# EDGAR Filing Document

**Accession Number:** 0000711175
**File Stem:** 0001752724-23-036131
**Filing Date:** 2023-2
**Character Count:** 135383
**Document Hash:** 542acaa6b67687b592a790a867f739ec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-036131.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-036131

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PRUDENTIAL SERIES FUND
- **CENTRAL INDEX KEY:** 0000711175
- **IRS NUMBER:** 860446842
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03623
- **FILM NUMBER:** 23657816

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRUDENTIAL SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### PSF PGIM GOVERNMENT INCOME PORTFOLIO (Series ID: S000002198)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000005696 | Class I      |  |
| C000226558 | Class III    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Prudential Series Fund

- **b. Investment Company Act file number:** 811-03623

- **c. CIK number of Registrant:** 0000711175

- **d. LEI of Registrant:** 5493007AGJZME68YC130

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

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

  - **City:** Newark

  - **State:** NJ

  - **Foreign country:** US

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

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

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

- **a. Name of Series:** PSF PGIM Government Income Portfolio

- **b. EDGAR series identifier (if any):** S000002198

- **c. LEI of Series:** VWCT3GM3FGWMCGTF9P70

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $192860861.47

**Total Liabilities:** $8517455.76

**Net Assets:** $184343405.71

**Delayed Delivery Securities:** $505215.31

**Stand-by Commitments:** $6326953.99

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 2321.05750000 | **5-Year:** 51739.74889000 | **10-Year:** 22951.75157000 | **30-Year:** 132.47537000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000226558 | -1.34%               | 3.39%                | -0.82%               |
| Class ID C000005696 | -1.33%               | 3.38%                | -0.73%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2085477.35             | $-2505272.20                               |
| Month 2  | $-368490.90              | $8219251.30                                |
| Month 3  | $61317.48                | $-2270172.49                               |

**Designated Index Information**

- **Index Name:** U.S. Agg Ex Credit

- **Index Identifier:** I04273US Index

### Schedule of Portfolio Investments

| Name                                        | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201VZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44605 | PA      | $46207.41     | 0.03%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31417G3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445867 | PA      | $405681.76    | 0.22%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1945000 | PA      | $887862.12    | 0.48%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140KMU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583167 | PA      | $1370300.36   | 0.74%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122061 | PA      | $116837.57    | 0.06%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $379812.50    | 0.21%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677937 | PA      | $579559.35    | 0.31%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                     | CUSIP: 38379FCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171945 | PA      | $167307.31    | 0.09%             | 2045-10-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32710 | PA      | $32705.98     | 0.02%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2601940 | PA      | $2210050.83   | 1.20%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205146 | PA      | $196691.55    | 0.11%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394807 | PA      | $322813.55    | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1593633 | PA      | $1353768.34   | 0.73%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148779 | PA      | $151931.67    | 0.08%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912833RY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $430107.42    | 0.23%             | 2028-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UQ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277266 | PA      | $249685.82    | 0.14%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                    | Resolution Funding Corp Interest Strip                       | CUSIP: 76116EGR5<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    350000 | PA      | $252114.00    | 0.14%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410059 | PA      | $381894.12    | 0.21%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132XXRG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369829 | PA      | $343003.14    | 0.19%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WEV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547546 | PA      | $509263.29    | 0.28%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36225BB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16329 | PA      | $16779.18     | 0.01%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373829 | PA      | $364843.68    | 0.20%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203FYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       422 | PA      | $421.64       | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31405TUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3199 | PA      | $3247.12      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184663 | PA      | $165800.58    | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498196 | PA      | $452754.03    | 0.25%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36204HZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       105 | PA      | $104.94       | 0.00%             | 2023-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 2 LTD.                         | AGL Core CLO 2 Ltd                                           | CUSIP: 001200AA2<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $984635.00    | 0.53%             | 2032-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256608 | PA      | $221465.67    | 0.12%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36206KN72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2752 | PA      | $2750.66      | 0.00%             | 2026-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $459307.61    | 0.25%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345000 | PA      | $129765.82    | 0.07%             | 2045-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203HNB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       332 | PA      | $331.74       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429195 | PA      | $331588.57    | 0.18%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63078 | PA      | $64415.41     | 0.03%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936109 | PA      | $823364.59    | 0.45%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834NV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210000 | PA      | $83073.05     | 0.05%             | 2044-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132A9UD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244007 | PA      | $235850.23    | 0.13%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1515000 | PA      | $1239222.66   | 0.67%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132HMXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406107 | PA      | $380063.30    | 0.21%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418CUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60433 | PA      | $58417.93     | 0.03%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                              | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1688731.40   | 0.92%             | 2032-06-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                 | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E    | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6017 | PA      | $5563.68      | 0.00%             | 2028-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    500000 | PA      | $392507.00    | 0.21%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31373NQ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $445.01       | 0.00%             | 2024-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 3620C0YW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65375 | PA      | $62639.89     | 0.03%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994646 | PA      | $980890.89    | 0.53%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31390PAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45942 | PA      | $47085.06     | 0.03%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201VYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7872 | PA      | $8096.95      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455271 | PA      | $426111.75    | 0.23%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135209 | PA      | $132444.90    | 0.07%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19422 | PA      | $20260.93     | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10490000 | PA      | $8618190.63   | 4.68%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53035 | PA      | $54753.52     | 0.03%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                  | Federal National Mortgage Association                        | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $397275.58    | 0.22%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912833XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     15000 | PA      | $11334.96     | 0.01%             | 2029-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407JZB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63819 | PA      | $64145.56     | 0.03%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36225ADU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       887 | PA      | $895.67       | 0.00%             | 2025-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271976 | PA      | $252591.28    | 0.14%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                     | Regatta VII Funding Ltd                                      | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3179362.55   | 1.72%             | 2034-06-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174411 | PA      | $154320.16    | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    710000 | PA      | $532943.75    | 0.29%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431251 | PA      | $406318.57    | 0.22%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31413NU29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73380 | PA      | $76394.71     | 0.04%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31417GWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662690 | PA      | $630093.37    | 0.34%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140XGXR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973276 | PA      | $862852.15    | 0.47%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MJGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674513 | PA      | $592304.86    | 0.32%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PGIM Core Ultra Short Bond Fund             | PGIM Core Ultra Short Bond Fund                              | CUSIP: 000000000<br>LEI: 1VRLPVAWKZCB406TIT84 | Long             | STIV             | RF                | US        |   6536620 | NS      | $6536619.59   | 3.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201VXY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2702 | PA      | $2843.11      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2017-1, Ltd                         | TCW CLO 2017-1A Ltd                                          | CUSIP: 87240NAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485527.20    | 0.26%             | 2034-10-29      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957154 | PA      | $816019.48    | 0.44%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31371E3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2006 | PA      | $2033.86      | 0.00%             | 2025-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $60145.31     | 0.03%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MC4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48142 | PA      | $47034.95     | 0.03%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286996 | PA      | $258467.93    | 0.14%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74019 | PA      | $65502.75     | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132QQKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146350 | PA      | $133320.10    | 0.07%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591EW8<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    325000 | PA      | $297704.01    | 0.16%             | 2025-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138ER3T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345033 | PA      | $335735.97    | 0.18%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Venture CLO 43 Limited                      | Venture 43 CLO Ltd                                           | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2175142.50   | 1.18%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834DU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    220000 | PA      | $113119.53    | 0.06%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123536 | PA      | $118834.01    | 0.06%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125000 | PA      | $115156.25    | 0.06%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359755 | PA      | $325980.35    | 0.18%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501785 | PA      | $503131.56    | 0.27%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62809 | PA      | $59995.06     | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473948 | PA      | $401506.36    | 0.22%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31373JFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $339.87       | 0.00%             | 2024-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31390NZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95004 | PA      | $98210.29     | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965998 | PA      | $820039.94    | 0.44%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31296JTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125970 | PA      | $128783.83    | 0.07%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4315000 | PA      | $1760048.07   | 0.95%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203BS96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $100.57       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BPVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $127022.08    | 0.07%             | 2031-01-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31403N6A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8432 | PA      | $8583.83      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31404EDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98381 | PA      | $101439.27    | 0.06%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3521728 | PA      | $2874486.10   | 1.56%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       421 | NC      | $-179109.75   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834EP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2120000 | PA      | $1053043.75   | 0.57%             | 2039-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                  | Israel Government AID Bond                                   | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    300000 | PA      | $324990.18    | 0.18%             | 2033-09-18      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36290SHW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110332 | PA      | $112898.48    | 0.06%             | 2033-09-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MFCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119979 | PA      | $109266.18    | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $25717.97     | 0.01%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147580 | PA      | $144633.64    | 0.08%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36206APW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13365 | PA      | $13495.21     | 0.01%             | 2025-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31391EFH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103581 | PA      | $107664.72    | 0.06%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132HLA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236066 | PA      | $221223.57    | 0.12%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195953 | PA      | $195569.70    | 0.11%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    280000 | PA      | $278490.63    | 0.15%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2740000 | PA      | $1233642.20   | 0.67%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41757 | PA      | $42643.67     | 0.02%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842414 | PA      | $650851.15    | 0.35%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95520 | PA      | $82349.15     | 0.04%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67531 | PA      | $64760.63     | 0.04%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M9A85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28237 | PA      | $29345.85     | 0.02%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36224VNH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       194 | PA      | $193.89       | 0.00%             | 2023-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                           | Wellfleet CLO 2017-2A Ltd                                    | CUSIP: 94951MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    914369 | PA      | $903657.16    | 0.49%             | 2029-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $501342.07    | 0.27%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132D6C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596089 | PA      | $581762.53    | 0.32%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202993 | PA      | $189724.34    | 0.10%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $484956.27    | 0.26%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36204JA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       961 | PA      | $961.17       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406KM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30635 | PA      | $30762.73     | 0.02%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97445 | PA      | $88142.60     | 0.05%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161495 | PA      | $149368.52    | 0.08%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203JUJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1715 | PA      | $1713.38      | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XI Ltd                                                  | CUSIP: 67109UAS1<br>LEI: 5493009CITK5BZZY6417 | Long             | ABS-CBDO         | CORP              | KY        |   3709451 | PA      | $3653835.00   | 1.98%             | 2030-10-30      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591DM1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    530000 | PA      | $618508.45    | 0.34%             | 2030-05-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834DV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    560000 | PA      | $281093.75    | 0.15%             | 2039-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494611 | PA      | $461279.42    | 0.25%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    525000 | PA      | $246011.72    | 0.13%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    175000 | PA      | $166421.85    | 0.09%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MMAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484861 | PA      | $425515.76    | 0.23%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING                      | Private Export Funding Corp                                  | CUSIP: 742651DY5<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |    885000 | PA      | $749080.53    | 0.41%             | 2028-07-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140X4TZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419143 | PA      | $378602.89    | 0.21%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193363 | PA      | $185214.30    | 0.10%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                      | Federal Home Loan Banks                                      | CUSIP: 3130ATHY6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    210000 | PA      | $204997.73    | 0.11%             | 2032-09-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132QS4S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154551 | PA      | $143869.54    | 0.08%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256657 | PA      | $258367.83    | 0.14%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407CAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31833 | PA      | $32509.83     | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354284 | PA      | $328863.27    | 0.18%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31417CJL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166437 | PA      | $155799.81    | 0.08%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31405H3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $192.10       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31404XUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20957 | PA      | $20799.69     | 0.01%             | 2031-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253182 | PA      | $236295.49    | 0.13%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140KDFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302134 | PA      | $266486.16    | 0.14%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996960 | PA      | $988125.67    | 0.54%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6870000 | PA      | $4470867.19   | 2.43%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                   | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $445090.88    | 0.24%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31388LGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23959 | PA      | $24142.55     | 0.01%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WHKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176759 | PA      | $164032.60    | 0.09%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588769 | PA      | $1353038.45   | 0.73%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050710 | PA      | $940012.14    | 0.51%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166919 | PA      | $166592.46    | 0.09%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31376KJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $257.70       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WCX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360739 | PA      | $345535.81    | 0.19%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M9WU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296942 | PA      | $285481.02    | 0.15%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MA5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485018 | PA      | $425893.61    | 0.23%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504456 | PA      | $500517.21    | 0.27%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3945000 | PA      | $1730868.75   | 0.94%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36184HLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363489 | PA      | $324744.09    | 0.18%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    830000 | PA      | $593709.38    | 0.32%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407P2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214499 | PA      | $221814.19    | 0.12%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140QNTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961978 | PA      | $845141.51    | 0.46%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276444 | PA      | $263825.46    | 0.14%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1780641 | PA      | $1455303.07   | 0.79%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                 | Federal Home Loan Mortgage Corp                              | CUSIP: 3128X75U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    600000 | PA      | $284015.66    | 0.15%             | 2038-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36224SV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15 | PA      | $15.01        | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136733 | PA      | $127240.83    | 0.07%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion Clo XV Ltd                                         | CUSIP: 07131AAA2<br>LEI: 549300CJP8HGT746II19 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2447739.25   | 1.33%             | 2033-01-17      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164382 | PA      | $158225.34    | 0.09%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201VY48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1356 | PA      | $1393.55      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000588 | PA      | $880008.60    | 0.48%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING STRIP                    | Resolution Funding Corp Interest Strip                       | CUSIP: 76116EHP8<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    675000 | PA      | $489399.51    | 0.27%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340043 | PA      | $317136.03    | 0.17%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484822 | PA      | $478117.60    | 0.26%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                              | Fannie Mae-Aces                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3147123.60   | 1.71%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36204J6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2387 | PA      | $2387.42      | 0.00%             | 2024-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31373TYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       737 | PA      | $743.37       | 0.00%             | 2025-04-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2407141 | PA      | $1969609.23   | 1.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402780 | PA      | $377020.71    | 0.20%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980354 | PA      | $920017.56    | 0.50%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125701 | PA      | $126927.34    | 0.07%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                 | Federal Home Loan Mortgage Corp                              | CUSIP: 3134A4KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   2275000 | PA      | $2652879.05   | 1.44%             | 2032-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       256 | NC      | $-74660.42    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    535000 | PA      | $260269.14    | 0.14%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155818 | PA      | $149810.19    | 0.08%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834NF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $314528.91    | 0.17%             | 2044-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1555935 | PA      | $1275556.42   | 0.69%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71828 | PA      | $64596.77     | 0.04%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2019-CD8 Mortgage Trust                                   | CUSIP: 12515BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3420374.40   | 1.86%             | 2057-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834MT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1145000 | PA      | $470389.25    | 0.26%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317120 | PA      | $266583.56    | 0.14%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187914 | PA      | $175201.36    | 0.10%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138LUTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308846 | PA      | $296591.42    | 0.16%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    941000 | PA      | $690863.09    | 0.37%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1324106 | PA      | $1023011.15   | 0.55%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491965 | PA      | $461489.07    | 0.25%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132WKQR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180649 | PA      | $167789.91    | 0.09%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WEG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179945 | PA      | $172359.96    | 0.09%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407XRB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40440 | PA      | $40574.54     | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31419BCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128984 | PA      | $120585.55    | 0.07%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31297ECF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40622 | PA      | $41290.10     | 0.02%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36292LBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31777 | PA      | $32934.28     | 0.02%             | 2036-03-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO Ltd                           | Jamestown CLO XIV Ltd                                        | CUSIP: 47048XAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485272.70    | 0.26%             | 2034-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31292K4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122254 | PA      | $117537.75    | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138LTN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321025 | PA      | $300495.88    | 0.16%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301927 | PA      | $271515.58    | 0.15%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227256 | PA      | $217443.97    | 0.12%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418TMQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460228 | PA      | $451810.41    | 0.25%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213641 | PA      | $199978.61    | 0.11%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M6TW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23175 | PA      | $24145.90     | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591CJ9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    510000 | PA      | $541597.85    | 0.29%             | 2025-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132KEZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197599 | PA      | $185507.41    | 0.10%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                  | Federal National Mortgage Association                        | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $3499403.88   | 1.90%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79852 | PA      | $82898.79     | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31408EEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12422 | PA      | $12898.95     | 0.01%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834NP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2790000 | PA      | $1111858.61   | 0.60%             | 2044-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33000 | PA      | $23578.24     | 0.01%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36200MRS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63335 | PA      | $64597.83     | 0.04%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                       | CUSIP: 3133ENZH6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $481886.13    | 0.26%             | 2042-06-27      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $324964.06    | 0.18%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2361446 | PA      | $2010410.67   | 1.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472415 | PA      | $385644.23    | 0.21%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $240564.07    | 0.13%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370000 | PA      | $377400.00    | 0.20%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25835000 | PA      | $19424690.63  | 10.54%            | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348805 | PA      | $297060.88    | 0.16%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                      | Federal Home Loan Banks                                      | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $1099375.86   | 0.60%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31368HB77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $9.99         | 0.00%             | 2023-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C4                   | CUSIP: 07335CAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2615725.50   | 1.42%             | 2052-08-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275359 | PA      | $256562.46    | 0.14%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1499596 | PA      | $1302476.64   | 0.71%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466278 | PA      | $380641.07    | 0.21%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       141 | NC      | $11865.85     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140659 | PA      | $125813.20    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 31329PHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6070 | PA      | $5787.62      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138X1ZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593965 | PA      | $540429.19    | 0.29%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761831 | PA      | $668961.32    | 0.36%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3132KETW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149516 | PA      | $143948.72    | 0.08%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46420 | PA      | $46579.77     | 0.03%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31417FYY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361313 | PA      | $328748.74    | 0.18%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524388 | PA      | $509426.30    | 0.28%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140XAND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072981 | PA      | $921354.89    | 0.50%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31412RKU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511453 | PA      | $491183.34    | 0.27%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89547 | PA      | $85611.12     | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140KEK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100732 | PA      | $1787577.87   | 0.97%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138YR6F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127853 | PA      | $122463.40    | 0.07%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451788 | PA      | $407301.04    | 0.22%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106289 | PA      | $98846.65     | 0.05%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31296X5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76152 | PA      | $77414.53     | 0.04%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214614 | PA      | $191226.60    | 0.10%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31405QK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112945 | PA      | $116418.32    | 0.06%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203RGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        43 | PA      | $42.52        | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215942 | PA      | $200333.98    | 0.11%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140X6PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288655 | PA      | $267572.68    | 0.15%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36200NHY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115940 | PA      | $121359.89    | 0.07%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                 | Federal Home Loan Mortgage Corp                              | CUSIP: 3134A4AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    210000 | PA      | $247091.08    | 0.13%             | 2031-03-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                 | Balboa Bay Loan Funding 2021-1 Ltd                           | CUSIP: 05765XAA9<br>LEI: 549300G0EX8VHFWPJW18 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2921159.40   | 1.58%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334288 | PA      | $288207.96    | 0.16%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485860 | PA      | $426619.35    | 0.23%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1901222 | PA      | $1619140.65   | 0.88%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783722 | PA      | $701002.83    | 0.38%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1220190.39   | 0.66%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140X4QP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401901 | PA      | $376220.47    | 0.20%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997902 | PA      | $907609.89    | 0.49%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203DJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       325 | PA      | $324.60       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140LYX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499281 | PA      | $454450.32    | 0.25%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $145473.05    | 0.08%             | 2046-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                         | Resolution Funding Corp Principal Strip                      | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   2290000 | PA      | $1677775.14   | 0.91%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387585 | PA      | $350810.21    | 0.19%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201Y3G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66730 | PA      | $67446.89     | 0.04%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398767 | PA      | $346698.56    | 0.19%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36204JDK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1867 | PA      | $1866.67      | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407DMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52402 | PA      | $52562.86     | 0.03%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1362454.08   | 0.74%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113371 | PA      | $108292.90    | 0.06%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WHXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303559 | PA      | $271517.83    | 0.15%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407RSY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30082 | PA      | $30178.60     | 0.02%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204119 | PA      | $192313.39    | 0.10%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36201VYK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9367 | PA      | $9634.86      | 0.01%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24263 | PA      | $25186.04     | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327325 | PA      | $278315.02    | 0.15%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140MKJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965387 | PA      | $847698.84    | 0.46%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -217 | NC      | $166828.91    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353975 | PA      | $337843.50    | 0.18%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251571 | PA      | $240279.38    | 0.13%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128KKKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30924 | PA      | $31904.01     | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140KB4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    909447 | PA      | $777338.68    | 0.42%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834PH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $77593.75     | 0.04%             | 2045-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -448 | NC      | $201974.63    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2019-2                               | CUSIP: 05682LAJ6<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490660.25    | 0.27%             | 2032-10-17      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790565 | PA      | $705129.14    | 0.38%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31375KGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.03         | 0.00%             | 2026-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834LK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $34612.50     | 0.02%             | 2042-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134852 | PA      | $129649.91    | 0.07%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212385 | PA      | $181598.95    | 0.10%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3133B9LT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493939 | PA      | $433699.99    | 0.24%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trimaran Advisors CAVU 2019-1               | Trimaran Cavu 2019-1 Ltd                                     | CUSIP: 89624CAA0<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2448569.00   | 1.33%             | 2032-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834AU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2825000 | PA      | $1436335.94   | 0.78%             | 2039-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138YWKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220149 | PA      | $210868.35    | 0.11%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407NAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105053 | PA      | $106441.41    | 0.06%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                           | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89940 | PA      | $79294.46     | 0.04%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31294MGN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11588 | PA      | $11321.82     | 0.01%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BKGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $373236.84    | 0.20%             | 2030-04-25      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor              | Structured Adjustable Rate Mortgage Loan Trust               | CUSIP: 86359BGH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29649 | PA      | $27747.27     | 0.02%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 31287YAD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11331 | PA      | $11620.65     | 0.01%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                       | Tennessee Valley Authority                                   | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    230000 | PA      | $253431.97    | 0.14%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36204GPV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12427 | PA      | $12457.05     | 0.01%             | 2024-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3645000 | PA      | $3421174.22   | 1.86%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                          | Wind River 2016-1K CLO Ltd                                   | CUSIP: 97314DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $484501.10    | 0.26%             | 2034-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31406GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102204 | PA      | $103244.40    | 0.06%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138WHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121864 | PA      | $110840.20    | 0.06%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                    | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -250000 | PA      | $-250616.65   | -0.14%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140N5ER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499999 | PA      | $501341.09    | 0.27%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                             | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2499950 | PA      | $2506660.19   | 1.36%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA TREASURY BOND                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         9 | NC      | $-67512.87    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                            | CUSIP: 36203EG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       228 | PA      | $228.23       | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31407XSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54176 | PA      | $54366.79     | 0.03%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                         | Resolution Funding Corp Principal Strip                      | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   2305000 | PA      | $1667520.67   | 0.90%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3138EJHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304812 | PA      | $302169.53    | 0.16%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 31409BG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52192 | PA      | $53018.56     | 0.03%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    245000 | PA      | $187195.31    | 0.10%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                              | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109212 | PA      | $104319.96    | 0.06%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1485000 | PA      | $1112589.84   | 0.60%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRIPS                                      | United States Treasury Strip Coupon                          | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    155000 | PA      | $65620.70     | 0.04%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                        | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33828 | PA      | $35118.44     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Prudential Series Fund

**Signature:** Christian J. Kelly

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

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