | 0.52%             | 2025-05-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2020-2 LLC                          | ENTERPRISE FLEET FING 2020-2 LLC 0.61% 07/20/2026 144A               | CUSIP: 29375MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2541550 | PA      | $2469019.19   | 0.42%             | 2026-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2016-27 KG 3% 01/40                                              | CUSIP: 3136ASBQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    237748 | PA      | $224789.55    | 0.04%             | 2040-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                           | PHILIP MORRIS INTL INC 5.125% 11/15/2024                             | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2999138.10   | 0.51%             | 2024-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                     | JPMORGAN CHASE and CO 2.083/VAR 04/22/2026                           | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4645068.40   | 0.80%             | 2026-04-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #467219                                              | CUSIP: 36209CAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2465 | PA      | $2505.64      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.375% 04/30/2025                                          | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2697100 | PA      | $2462157.29   | 0.42%             | 2025-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/29 #472106                                              | CUSIP: 36209HNX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       481 | PA      | $494.88       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                        | MITSUBISHI UFJ FIN GRP INC 0.848%/VAR 09/15/2024                     | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   6000000 | PA      | $5768052.96   | 0.99%             | 2024-09-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #468670                                              | CUSIP: 36209DT38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       334 | PA      | $343.46       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                          | CROWN CASTLE INC 1.35% 07/15/2025                                    | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    444000 | PA      | $404062.36    | 0.07%             | 2025-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                         | HSBC HOLDINGS PLC 0.976/VAR 05/24/2025                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6000000 | PA      | $5519374.38   | 0.95%             | 2025-05-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                        | ENERGY TRANSFER LP 4.2% 09/15/2023                                   | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1668000 | PA      | $1655817.55   | 0.28%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                     | CELANESE US HLDGS LLC 6.05% 03/15/2025                               | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1452667.15   | 0.25%             | 2025-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                  | GENERAL MTRS FINL CO INC 1.05% 03/08/2024                            | CUSIP: 37045XDG8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1337633.62   | 0.23%             | 2024-03-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                  | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 1.625% 12/13/2024 144A      | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1371103.71   | 0.23%             | 2024-12-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                        | AUTONATION INC DEL 4.5% 10/01/2025                                   | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1423566.25   | 0.24%             | 2025-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2021-P2                       | CARVANA AUTO RECEIVABLES TR 2021-P2 0.49% 03/10/2026                 | CUSIP: 14687TAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4908903 | PA      | $4710229.36   | 0.81%             | 2026-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                         | HSBC HOLDINGS PLC 1.645/VAR 04/18/2026                               | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4469000 | PA      | $4015750.89   | 0.69%             | 2026-04-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 03/01/2039#FM1774                                     | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390535 | PA      | $388767.58    | 0.07%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                          | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A               | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18696 | PA      | $18597.40     | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIP FIN LLC 2019-B                                 | MMAF EQUIP FIN LLC 2019-B 2.01% 12/12/2024 144A                      | CUSIP: 55316EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1976513 | PA      | $1936857.00   | 0.33%             | 2024-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/32 #552475                                              | CUSIP: 36213EXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2687 | PA      | $2807.62      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                         | CHASE ISSUANCE TR 3.97% 09/15/2027                                   | CUSIP: 161571HS6<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |   1450000 | PA      | $1417941.08   | 0.24%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3949 MK 4.5% 10/34                                               | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    274684 | PA      | $272821.08    | 0.05%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/30 #477030                                              | CUSIP: 36209N4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2837 | PA      | $2956.27      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2015-27 KF 1ML+30 05/45                                          | CUSIP: 3136ANWT0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    494820 | PA      | $490295.58    | 0.08%             | 2045-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                              | ENBRIDGE INC 2.5% 02/14/2025                                         | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    584000 | PA      | $552587.67    | 0.09%             | 2025-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                          | BAT CAPITAL CORP 3.222% 08/15/2024                                   | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    350000 | PA      | $337555.61    | 0.06%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                         | DELL INTL/EMC CORP 6.02% 06/15/2026                                  | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1634008.46   | 0.28%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR        | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023 | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2112000 | PA      | $2093021.93   | 0.36%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIAGARA PARK CLO LLC                                      | NIAGARA PARK CLO LLC 3ML+100 07/17/2032 144A                         | CUSIP: 65357LAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6160000 | PA      | $6000745.52   | 1.03%             | 2032-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                    | CENTERPOINT ENERGY INC FRN SFRIX+65 05/13/2024                       | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   4294000 | PA      | $4232377.41   | 0.72%             | 2024-05-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                  | GENERAL MTRS FINL CO INC 5.25% 03/01/2026                            | CUSIP: 37045XBG0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3071150.32   | 0.53%             | 2026-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                          | T-MOBILE USA INC 1.5% 02/15/2026                                     | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1048297.82   | 0.18%             | 2026-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                       | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   5198000 | PA      | $5105071.04   | 0.87%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                           | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       765 | PA      | $797.73       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.25% 07/31/2025                                           | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $16254843.84  | 2.78%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C14                                | WFRBS 2013-C14 ASB 2.977% 6/46                                       | CUSIP: 92890PAF1<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     95311 | PA      | $94862.29     | 0.02%             | 2046-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                           | PHILIP MORRIS INTL INC 2.75% 02/25/2026                              | CUSIP: 718172BT5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1374001.15   | 0.24%             | 2026-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2016-27 HK 3% 01/25/2041                                         | CUSIP: 3136ASAZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    517573 | PA      | $489269.80    | 0.08%             | 2041-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                              | ENBRIDGE INC 2.15% 02/16/2024                                        | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    559000 | PA      | $539039.61    | 0.09%             | 2024-02-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                              | Fidelity Cash Central Fund                                           | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   4449502 | NS      | $4450392.26   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                            | CAPITAL ONE MULTI-ASST EXEC TR 4.95% 10/15/2027                      | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |   1170000 | PA      | $1173820.17   | 0.20%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                            | DEUTSCHE BANK AG NEW YORK BNCH 2.222%/VAR 09/18/2024                 | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   9466000 | PA      | $9081698.01   | 1.56%             | 2024-09-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                              | 7 ELEVEN INC 0.8% 02/10/2024 144A                                    | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1305451.72   | 0.22%             | 2024-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                        | ALLY FINL INC 1.45% 10/02/2023                                       | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    789000 | PA      | $761917.33    | 0.13%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR        | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024 | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1464000 | PA      | $1443298.54   | 0.25%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/29 #503652                                              | CUSIP: 36210VQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       476 | PA      | $478.68       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                          | NTT FINANCE CORP 0.583% 03/01/2024 144A                              | CUSIP: 62954WAB1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   2527000 | PA      | $2391933.75   | 0.41%             | 2024-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                           | CUSIP: 3128FRAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $31.99        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                             | BAT INTL FINANCE PLC 1.668% 03/25/2026                               | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   6600000 | PA      | $5850430.21   | 1.00%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCEDES BENZ RETAIL SA                                   | MERCEDES BENZ RETAIL SA 5.5% 11/27/2024 144A                         | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1470101.29   | 0.25%             | 2024-11-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                        | MITSUBISHI UFJ FIN GRP INC 0.953%/VAR 07/19/2025                     | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $4637062.80   | 0.79%             | 2025-07-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                   | MPLX LP 4.5% 07/15/2023                                              | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    990000 | PA      | $984034.07    | 0.17%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                        | ENERGY TRANSFER LP 3.6% 02/01/2023                                   | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8291000 | PA      | $8264697.71   | 1.42%             | 2023-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #464672                                              | CUSIP: 36208YFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1536 | PA      | $1573.83      | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 5YR NOTE (CBT) FUT MAR23 FVH3                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       148 | NC      | $96827.89     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                | MIZUHO FINL GROUP INC 0.849%/VAR 09/08/2024                          | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2945000 | PA      | $2829191.17   | 0.48%             | 2024-09-08      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 06/01/2039#FM1045                                     | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191724 | PA      | $190856.01    | 0.03%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C15 COML MTG TR                                | CSAIL 2019-C15 COML MTG TR 3.4505% 03/15/2052                        | CUSIP: 22945DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246108 | PA      | $2171247.24   | 0.37%             | 2052-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/29 #781120                                             | CUSIP: 36225BG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       297 | PA      | $307.81       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                              | UBS GROUP AG 1.008%/VAR 07/30/2024 144A                              | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5345000 | PA      | $5180580.26   | 0.89%             | 2024-07-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                        | CONAGRA BRANDS INC 0.5% 08/11/2023                                   | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   4070000 | PA      | $3938849.54   | 0.67%             | 2023-08-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2012-LC9                | J P MORGAN CHASE COML MTG SECS TR 2012-LC9 3.353% 12/15/2047 144A    | CUSIP: 46639EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465107 | PA      | $1461334.36   | 0.25%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #467760                                              | CUSIP: 36209CTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1113 | PA      | $1142.28      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C16                                | WFRBS COML MTG TR 2013-C16 3.963% 09/15/2046                         | CUSIP: 92938EAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161049 | PA      | $159500.33    | 0.03%             | 2046-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                      | BARCLAYS PLC (UNGTD) 3ML+161/VAR 05/07/2025                          | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $9645997.40   | 1.65%             | 2025-05-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                           | CVS HEALTH CORP 3% 08/15/2026                                        | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1372435.73   | 0.24%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                               | PHILLIPS 66 3.85% 04/09/2025                                         | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3031399.64   | 0.52%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                   | WESTERN GAS PARTNERS LP FRN 3ML+210 01/13/2023                       | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   1756000 | PA      | $1752488.00   | 0.30%             | 2023-01-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                | EATON 2019-1A AR 3ML+108 04/15/2031 144A                             | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5850000 | PA      | $5722709.85   | 0.98%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #475415                                              | CUSIP: 36209MDU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       362 | PA      | $373.31       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                       | SUMITOMO MITSUI FINL GRP INC 1.474% 07/08/2025                       | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $4558329.10   | 0.78%             | 2025-07-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                  | TOYOTA MOTOR CREDIT CORP 5.4% 11/10/2025                             | CUSIP: 89236TKK0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3050612.85   | 0.52%             | 2025-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                     | ATHENE GLOBAL FUNDING 0.95% 01/08/2024 144A                          | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5259000 | PA      | $4985952.72   | 0.85%             | 2024-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/32 #583152                                              | CUSIP: 36201GZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       904 | PA      | $952.89       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                             | WESTLAKE CORP 3.6% 08/15/2026                                        | CUSIP: 960413AT9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1371621.95   | 0.23%             | 2026-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                           | BRASS NO 10 PLC VAR 04/16/2069 144A                                  | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |    823579 | PA      | $782426.13    | 0.13%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2016-42 FL 1ML+35 07/25/2046                                     | CUSIP: 3136ASU95<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    558551 | PA      | $555955.67    | 0.10%             | 2046-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                             | CITIGROUP INC 4.4% 06/10/2025                                        | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    326000 | PA      | $320612.40    | 0.05%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SVCS CORP                                | CATERPILLAR FINL SVCS CORP 3.65% 08/12/2025                          | CUSIP: 14913R2Z9<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3035562.75   | 0.52%             | 2025-08-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT-WEST LIFECO FIN 20                                  | GREAT-WEST LIFECO FIN 20 0.904% 08/12/2025 144A                      | CUSIP: 391399AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2318000 | PA      | $2060410.02   | 0.35%             | 2025-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                               | AMERICAN HONDA FINANCE CORP 1% 09/10/2025                            | CUSIP: 02665WDN8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2806723.91   | 0.48%             | 2025-09-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #486623                                             | CUSIP: 36210ASL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       221 | PA      | $228.55       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                               | ORACLE CORP 5.8% 11/10/2025                                          | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3072895.71   | 0.53%             | 2025-11-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR        | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.75% 01/30/2026  | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4184000 | PA      | $3691386.72   | 0.63%             | 2026-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS BARCLAYS COML MTG TR 2013-C6                          | UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A         | CUSIP: 90349GAC9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    852405 | PA      | $851205.55    | 0.15%             | 2046-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                         | TAMPA ELECTRIC CO 3.875% 07/12/2024                                  | CUSIP: 875127BK7<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    881000 | PA      | $860623.42    | 0.15%             | 2024-07-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                            | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A               | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1164325 | PA      | $1096634.59   | 0.19%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                   | MPLX LP 1.75% 03/01/2026                                             | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4463084.50   | 0.76%             | 2026-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                       | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                 | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   5352000 | PA      | $5220316.72   | 0.89%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                     | ATHENE GLOBAL FUNDING 1% 04/16/2024 144A                             | CUSIP: 04685A2W0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4676242.25   | 0.80%             | 2024-04-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                          | WILLIAMS COS INC 4% 09/15/2025                                       | CUSIP: 96949LAB1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1423423.17   | 0.24%             | 2025-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 05/01/2026#                                           | CUSIP: 31283GQ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       434 | PA      | $443.73       | 0.00%             | 2026-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                            | MAGALLANES INC 3.788% 03/15/2025 144A                                | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2962212.69   | 0.51%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/29 #503947                                              | CUSIP: 36210VZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       282 | PA      | $292.48       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                          | ENTERPRISE FLEET FING 2022-3 LLC 4.38% 07/20/2029 144A               | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258000 | PA      | $251140.89    | 0.04%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                            | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                              | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $2875425.88   | 0.49%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                               | EQUINOR ASA 1.75% 01/22/2026                                         | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    909000 | PA      | $833729.56    | 0.14%             | 2026-01-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/28 #433933                                              | CUSIP: 36207KBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       599 | PA      | $613.98       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                          | T-MOBILE USA INC 2.25% 02/15/2026                                    | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1455633.92   | 0.25%             | 2026-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                          | SOCIETE GENERALE FRANCE 3.875% 03/28/2024 144A                       | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3557000 | PA      | $3474170.20   | 0.59%             | 2024-03-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/28 #781228                                             | CUSIP: 36225BLH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       430 | PA      | $443.09       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CWABS INC                                                 | CWL 2004-2 3A4 1ML+25 7/34                                           | CUSIP: 1266713Y0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107970 | PA      | $100996.58    | 0.02%             | 2034-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #449517                                              | CUSIP: 36208FK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       819 | PA      | $840.73       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                             | VOLKSWAGEN GROUP AMER FIN LLC 0.875% 11/22/2023 144A                 | CUSIP: 928668BJ0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5742562.08   | 0.98%             | 2023-11-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5             | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 4.11% 08/17/2026       | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    988000 | PA      | $965898.04    | 0.17%             | 2026-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                               | BANK OF AMERICA CORPORATION 1.843%/VAR 02/04/2025                    | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5252478.00   | 0.90%             | 2025-02-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #473323                                              | CUSIP: 36209JYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3798 | PA      | $3917.80      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #477182                                              | CUSIP: 36209PCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1168 | PA      | $1205.47      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                           | CUSIP: 3128FRAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $851.52       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR        | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024  | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3012000 | PA      | $2771539.12   | 0.47%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                | VMWARE INC 1% 08/15/2024                                             | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   3937000 | PA      | $3665850.98   | 0.63%             | 2024-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MCCORMICK and CO INC                                      | MCCORMICK and CO INC 0.9% 02/15/2026                                 | CUSIP: 579780AR8<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4394648.85   | 0.75%             | 2026-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #486612                                             | CUSIP: 36210AR90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1529 | PA      | $1582.50      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                             | DTE ENERGY CO STEP 11/01/2024                                        | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1575400.86   | 0.27%             | 2024-11-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/29 #510983                                              | CUSIP: 36211EUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       373 | PA      | $380.92       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                            | AMERICAN EXPRESS CR ACC MST TR 4.95% 10/15/2027                      | CUSIP: 02582JJX9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    947000 | PA      | $950702.68    | 0.16%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #584369                                              | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       645 | PA      | $676.49       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-1 LTD                                       | VOYA CLO 2017-1 LTD 3ML+95 04/17/2030 144A                           | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5671140 | PA      | $5574883.57   | 0.95%             | 2030-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-5 LLC                                           | PRPM 2021-5 LLC VAR 06/25/2026 144A                                  | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3401130 | PA      | $2969323.70   | 0.51%             | 2026-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                            | CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025                         | CUSIP: 136385AZ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   4381000 | PA      | $4088992.99   | 0.70%             | 2025-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                        | BMW US CAPITAL LLC 3.25% 04/01/2025 144A                             | CUSIP: 05565EBZ7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2998045.03   | 0.51%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 05/01/2027#                                           | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $114.46       | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                     | CELANESE US HLDGS LLC 5.9% 07/05/2024                                | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1490828.63   | 0.26%             | 2024-07-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer