# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0001752724-23-048890
**Filing Date:** 2023-3
**Character Count:** 165377
**Document Hash:** 1bb7014cd86348a2ba59a08e153cae49
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048890.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048890

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07953
- **FILM NUMBER:** 23690531

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 787 TRUST
- **DATE OF NAME CHANGE:** 19961125

## Series and Classes Contracts Data

### EQ/PIMCO Ultra Short Bond Portfolio (Series ID: S000009195)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000024986 | Class IA     |  |
| C000024987 | Class IB     |  |
| C000104191 | Class K      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EQ Advisors Trust

- **b. Investment Company Act file number:** 811-07953

- **c. CIK number of Registrant:** 0001027263

- **d. LEI of Registrant:** 549300Q691FLN6WHB832

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

  - **Street Address 1:** 1290 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10104

  - **Telephone number:** 212-554-1234

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

- **a. Name of Series:** EQ/PIMCO Ultra Short Bond Portfolio

- **b. EDGAR series identifier (if any):** S000009195

- **c. LEI of Series:** YZAY4E0VG7W3MZK8EE78

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $821377409.14

**Total Liabilities:** $12500827.79

**Net Assets:** $808876581.35

**Cash Not Reported:** $4997378.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3426.32000000 | **1-Year:** 28486.14000000 | **5-Year:** 23243.99000000 | **10-Year:** 23293.38000000 | **30-Year:** 51382.85000000

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

- **3-Month:** 277.05000000 | **1-Year:** 333.83000000 | **5-Year:** 138.11000000 | **10-Year:** 258.09000000 | **30-Year:** 81.89000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104191 | 0.00%                | 0.31%                | 0.39%                |
| Class ID C000024986 | -0.10%               | 0.31%                | 0.45%                |
| Class ID C000024987 | -0.10%               | 0.31%                | 0.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-29065.40               | $-4183017.51                               |
| Month 2  | $-1574007.65             | $4987647.10                                |
| Month 3  | $-2202267.31             | $2612839.24                                |

**Designated Index Information**

- **Index Name:** Ex-Derivatives Securities Portfolio

- **Index Identifier:** AX-G10230

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                                | FNMA, Series 2017-108, Class AF                                                                 | CUSIP: 3136B0SA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949874 | PA      | $922578.61    | 0.11%             | 2048-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4906, Class WF                                                                    | CUSIP: 3137FNWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    951093 | PA      | $943067.30    | 0.12%             | 2038-12-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                            | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                             | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325412 | PA      | $200389.46    | 0.02%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                 | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1                  | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19259 | PA      | $17846.38     | 0.00%             | 2034-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                               | Bank of America Corp.                                                                           | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3744000 | PA      | $3682911.77   | 0.46%             | 2024-05-19      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Northstar Education Finance, Inc.                                   | Northstar Education Finance, Inc., Series 2012-1, Class A                                       | CUSIP: 66705EAA6<br>LEI: 25490059JOHYRUHEXW19 | Long             | ABS-O            | CORP              | US        |    240936 | PA      | $239322.89    | 0.03%             | 2031-12-26      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                               | Dominion Energy, Inc.                                                                           | CUSIP: 2574P1NX6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | STIV             | CORP              | US        |   2400000 | PA      | $2390056.54   | 0.30%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4875, Class F                                                                     | CUSIP: 3137FLA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1246441 | PA      | $1211841.02   | 0.15%             | 2049-04-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 5 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1103 | NC      | $101280.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Nelnet Student Loan Trust                                           | Nelnet Student Loan Trust, Series 2013-5A, Class A                                              | CUSIP: 64033GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    908364 | PA      | $887639.60    | 0.11%             | 2037-01-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                                             | GA Global Funding Trust                                                                         | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388339.44    | 0.05%             | 2024-09-13      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: —       |
| Ford Credit Floorplan Master Owner Trust                            | Ford Credit Floorplan Master Owner Trust, Series 2020-1, Class A1                               | CUSIP: 34528QHK3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6192566.40   | 0.77%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                    | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                    | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1611 | PA      | $1500.65      | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1923 | PA      | $1945.94      | 0.00%             | 2034-01-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                     | Air Lease Corp.                                                                                 | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    800000 | PA      | $799057.20    | 0.10%             | 2023-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                  | General Motors Financial Co., Inc.                                                              | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1491210.00   | 0.18%             | 2023-11-17      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                       | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A1B1                      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446 | PA      | $378.04       | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3850, Class FC                                                                    | CUSIP: 3137A96V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140428 | PA      | $137792.92    | 0.02%             | 2041-04-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 10 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $1163.83      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TD PRIME SVCS                                                       | Other Repurchase Agreement                                                                      | CUSIP: N/A<br>LEI: 549300ZBQI1JB1844X09       | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| PRET LLC                                                            | PRET LLC, Series 2021-NPL6, Class A1                                                            | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2730318 | PA      | $2463247.03   | 0.30%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                             | Hyundai Capital America                                                                         | CUSIP: 44891ABU0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2471997.00   | 0.31%             | 2023-04-03      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR1, Class A                         | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148022 | PA      | $144222.61    | 0.02%             | 2034-03-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                               | GM Financial Automobile Leasing Trust, Series 2022-3, Class A2B                                 | CUSIP: 380130AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5998455.00   | 0.74%             | 2024-10-21      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2019-HY3, Class A1A                                           | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678687 | PA      | $671288.93    | 0.08%             | 2059-10-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                              | Sequoia Mortgage Trust, Series 10, Class 2A1                                                    | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       498 | PA      | $472.32       | 0.00%             | 2027-10-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                           | HCA, Inc.                                                                                       | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2974560.00   | 0.37%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2017-H07, Class FG                                                                 | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4753516 | PA      | $4714303.14   | 0.58%             | 2067-02-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2014-86, Class PA                                                                  | CUSIP: 3136AMHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213411 | PA      | $187230.35    | 0.02%             | 2044-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                                        | Dell Equipment Finance Trust, Series 2021-2, Class A2                                           | CUSIP: 24702VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1832418 | PA      | $1810278.31   | 0.22%             | 2026-12-22      | Fixed         | 0.33%                 | Yes           |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                          | Warnermedia Holdings, Inc.                                                                      | CUSIP: 55903VAU7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    900000 | PA      | $860588.82    | 0.11%             | 2025-03-15      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                                        | New York Life Global Funding                                                                    | CUSIP: 64952WEE9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10642830.00  | 1.32%             | 2026-06-09      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Baxter International, Inc.                                          | Baxter International, Inc.                                                                      | CUSIP: 0718A3NP0<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8074765.83   | 1.00%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2003-8, Class 4A1                                                | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2506 | PA      | $2420.14      | 0.00%             | 2034-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Arkansas Student Loan Authority                                     | Arkansas Student Loan Authority, Series 2010-1, Class A                                         | CUSIP: 041150DJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417350 | PA      | $417761.74    | 0.05%             | 2043-11-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                             | Other Repurchase Agreement                                                                      | CUSIP: N/A<br>LEI: BSGEFEIOM18Y80CKCV46       | Long             | RA               | CORP              | CA        |   1400000 | PA      | $1400000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                              | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 5A                                 | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14644 | PA      | $13649.56     | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1 | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5438 | PA      | $5154.13      | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                        | Pacific Gas and Electric Co.                                                                    | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1782112.50   | 0.22%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| HarborView Mortgage Loan Trust                                      | HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A                                       | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4645 | PA      | $4114.91      | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1                     | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23621 | PA      | $21737.23     | 0.00%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                      | Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 2A1                      | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4283 | PA      | $4079.31      | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                               | Quanta Services, Inc.                                                                           | CUSIP: 74767HN97<br>LEI: SHVRXXEACT60MMH07S24 | Long             | STIV             | CORP              | US        |   1300000 | PA      | $1298224.06   | 0.16%             | 2023-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                     | Citigroup, Inc.                                                                                 | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  14241000 | PA      | $14259795.27  | 1.76%             | 2024-05-17      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2003-W8, Class 3F2                                                                 | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8332 | PA      | $8192.55      | 0.00%             | 2042-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3241, Class FM                                                                    | CUSIP: 31397C6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4867 | PA      | $4773.53      | 0.00%             | 2036-11-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                          | CSMC Trust, Series 2017-CHOP, Class A                                                           | CUSIP: 12651QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7591781.60   | 0.94%             | 2032-07-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31402RNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7016 | PA      | $7066.18      | 0.00%             | 2035-07-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                    | Boeing Co. (The)                                                                                | CUSIP: 097023BQ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    700000 | PA      | $688790.48    | 0.09%             | 2023-06-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                                        | LL ABS Trust, Series 2021-1A, Class A                                                           | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213173 | PA      | $205839.08    | 0.03%             | 2029-05-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                     | Nissan Motor Acceptance Co. LLC                                                                 | CUSIP: 654740BH1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    998000 | PA      | $993759.70    | 0.12%             | 2023-03-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2007-3, Class 1A1                                                | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617815 | PA      | $545207.94    | 0.07%             | 2047-05-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3245, Class NF                                                                    | CUSIP: 31397CNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157782 | PA      | $154685.75    | 0.02%             | 2036-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                        | Marriott International, Inc., Series Z                                                          | CUSIP: 571903BA0<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  12100000 | PA      | $11998006.68  | 1.48%             | 2023-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                              | SLM Student Loan Trust, Series 2005-7, Class A4                                                 | CUSIP: 78442GQJ8<br>LEI: 549300H0EHPP0GTD9V95 | Long             | ABS-O            | CORP              | US        |    587334 | PA      | $585295.13    | 0.07%             | 2029-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2003-3, Class 3A2                                                | CUSIP: 07384MUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8176 | PA      | $7596.76      | 0.00%             | 2033-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                        | Mondelez International, Inc.                                                                    | CUSIP: 60920WN48<br>LEI: 549300DV9GIB88LZ5P30 | Long             | STIV             | CORP              | US        |   1800000 | PA      | $1798861.75   | 0.22%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration                         | United States Small Business Administration, Series 2008-20G, Class 1                           | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324247 | PA      | $324360.20    | 0.04%             | 2028-07-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp. Trust                           | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1                           | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200098 | PA      | $4705069.73   | 0.58%             | 2060-12-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                              | SLM Student Loan Trust, Series 2010-1, Class A                                                  | CUSIP: 78445XAA4<br>LEI: 549300WLW67V4O2Z6P70 | Long             | ABS-O            | CORP              | US        |   1731874 | PA      | $1664140.12   | 0.21%             | 2025-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                           | Consolidated Edison Co. of New York, Inc.                                                       | CUSIP: 20911MNK9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |   2100000 | PA      | $2094576.16   | 0.26%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 2 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -688 | NC      | $-18289.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Humana, Inc.                                                        | Humana, Inc.                                                                                    | CUSIP: 44486JP11<br>LEI: 529900YLDW34GJAO4J06 | Long             | STIV             | CORP              | US        |   3550000 | PA      | $3534711.93   | 0.44%             | 2023-02-01      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2015-H32, Class FA                                                                 | CUSIP: 38376RMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2177241 | PA      | $2139919.53   | 0.26%             | 2065-12-20      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                    | SMB Private Education Loan Trust, Series 2016-C, Class A2A                                      | CUSIP: 78449KAB6<br>LEI: 54930027GONY06ZX8P67 | Long             | ABS-O            | CORP              | US        |   1673404 | PA      | $1595583.08   | 0.20%             | 2034-09-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2015-H04, Class FA                                                                 | CUSIP: 38378U8L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    988336 | PA      | $968357.81    | 0.12%             | 2064-12-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                 | GS Mortgage-Backed Securities Trust, Series 2021-GR2, Class A9                                  | CUSIP: 36262JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188756 | PA      | $1990886.06   | 0.25%             | 2052-02-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                | American Tower Corp.                                                                            | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1978367.40   | 0.24%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                              | Alternative Loan Trust, Series 2005-62, Class 2A1                                               | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23772 | PA      | $19205.07     | 0.00%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                  | Berry Global, Inc.                                                                              | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2275680.00   | 0.28%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| DLLST LLC                                                           | DLLST LLC, Series 2022-1A, Class A1                                                             | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54493 | PA      | $54389.54     | 0.01%             | 2023-05-22      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31409BB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18026 | PA      | $18095.35     | 0.00%             | 2036-03-01      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                        | Pacific Gas and Electric Co.                                                                    | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197692.34    | 0.02%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR15, Class A1A1                     | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8746 | PA      | $7807.92      | 0.00%             | 2045-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                 | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                 | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4665951 | PA      | $4338872.07   | 0.54%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration                         | United States Small Business Administration, Series 2005-20B, Class 1                           | CUSIP: 83162CPH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4028 | PA      | $4025.51      | 0.00%             | 2025-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                      | HarborView Mortgage Loan Trust, Series 2006-1, Class 2A1A                                       | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39605 | PA      | $34274.36     | 0.00%             | 2036-03-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 3130ATVT1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  12400000 | PA      | $12405493.20  | 1.53%             | 2024-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2019-53, Class FA                                                                  | CUSIP: 3136B5K95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2030954 | PA      | $1955527.92   | 0.24%             | 2049-09-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                     | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class ASBF                                    | CUSIP: 92939FBE8<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    436596 | PA      | $436937.17    | 0.05%             | 2047-08-15      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                          | BAMLL Commercial Mortgage Securities Trust, Series 2019-AHT, Class A                            | CUSIP: 05525DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1247929.02   | 0.15%             | 2034-03-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                        | Fiserv, Inc.                                                                                    | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | STIV             | CORP              | US        |   3900000 | PA      | $3895013.42   | 0.48%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4615, Class AF                                                                    | CUSIP: 3137BRYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549659 | PA      | $534494.27    | 0.07%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                          | GCAT Trust, Series 2021-NQM3, Class A1                                                          | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469759 | PA      | $1171010.88   | 0.14%             | 2066-05-25      | Variable      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                    | Boeing Co. (The)                                                                                | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4600000 | PA      | $4399896.32   | 0.54%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                              | Alternative Loan Trust, Series 2005-61, Class 2A1                                               | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5479 | PA      | $4779.18      | 0.00%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                          | Constellation Brands, Inc.                                                                      | CUSIP: 21037DNH3<br>LEI: 5493005GKEG8QCVY7037 | Long             | STIV             | CORP              | US        |   1300000 | PA      | $1296790.95   | 0.16%             | 2023-01-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                                           | MFA Trust, Series 2020-NQM2, Class A1                                                           | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094467 | PA      | $982166.06    | 0.12%             | 2065-04-25      | Variable      | 1.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147141 | PA      | $149496.65    | 0.02%             | 2036-07-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust                                | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A                                   | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $5115675.04   | 0.63%             | 2033-05-25      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Daimler Trucks Finance North America LLC                            | Daimler Trucks Finance North America LLC                                                        | CUSIP: 233853AB6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1921215.40   | 0.24%             | 2023-12-14      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| LMREC LLC                                                           | LMREC LLC, Series 2021-CRE4, Class A                                                            | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4752180 | PA      | $4611889.69   | 0.57%             | 2037-04-22      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                      | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                                       | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $975669.60    | 0.12%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                               | Dominion Energy, Inc., Series D                                                                 | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4493269.35   | 0.56%             | 2023-09-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                  | Energy Transfer LP                                                                              | CUSIP: 29277FN56<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3996759.32   | 0.49%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                   | Time Warner Cable Enterprises LLC                                                               | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1111986.92   | 0.14%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 3128JPHS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6833 | PA      | $6814.12      | 0.00%             | 2035-11-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2020-17, Class EU                                                                  | CUSIP: 38382CP47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240873 | PA      | $210182.58    | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                      | Enterprise Fleet Financing LLC, Series 2019-3, Class A2                                         | CUSIP: 29374WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55182 | PA      | $55086.42     | 0.01%             | 2025-05-20      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                 | BWAY Mortgage Trust, Series 2021-1450, Class A                                                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2379211.25   | 0.29%             | 2036-09-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                               | Dominion Energy, Inc.                                                                           | CUSIP: 2574P1P14<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | STIV             | CORP              | US        |   1200000 | PA      | $1194867.40   | 0.15%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration                         | United States Small Business Administration, Series 2004-20C, Class 1                           | CUSIP: 83162CNQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1580 | PA      | $1522.11      | 0.00%             | 2024-03-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2013-H13, Class FT                                                                 | CUSIP: 38375B2L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625628 | PA      | $623457.75    | 0.08%             | 2063-05-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2021-H09, Class FG                                                                 | CUSIP: 38380Q4V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1289818 | PA      | $1318960.10   | 0.16%             | 2071-06-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                        | MASTR Alternative Loan Trust, Series 2003-5, Class 6A1                                          | CUSIP: 576434FH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162971 | PA      | $154674.92    | 0.02%             | 2033-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2017-H12, Class FE                                                                 | CUSIP: 38376R2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22864 | PA      | $22775.43     | 0.00%             | 2066-06-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 330, Class F4                                                                     | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2112158 | PA      | $2075048.02   | 0.26%             | 2037-10-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                        | Oracle Corp.                                                                                    | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $996409.00    | 0.12%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                 | American Home Mortgage Assets Trust, Series 2006-1, Class 2A1                                   | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343752 | PA      | $1085064.91   | 0.13%             | 2046-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                   | BAT Capital Corp.                                                                               | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11488839.60  | 1.42%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                 | Citigroup Commercial Mortgage Trust, Series 2016-C2, Class AAB                                  | CUSIP: 17291CBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651497 | PA      | $1582879.63   | 0.20%             | 2049-08-10      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                                       | Mill City Mortgage Loan Trust, Series 2017-2, Class A1                                          | CUSIP: 59980AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176739 | PA      | $173897.31    | 0.02%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2021-122, Class FA                                                                 | CUSIP: 38382WCY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12401250 | PA      | $10633272.08  | 1.31%             | 2051-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3222, Class FN                                                                    | CUSIP: 31397ASY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8470 | PA      | $8316.64      | 0.00%             | 2036-09-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2016-11, Class AF                                                                  | CUSIP: 3136ARPW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1764701 | PA      | $1711071.26   | 0.21%             | 2046-03-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                    | IndyMac INDX Mortgage Loan Trust, Series 2004-AR11, Class 2A                                    | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20899 | PA      | $19679.80     | 0.00%             | 2034-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 313384BZ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |  30700000 | PA      | $30535414.23  | 3.78%             | 2023-02-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                        | Pacific Gas and Electric Co.                                                                    | CUSIP: 694308HG5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $391689.92    | 0.05%             | 2024-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A                 | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530228 | PA      | $521317.14    | 0.06%             | 2031-12-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                   | Duke Energy Corp.                                                                               | CUSIP: 26244JNH8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |    250000 | PA      | $249420.38    | 0.03%             | 2023-01-17      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2018-3, Class A1                                              | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079205 | PA      | $1021246.20   | 0.13%             | 2058-05-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Ameriprise Financial, Inc.                                          | Ameriprise Financial, Inc.                                                                      | CUSIP: 03076CAF3<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1487772.30   | 0.18%             | 2023-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                          | AT&T, Inc.                                                                                      | CUSIP: 00206RFY3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4400000 | PA      | $4403217.72   | 0.54%             | 2023-02-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Komatsu Finance America, Inc.                                       | Komatsu Finance America, Inc.                                                                   | CUSIP: N/A<br>LEI: 549300SRAAFEEQ8Z4D68       | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2904395.70   | 0.36%             | 2023-09-09      | Fixed         | 0.85%                 | Yes           |                  2 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 3130ALGJ7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  17550000 | PA      | $15650321.31  | 1.93%             | 2026-03-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                      | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1                       | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22222 | PA      | $19512.07     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2015-64, Class KF                                                                  | CUSIP: 3136AP3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2432061 | PA      | $2373537.78   | 0.29%             | 2045-09-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                     | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class ASB                                      | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031567 | PA      | $2911128.44   | 0.36%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                  | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class ASB                  | CUSIP: 61767CAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4067495 | PA      | $3920017.37   | 0.48%             | 2050-05-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2019-41, Class FD                                                                  | CUSIP: 3136B5TY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872736 | PA      | $845767.94    | 0.10%             | 2059-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                | Conagra Brands, Inc.                                                                            | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2911769.70   | 0.36%             | 2023-08-11      | Fixed         | 0.50%                 | No            |                  2 | On Loan: —       |
| FHLMC                                                               | FHLMC Structured Pass-Through Certificates, Series T-62, Class 1A1                              | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116915 | PA      | $116348.11    | 0.01%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                      | Morgan Stanley                                                                                  | CUSIP: 61744YAG3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2803890.32   | 0.35%             | 2024-05-08      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                      | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                      | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9513 | PA      | $8852.09      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                          | Warnermedia Holdings, Inc.                                                                      | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    800000 | PA      | $777439.04    | 0.10%             | 2024-03-15      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                 | Starwood Mortgage Residential Trust, Series 2020-3, Class A1                                    | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430760 | PA      | $394338.50    | 0.05%             | 2065-04-25      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2012-H08, Class FC                                                                 | CUSIP: 38375BQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763667 | PA      | $758501.79    | 0.09%             | 2062-04-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 2142, Class Z                                                                     | CUSIP: 3133TKDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1183 | PA      | $1191.53      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                            | U.S. Treasury Notes                                                                             | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9600000 | PA      | $9417980.16   | 1.16%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2020-63, Class PF                                                                  | CUSIP: 38382FGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5386017 | PA      | $5209440.87   | 0.64%             | 2050-04-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                | Ally Financial, Inc.                                                                            | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1388424.94   | 0.17%             | 2023-06-05      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2019-HY2, Class A1                                            | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645158 | PA      | $639100.83    | 0.08%             | 2058-05-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                        | Pacific Gas and Electric Co.                                                                    | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    800000 | PA      | $768808.16    | 0.10%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2004-10, Class 15A1                                              | CUSIP: 07384M4G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11777 | PA      | $11087.78     | 0.00%             | 2035-01-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57739 | PA      | $59029.43     | 0.01%             | 2034-11-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX Corp.                                                     | TD SYNNEX Corp.                                                                                 | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |   3700000 | PA      | $3436180.01   | 0.42%             | 2024-08-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3898, Class TF                                                                    | CUSIP: 3137ADYR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11692 | PA      | $11492.12     | 0.00%             | 2039-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR1, Class A5                        | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92515 | PA      | $86627.07     | 0.01%             | 2033-03-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                           | Consolidated Edison Co. of New York, Inc.                                                       | CUSIP: 20911MNJ2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |   2000000 | PA      | $1995099.06   | 0.25%             | 2023-01-18      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4678, Class AF                                                                    | CUSIP: 3137BWWX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2187991 | PA      | $2170525.64   | 0.27%             | 2042-12-15      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2002-AR17, Class 1A                       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1207 | PA      | $1089.89      | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                              | SLM Student Loan Trust, Series 2012-3, Class A                                                  | CUSIP: 78447AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4679654 | PA      | $4461162.50   | 0.55%             | 2038-12-27      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                | FirstKey Homes Trust, Series 2020-SFR2, Class A                                                 | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5241073 | PA      | $4660793.85   | 0.58%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                 | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1                                 | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3943499 | PA      | $3597355.61   | 0.44%             | 2059-11-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                               | Arroyo Mortgage Trust, Series 2021-1R, Class A1                                                 | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707440 | PA      | $556376.54    | 0.07%             | 2048-10-25      | Variable      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                              | Dell International LLC                                                                          | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3206000 | PA      | $3204812.50   | 0.40%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 2411, Class FJ                                                                    | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $295.50       | 0.00%             | 2029-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 343, Class F4                                                                     | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607473 | PA      | $600103.25    | 0.07%             | 2037-10-15      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                     | CHL Mortgage Pass-Through Trust, Series 2005-3, Class 1A2                                       | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43021 | PA      | $36941.76     | 0.00%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4948, Class E                                                                     | CUSIP: 3137FQZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466037 | PA      | $415652.52    | 0.05%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                      | BCAP LLC Trust, Series 2006-AA2, Class A1                                                       | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139866 | PA      | $117463.51    | 0.01%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2003-8, Class 2A1                                                | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577 | PA      | $540.48       | 0.00%             | 2034-01-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                  | BMW US Capital LLC                                                                              | CUSIP: 05565EBV6<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2969602.50   | 0.37%             | 2024-08-12      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                          | RALI Trust, Series 2005-QO1, Class A1                                                           | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8150 | PA      | $6115.23      | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE INSURANCE COMPANY                                 | Treasury Repurchase Agreement                                                                   | CUSIP: N/A<br>LEI: 549300H7EXFMRS487544       | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.                        | Fidelity National Information Services, Inc.                                                    | CUSIP: 31620MBP0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1985099.60   | 0.25%             | 2023-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: —       |
| Navient Private Education Refi Loan Trust                           | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A                              | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1304635 | PA      | $1175042.37   | 0.15%             | 2069-05-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                      | Walgreens Boots Alliance, Inc.                                                                  | CUSIP: 93142XNJ6<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |    250000 | PA      | $249378.15    | 0.03%             | 2023-01-18      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                     | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   6685000 | PA      | $6607248.77   | 0.82%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                              | Alternative Loan Trust, Series 2006-OA22, Class A1                                              | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108527 | PA      | $91875.37     | 0.01%             | 2047-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration                         | United States Small Business Administration, Series 2003-20I, Class 1                           | CUSIP: 83162CNF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       112 | PA      | $111.81       | 0.00%             | 2023-09-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                        | Oracle Corp.                                                                                    | CUSIP: 68389XBR5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6982686.20   | 0.86%             | 2023-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 3 Month SOFR                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -308 | NC      | $172846.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2019-60, Class WF                                                                  | CUSIP: 3136B6VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114865 | PA      | $1113001.63   | 0.14%             | 2059-10-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Edsouth Indenture No. 3 LLC                                         | Edsouth Indenture No. 3 LLC, Series 2012-2, Class A                                             | CUSIP: 28137QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270023 | PA      | $269389.73    | 0.03%             | 2039-04-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR15, Class 2A                       | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9574 | PA      | $8219.95      | 0.00%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                      | Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1                      | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277070 | PA      | $208050.95    | 0.03%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                      | Southern California Edison Co.                                                                  | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9973653.00   | 1.23%             | 2023-04-03      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                 | New Residential Mortgage Loan Trust, Series 2021-NQ2R, Class A1                                 | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1497990 | PA      | $1296250.28   | 0.16%             | 2058-10-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                              | Sequoia Mortgage Trust, Series 2003-4, Class 2A1                                                | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296801 | PA      | $269036.26    | 0.03%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 3130ALED2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  30000000 | PA      | $26151930.00  | 3.23%             | 2027-02-24      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                      | 7-Eleven, Inc.                                                                                  | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3980760.00   | 0.49%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: —       |
| MASTR Adjustable Rate Mortgages Trust                               | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8567 | PA      | $7685.52      | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2019-90, Class F                                                                   | CUSIP: 38381XFA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1511757 | PA      | $1461115.32   | 0.18%             | 2049-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                               | Quanta Services, Inc.                                                                           | CUSIP: 74767HNB2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | STIV             | CORP              | US        |   1300000 | PA      | $1297863.23   | 0.16%             | 2023-01-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2018-H18, Class FC                                                                 | CUSIP: 38380LMV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2211643 | PA      | $2194838.29   | 0.27%             | 2065-08-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 3 Month SOFR                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       810 | NC      | $-26780.33    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2005-12, Class 2A1                                        | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80642 | PA      | $77175.40     | 0.01%             | 2035-08-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                            | U.S. Treasury Bills                                                                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1900000 | PA      | $1886941.87   | 0.23%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                | Charter Communications Operating LLC                                                            | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10066000 | PA      | $10100727.70  | 1.25%             | 2024-02-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                              | SLM Student Loan Trust, Series 2004-10, Class A7B                                               | CUSIP: 78442GNK8<br>LEI: 54930060UIG70QCSNY68 | Long             | ABS-O            | CORP              | US        |    919314 | PA      | $915092.76    | 0.11%             | 2029-10-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                     | Nissan Motor Acceptance Co. LLC                                                                 | CUSIP: 654740BQ1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   2919000 | PA      | $2735201.37   | 0.34%             | 2024-03-08      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: —       |
| Structured Adjustable Rate Mortgage Loan Trust                      | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1                       | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23592 | PA      | $20006.92     | 0.00%             | 2035-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                 | Citibank Credit Card Issuance Trust, Series 2017-A5, Class A5                                   | CUSIP: 17305EGD1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2998026.60   | 0.37%             | 2026-04-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                           | Nelnet Student Loan Trust, Series 2016-1A, Class A                                              | CUSIP: 64033UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4196726 | PA      | $4175389.40   | 0.52%             | 2065-09-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Harley-Davidson Financial Services, Inc.                            | Harley-Davidson Financial Services, Inc.                                                        | CUSIP: 41283LAS4<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1386779.37   | 0.17%             | 2023-02-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31406BEX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2200 | PA      | $2186.46      | 0.00%             | 2035-01-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| American Tower Trust #1                                             | American Tower Trust #1                                                                         | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2982470.10   | 0.37%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| RELX Capital, Inc.                                                  | RELX Capital, Inc.                                                                              | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3492275.50   | 0.43%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury Ultra Bond                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -13 | NC      | $180.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 313384BC2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   2100000 | PA      | $2094197.91   | 0.26%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                      | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2                       | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21470 | PA      | $19841.31     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                       | Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1                                       | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8779 | PA      | $8261.84      | 0.00%             | 2035-06-25      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 5115, Class EM                                                                    | CUSIP: 3137H0W53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6269804 | PA      | $5307188.16   | 0.66%             | 2044-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                            | PRET LLC, Series 2021-NPL3, Class A1                                                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6055479 | PA      | $5299768.71   | 0.66%             | 2051-07-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                   | Duke Energy Corp.                                                                               | CUSIP: 26244JNB1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |   4500000 | PA      | $4493110.50   | 0.56%             | 2023-01-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLB                                                                | FHLB                                                                                            | CUSIP: 3130AMNR9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   6000000 | PA      | $5562560.40   | 0.69%             | 2024-11-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2005-11, Class A1A                                        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1072 | PA      | $989.56       | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4367, Class GF                                                                    | CUSIP: 3137BCL48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1475916 | PA      | $1423461.84   | 0.18%             | 2037-03-15      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2007-84, Class FN                                                                  | CUSIP: 31396XLZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128786 | PA      | $126902.10    | 0.02%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                              | Sequoia Mortgage Trust, Series 2005-2, Class A2                                                 | CUSIP: 81744FGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238764 | PA      | $214302.20    | 0.03%             | 2035-03-20      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                   | Duke Energy Corp.                                                                               | CUSIP: 26244JN96<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |   1500000 | PA      | $1498093.34   | 0.19%             | 2023-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                                        | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33134 | PA      | $30496.80     | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                            | U.S. Treasury Bills                                                                             | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   6800000 | PA      | $6730390.44   | 0.83%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1                              | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149774 | PA      | $150277.77    | 0.02%             | 2045-02-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Hitachi America Capital Ltd.                                        | Hitachi America Capital Ltd.                                                                    | CUSIP: 4335P3N40<br>LEI: 549300FT5PAYBG3RQJ06 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8094832.85   | 1.00%             | 2023-01-04      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                                         | Extended Stay America Trust, Series 2021-ESH, Class A                                           | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6833346 | PA      | $6637771.11   | 0.82%             | 2038-07-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4774, Class BF                                                                    | CUSIP: 3137F4UZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1954633 | PA      | $1875466.64   | 0.23%             | 2048-02-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| DBCG Mortgage Trust                                                 | DBCG Mortgage Trust, Series 2017-BBG, Class A                                                   | CUSIP: 233062AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4906261.50   | 0.61%             | 2034-06-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2002-AR2, Class A                         | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       640 | PA      | $592.27       | 0.00%             | 2034-02-27      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64828 | PA      | $64321.32     | 0.01%             | 2044-03-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                           | Consolidated Edison Co. of New York, Inc.                                                       | CUSIP: 20911MNH6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |   1900000 | PA      | $1895594.85   | 0.23%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52482 | PA      | $52275.03     | 0.01%             | 2036-09-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4779, Class WF                                                                    | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2391009 | PA      | $2355864.85   | 0.29%             | 2044-07-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                               | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB                               | CUSIP: 94989KAW3<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    427642 | PA      | $416304.42    | 0.05%             | 2048-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                | JPMorgan Chase & Co.                                                                            | CUSIP: 46647PAQ9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1998965.00   | 0.25%             | 2024-04-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: —       |
| Starwood Mortgage Residential Trust                                 | Starwood Mortgage Residential Trust, Series 2021-2, Class A1                                    | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3484006 | PA      | $3217173.61   | 0.40%             | 2065-05-25      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2016-97, Class CF                                                                  | CUSIP: 3136AUPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1111995 | PA      | $1077785.94   | 0.13%             | 2056-12-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                  | Atmos Energy Corp.                                                                              | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7494210.00   | 0.93%             | 2023-03-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 3A                        | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55320 | PA      | $44743.31     | 0.01%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                  | General Motors Financial Co., Inc.                                                              | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2208000 | PA      | $2197773.21   | 0.27%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| McCormick & Co., Inc.                                               | McCormick & Co., Inc.                                                                           | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8070402.60   | 1.00%             | 2023-01-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 3128JRN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65722 | PA      | $65730.23     | 0.01%             | 2036-10-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2016-H14, Class FA                                                                 | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1920473 | PA      | $1901255.00   | 0.24%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2005-38, Class F                                                                   | CUSIP: 31394DSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13286 | PA      | $13054.78     | 0.00%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR2, Class 7A1                 | CUSIP: 251510GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3923 | PA      | $3880.77      | 0.00%             | 2035-10-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                  | Berry Global, Inc.                                                                              | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |  10981000 | PA      | $10486855.00  | 1.30%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3927, Class FH                                                                    | CUSIP: 3137AFEP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144752 | PA      | $141462.97    | 0.02%             | 2041-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 3807, Class FM                                                                    | CUSIP: 3137A6NJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173471 | PA      | $170836.95    | 0.02%             | 2041-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                      | 7-Eleven, Inc.                                                                                  | CUSIP: N/A<br>LEI: 549300K23JPL0SS3LB18       | Long             | DBT              | CORP              | US        |    573000 | PA      | $545102.01    | 0.07%             | 2024-02-10      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                         | Legacy Mortgage Asset Trust, Series 2021-SL2, Class A                                           | CUSIP: 52476TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874345 | PA      | $785219.73    | 0.10%             | 2068-10-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                             | Hyundai Capital America                                                                         | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498553.00    | 0.06%             | 2023-02-10      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                           | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A                              | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1047120 | PA      | $901849.20    | 0.11%             | 2069-09-16      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2020-22, Class FA                                                                  | CUSIP: 3136B9HC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3831789 | PA      | $3700882.64   | 0.46%             | 2050-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                         | Penske Truck Leasing Co. LP                                                                     | CUSIP: 70962BNB6<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8087318.07   | 1.00%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                  | CenterPoint Energy Resources Corp.                                                              | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   1722000 | PA      | $1721030.86   | 0.21%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2006-118, Class A2                                                                 | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49594 | PA      | $48683.86     | 0.01%             | 2036-12-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4697 | PA      | $4659.94      | 0.00%             | 2044-10-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Enbridge US, Inc.                                                   | Enbridge US, Inc.                                                                               | CUSIP: 29251VN93<br>LEI: 5493003FRODSVHJWFS32 | Long             | STIV             | CORP              | US        |   8100000 | PA      | $8089283.21   | 1.00%             | 2023-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                                             | GA Global Funding Trust                                                                         | CUSIP: 36143L2B0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9379711.00   | 1.16%             | 2024-04-08      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2006-5, Class 3A2                                                                  | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22890 | PA      | $22724.68     | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                          | Warnermedia Holdings, Inc.                                                                      | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1297185.89   | 0.16%             | 2024-03-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| PHEAA Student Loan Trust                                            | PHEAA Student Loan Trust, Series 2016-2A, Class A                                               | CUSIP: 69343VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465611 | PA      | $1429092.54   | 0.18%             | 2065-11-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                                       | DREYFUS TREASURY OBLIGATIONS CASH MANAGEMENT FUND OPEN-END FUND USD                             | CUSIP: 261908107<br>LEI: 54930067A504FBYASH16 | Long             | STIV             | RF                | US        |   1000000 | PA      | $1000000.00   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T, Inc.                                                          | AT&T, Inc.                                                                                      | CUSIP: 0020A3N30<br>LEI: 549300Z40J86GGSTL398 | Long             | STIV             | CORP              | US        |    600000 | PA      | $599697.07    | 0.07%             | 2023-01-03      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                               | Targa Resources Corp.                                                                           | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3993290.88   | 0.49%             | 2023-01-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust                      | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class A2                         | CUSIP: 35105UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145974 | PA      | $145608.50    | 0.02%             | 2025-04-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                       | Citigroup Mortgage Loan Trust, Series 2007-AMC2, Class A3A                                      | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32438 | PA      | $21794.41     | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Daimler Trucks Finance North America LLC                            | Daimler Trucks Finance North America LLC                                                        | CUSIP: 233853AC4<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3470041.40   | 0.43%             | 2023-12-14      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                    | SMB Private Education Loan Trust, Series 2020-PTA, Class A2A                                    | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300267 | PA      | $1148466.85   | 0.14%             | 2054-09-15      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2012-H12, Class FB                                                                 | CUSIP: 38375BRY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    949307 | PA      | $949770.89    | 0.12%             | 2062-02-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2004-10, Class 21A1                                              | CUSIP: 07384M4H2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193430 | PA      | $174639.46    | 0.02%             | 2035-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                              | GSAA Home Equity Trust, Series 2007-6, Class A4                                                 | CUSIP: 36245RAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81477 | PA      | $53954.17     | 0.01%             | 2047-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                       | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR3, Class A1A                       | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12649 | PA      | $11072.26     | 0.00%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                                          | CNH Industrial Capital LLC                                                                      | CUSIP: 18977HPM9<br>LEI: 549300PNSJ5B81UMVO28 | Long             | STIV             | CORP              | US        |   1850000 | PA      | $1836251.21   | 0.23%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                | JPMorgan Chase & Co.                                                                            | CUSIP: 46647PAW6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1500963.90   | 0.19%             | 2024-07-23      | Floating      | 5.21%                 | No            |                  2 | On Loan: —       |
| Structured Adjustable Rate Mortgage Loan Trust                      | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A2                        | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10739 | PA      | $10049.93     | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2020-2, Class A1A                                             | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6942747 | PA      | $6113236.19   | 0.76%             | 2060-04-25      | Variable      | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                           | Nelnet Student Loan Trust, Series 2019-2A, Class A                                              | CUSIP: 64034NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    835662 | PA      | $834344.19    | 0.10%             | 2067-06-27      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4913, Class FC                                                                    | CUSIP: 3137FNJC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1688416 | PA      | $1677820.90   | 0.21%             | 2044-06-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                     | Citigroup, Inc.                                                                                 | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2999104.20   | 0.37%             | 2024-06-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AMHERST PIERPONT                                                    | Treasury Repurchase Agreement                                                                   | CUSIP: N/A<br>LEI: 549300LGG2RLWD21SU97       | Long             | RA               | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                     | CHL Mortgage Pass-Through Trust, Series 2005-25, Class A11                                      | CUSIP: 126694HQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54526 | PA      | $28296.70     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                              | Tesla Auto Lease Trust, Series 2021-B, Class A2                                                 | CUSIP: 88161KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2143405 | PA      | $2093688.29   | 0.26%             | 2025-09-22      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration                         | United States Small Business Administration, Series 2008-20H, Class 1                           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331372 | PA      | $333096.46    | 0.04%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                               | Quanta Services, Inc.                                                                           | CUSIP: 74767HND8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | STIV             | CORP              | US        |   1400000 | PA      | $1397308.81   | 0.17%             | 2023-01-13      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2016-H20, Class PT                                                                 | CUSIP: 38376RYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2099961 | PA      | $2144020.49   | 0.27%             | 2066-09-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2014-42, Class FA                                                                  | CUSIP: 3136AKPQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592508 | PA      | $573537.20    | 0.07%             | 2044-07-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | U.S. Treasury 10 Year Ultra Note                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -58 | NC      | $9436.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                           | First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1                           | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20922 | PA      | $14331.53     | 0.00%             | 2035-08-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                           | Consolidated Edison Co. of New York, Inc.                                                       | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |   2100000 | PA      | $2094297.62   | 0.26%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                           | Navient Private Education Refi Loan Trust, Series 2020-IA, Class A1B                            | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3561310 | PA      | $3464508.94   | 0.43%             | 2069-04-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                 | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2                                    | CUSIP: 17307GXQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6262 | PA      | $5987.30      | 0.00%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                 | Newell Brands, Inc.                                                                             | CUSIP: 65120NNC7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $998228.03    | 0.12%             | 2023-01-12      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                                        | Fiserv, Inc.                                                                                    | CUSIP: 33774LNH7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4190260.20   | 0.52%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                 | Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A1                                    | CUSIP: 17307GXP8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      2418 | PA      | $2354.47      | 0.00%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2007-109, Class GF                                                                 | CUSIP: 31396X2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375897 | PA      | $372121.60    | 0.05%             | 2037-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding                                | Jackson National Life Global Funding                                                            | CUSIP: 46849CJL6<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3100616.19   | 0.38%             | 2024-06-28      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-P1A, Class A                  | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233 | PA      | $211.41       | 0.00%             | 2032-03-25      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                      | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-19, Class 2A1                       | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8299 | PA      | $6849.04      | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority                       | Massachusetts Educational Financing Authority, Series 2008-1, Class A1                          | CUSIP: 57563NAA6<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |     68244 | PA      | $66946.28     | 0.01%             | 2038-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                  | Crown Castle, Inc.                                                                              | CUSIP: 22823QN98<br>LEI: 54930012H97VSM0I2R19 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8987792.49   | 1.11%             | 2023-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                                           | Corebridge Global Funding                                                                       | CUSIP: 00138CAM0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2151130.74   | 0.27%             | 2023-07-07      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: —       |
| General Motors Financial Co., Inc.                                  | General Motors Financial Co., Inc.                                                              | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6675787.80   | 0.83%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                        | Verizon Communications, Inc.                                                                    | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2902000 | PA      | $2919110.77   | 0.36%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: —       |
| Pretium Mortgage Credit Partners LLC                                | Pretium Mortgage Credit Partners LLC, Series 2021-RN1, Class A1                                 | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1264233 | PA      | $1138257.51   | 0.14%             | 2061-02-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                | Navient Private Education Loan Trust, Series 2015-AA, Class A2A                                 | CUSIP: 63939EAB9<br>LEI: 549300YZ4ZMNDBNO4U12 | Long             | ABS-O            | CORP              | US        |     72550 | PA      | $71723.46     | 0.01%             | 2028-12-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| LCCM Trust                                                          | LCCM Trust, Series 2021-FL2, Class A                                                            | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12000000 | PA      | $11713491.60  | 1.45%             | 2038-12-13      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                          | AT&T, Inc.                                                                                      | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1811193.48   | 0.22%             | 2024-06-12      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2016-84, Class DF                                                                  | CUSIP: 3136AUKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515711 | PA      | $501016.70    | 0.06%             | 2046-11-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Cantor Fitzgerald LP                                                | Cantor Fitzgerald LP                                                                            | CUSIP: 138616AE7<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |   4726000 | PA      | $4638965.04   | 0.57%             | 2024-05-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                   | Wells Fargo & Co.                                                                               | CUSIP: 95000U2Y8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1991842.80   | 0.25%             | 2026-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2021-SJ2, Class A1A                                           | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778734 | PA      | $712648.20    | 0.09%             | 2061-12-25      | Variable      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA, Series 2010-74, Class AF                                                                  | CUSIP: 31398RV36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120418 | PA      | $119042.47    | 0.01%             | 2037-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                              | Santander Drive Auto Receivables Trust, Series 2022-2, Class A2                                 | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251400 | PA      | $1247806.46   | 0.15%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2019-54, Class KF                                                                  | CUSIP: 38381R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1583215 | PA      | $1507509.46   | 0.19%             | 2044-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Life Global Funding II                                      | Pacific Life Global Funding II                                                                  | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12455310.40  | 1.54%             | 2026-06-04      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. (The)                                                  | Southern Co. (The), Series 21-A                                                                 | CUSIP: 842587DG9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7575293.60   | 0.94%             | 2024-02-26      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                          | JP Morgan Mortgage Trust, Series 2021-12, Class A11                                             | CUSIP: 46592WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    847544 | PA      | $770815.57    | 0.10%             | 2052-02-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| BCP Trust                                                           | BCP Trust, Series 2021-330N, Class A                                                            | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6631149.70   | 0.82%             | 2038-06-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31408DXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14548 | PA      | $14553.64     | 0.00%             | 2035-12-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2012-H12, Class FA                                                                 | CUSIP: 38375BRW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    925068 | PA      | $918812.21    | 0.11%             | 2062-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                      | DTE Energy Co.                                                                                  | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   8300000 | PA      | $8147529.00   | 1.01%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                             | Bayer US Finance II LLC                                                                         | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3290298.00   | 0.41%             | 2023-12-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                     | CHL Mortgage Pass-Through Trust, Series 2004-12, Class 11A1                                     | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6359 | PA      | $6300.28      | 0.00%             | 2034-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       593 | PA      | $588.70       | 0.00%             | 2044-07-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| LUXE Trust                                                          | LUXE Trust, Series 2021-TRIP, Class A                                                           | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730499 | PA      | $1654856.57   | 0.20%             | 2038-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A                                     | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2911186.20   | 0.36%             | 2025-08-15      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                    | Boeing Co. (The)                                                                                | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9900000 | PA      | $9885852.90   | 1.22%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                             | Republic Services, Inc.                                                                         | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | STIV             | CORP              | US        |   6900000 | PA      | $6888548.28   | 0.85%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                              | SLM Student Loan Trust, Series 2008-9, Class A                                                  | CUSIP: 78445JAA5<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-O            | CORP              | US        |   1315836 | PA      | $1294335.62   | 0.16%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                | Ready Capital Mortgage Financing LLC, Series 2021-FL6, Class A                                  | CUSIP: 75575TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2674972 | PA      | $2524917.92   | 0.31%             | 2036-07-25      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                           | Navient Private Education Refi Loan Trust, Series 2021-FA, Class A                              | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9478523 | PA      | $8009084.49   | 0.99%             | 2070-02-18      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                   | GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1                                   | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9756 | PA      | $8775.43      | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                | FNMA                                                                                            | CUSIP: 31409A5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9991 | PA      | $9916.15      | 0.00%             | 2036-03-01      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                         | AREIT Trust, Series 2019-CRE3, Class A                                                          | CUSIP: 00217LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93902 | PA      | $92224.17     | 0.01%             | 2036-09-14      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Beast Mortgage Trust                                                | Beast Mortgage Trust, Series 2021-1818, Class A                                                 | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2384569.25   | 0.29%             | 2036-03-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                              | Alternative Loan Trust, Series 2007-OA7, Class A1A                                              | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |     24685 | PA      | $20662.01     | 0.00%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                      | 7-Eleven, Inc.                                                                                  | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1902624.80   | 0.24%             | 2024-02-10      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                              | GSK Consumer Healthcare Capital US LLC                                                          | CUSIP: 36264FAH4<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1163947.20   | 0.14%             | 2024-03-24      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                          | Navient Student Loan Trust, Series 2017-5A, Class A                                             | CUSIP: 63940CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2401178 | PA      | $2327536.68   | 0.29%             | 2066-07-26      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK SECURITIES INC.                                       | Treasury Repurchase Agreement                                                                   | CUSIP: N/A<br>LEI: 9J6MBOOO7BECTDTUZW19       | Long             | RA               | CORP              | US        |   2200198 | PA      | $2200197.50   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                             | Carmax Auto Owner Trust, Series 2022-4, Class A2B                                               | CUSIP: 14318UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4012391.20   | 0.50%             | 2025-12-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BA Credit Card Trust                                                | BA Credit Card Trust, Series 2022-A2, Class A2                                                  | CUSIP: 05522RDF2<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2830953.16   | 0.35%             | 2028-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC Structured Pass-Through Certificates, Series T-57, Class 1A1                              | CUSIP: 31394JD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2212 | PA      | $2295.93      | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                               | NextEra Energy Capital Holdings, Inc.                                                           | CUSIP: 65339KCE8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5068485.57   | 0.63%             | 2024-03-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: —       |
| CSMC Trust                                                          | CSMC Trust, Series 2019-RP10, Class A1                                                          | CUSIP: 12597FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705054 | PA      | $695917.59    | 0.09%             | 2059-12-26      | Variable      | 2.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                | GNMA, Series 2016-H17, Class FK                                                                 | CUSIP: 38376RXQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457758 | PA      | $453236.41    | 0.06%             | 2066-07-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                          | MMAF Equipment Finance LLC, Series 2022-B, Class A1                                             | CUSIP: 606940AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690277 | PA      | $1690323.82   | 0.21%             | 2023-12-01      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                           | Nelnet Student Loan Trust, Series 2005-3, Class A5                                              | CUSIP: 64031QCD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1786667 | PA      | $1724786.63   | 0.21%             | 2035-12-24      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                   | American Electric Power Co., Inc., Series A                                                     | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   8300000 | PA      | $8244401.62   | 1.02%             | 2023-11-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                           | Towd Point Mortgage Trust, Series 2020-1, Class A1                                              | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243099 | PA      | $2057677.82   | 0.25%             | 2060-01-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                  | Hyatt Hotels Corp.                                                                              | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   3300000 | PA      | $3206381.31   | 0.40%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                               | FHLMC, Series 4283, Class JF                                                                    | CUSIP: 3137B6GT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1414783 | PA      | $1380355.90   | 0.17%             | 2043-12-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                             | Hyundai Capital America                                                                         | CUSIP: 44891ABM8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4167346.72   | 0.52%             | 2023-09-18      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: —       |
| FHLMC                                                               | FHLMC                                                                                           | CUSIP: 3134GYAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $9998850.00   | 1.24%             | 2024-12-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                              | Bear Stearns ARM Trust, Series 2002-11, Class 1A2                                               | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       584 | PA      | $456.78       | 0.00%             | 2033-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                             | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                             | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8216 | PA      | $7678.83      | 0.00%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                        | Leidos, Inc.                                                                                    | CUSIP: 52532XAB1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2975684.10   | 0.37%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance, Inc.                                      | Walgreens Boots Alliance, Inc.                                                                  | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |   8000000 | PA      | $7987584.00   | 0.99%             | 2023-01-11      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                     | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GXN9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1729270.98   | 0.21%             | 2026-12-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: —       |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer