# EDGAR Filing Document

**Accession Number:** 0000930709
**File Stem:** 0001752724-23-035880
**Filing Date:** 2023-2
**Character Count:** 355847
**Document Hash:** eee895301690a4c41c0bec9ac0e25e52
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-035880.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-035880

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIONEER VARIABLE CONTRACTS TRUST /MA/
- **CENTRAL INDEX KEY:** 0000930709
- **IRS NUMBER:** 000000000
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08786
- **FILM NUMBER:** 23657583

**BUSINESS ADDRESS:**
- **STREET 1:** 60 STATE ST
- **STREET 2:** 5TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 617-742-7825

**MAIL ADDRESS:**
- **STREET 1:** 60 STATE ST
- **STREET 2:** 5TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 021091820

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VARIABLE INSURANCE CONTRACTS TRUST
- **DATE OF NAME CHANGE:** 19940929

## Series and Classes Contracts Data

### Pioneer Bond VCT Portfolio (Series ID: S000010172)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000028201 | Pioneer Bond VCT Portfolio: Class II |  |
| C000030381 | Pioneer Bond VCT Portfolio: Class I  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIONEER VARIABLE CONTRACTS TRUST /MA/

- **b. Investment Company Act file number:** 811-08786

- **c. CIK number of Registrant:** 0000930709

- **d. LEI of Registrant:** 549300VNR8Z3H6PB2X77

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

  - **Street Address 1:** 60 State Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 617-422-4947

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

- **a. Name of Series:** Pioneer Bond VCT Portfolio

- **b. EDGAR series identifier (if any):** S000010172

- **c. LEI of Series:** Q2YV33M9S0TBWTZRCO78

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $155115823.20

**Total Liabilities:** $13174164.23

**Net Assets:** $141941658.97

**Stand-by Commitments:** $12723149.49

**Cash Not Reported:** $1926607.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1591.00000000 | **1-Year:** -215.00000000 | **5-Year:** -21539.00000000 | **10-Year:** -29568.00000000 | **30-Year:** -31214.00000000

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

- **3-Month:** -34.00000000 | **1-Year:** -266.00000000 | **5-Year:** -3748.00000000 | **10-Year:** 1650.00000000 | **30-Year:** -6208.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030381 | -2.42%               | 3.86%                | -0.39%               |
| Class ID C000028201 | -2.43%               | 3.94%                | -0.52%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-976477.64              | $-1251995.47                               |
| Month 2  | $-125130.84              | $4688417.17                                |
| Month 3  | $-563921.59              | $-571526.96                                |

**Designated Index Information**

- **Index Name:** 20% Bloomberg Barclays US High Yield, 80% Bloomberg Barclays US Aggregate

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                        | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13117 | PA      | $13811.67     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159628 | PA      | $148351.72    | 0.10%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $83861.40     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-2                                                       | CUSIP: 74936RBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385565 | PA      | $274831.74    | 0.19%             | 2051-06-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AWT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89640 | PA      | $84646.39     | 0.06%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF64 Mortgage Trust                                                   | CUSIP: 35709DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134133 | PA      | $130450.51    | 0.09%             | 2026-06-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    130000 | PA      | $114121.57    | 0.08%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                               | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    395000 | PA      | $370239.81    | 0.26%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                          | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $190329.97    | 0.13%             | 2026-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                          | CNO Global Funding                                                               | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    470000 | PA      | $397619.97    | 0.28%             | 2029-01-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66 CO                              | Phillips 66 Co                                                                   | CUSIP: 718547AG7<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    450000 | PA      | $414175.18    | 0.29%             | 2028-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137F8M83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119528 | PA      | $23251.37     | 0.02%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174942 | PA      | $164270.14    | 0.12%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commerical Equipment Finance 2              | Commercial Equipment Finance 2021-A LLC                                          | CUSIP: 20166QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $186141.86    | 0.13%             | 2028-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KLYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72201 | PA      | $62377.10     | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                           | CUSIP: 03880KAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $225633.50    | 0.16%             | 2034-08-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                   | PRMI Securitization Trust 2021-1                                                 | CUSIP: 69359DBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335131 | PA      | $235345.30    | 0.17%             | 2051-04-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2019-GS2                                           | CUSIP: 59981TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $310629.28    | 0.22%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST CMWLTH TRANSPRTN B              | Virginia Commonwealth Transportation Board                                       | CUSIP: 927793XY0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     50000 | PA      | $50629.00     | 0.04%             | 2032-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XEB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84078 | PA      | $83287.84     | 0.06%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARRIS CNTY TX CULTURAL EDU FA              | Harris County Cultural Education Facilities Finance Corp                         | CUSIP: 414009QY9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    130000 | PA      | $91477.10     | 0.06%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP                     | Sun Communities Operating LP                                                     | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    120000 | PA      | $99897.03     | 0.07%             | 2028-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                  | Blackbird Capital Aircraft                                                       | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    212939 | PA      | $174684.97    | 0.12%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    375000 | PA      | $293700.88    | 0.21%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                          | BSPRT 2022-FL8 Issuer Ltd                                                        | CUSIP: 055983AG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    170000 | PA      | $159697.27    | 0.11%             | 2037-02-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29661 | PA      | $26962.83     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9XS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33567 | PA      | $30520.30     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    255000 | PA      | $216972.99    | 0.15%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Oasis Securitisation                        | Libra Solutions 2022-2 LLC                                                       | CUSIP: 53161MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456090 | PA      | $450214.84    | 0.32%             | 2034-10-15      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HQ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1870 | PA      | $1937.64      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                      | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCM9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $198455.23    | 0.14%             | 2033-09-13      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                      | American Airlines 2021-1 Class B Pass Through Trust                              | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $35704.70     | 0.03%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYWD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282388 | PA      | $228196.32    | 0.16%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR2 Trust                                            | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $147211.88    | 0.10%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133BH4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481606 | PA      | $407974.54    | 0.29%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $453064.28    | 0.32%             | 2032-11-22      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC               | JG Wentworth XXII LLC                                                            | CUSIP: 46616MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73400 | PA      | $71417.84     | 0.05%             | 2048-12-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $135327.73    | 0.10%             | 2043-01-21      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16107 | PA      | $15102.63     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3622A25J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48660 | PA      | $48860.91     | 0.03%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Credit Card ABS 2019-1 LLC                                           | CUSIP: 21134LAA6<br>LEI: 5493002QR2K2E0R56Z02 | Long             | ABS-O            | CORP              | US        |    100596 | PA      | $99719.47     | 0.07%             | 2026-08-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    774000 | PA      | $531396.52    | 0.37%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $161589.93    | 0.11%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213URJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4735 | PA      | $4867.27      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36297FLB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29176 | PA      | $28782.59     | 0.02%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                              | CUSIP: 949930AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $230634.60    | 0.16%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2020-1 Ltd                                                               | CUSIP: 43731WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $151282.43    | 0.11%             | 2030-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389QN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1398.47      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YD4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15254 | PA      | $13152.07     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210FFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2009 | PA      | $2014.98      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201JEQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       798 | PA      | $821.87       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                 | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |       931 | NS      | $1103235.00   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $71171.13     | 0.05%             | 2049-12-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213E3Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1091 | PA      | $1121.18      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOTHEBY'S                                   | Sotheby's                                                                        | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187525.88    | 0.13%             | 2027-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QHLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18848 | PA      | $17741.41     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTH BROWARD FL HOSP DIST                  | South Broward Hospital District                                                  | CUSIP: 836753NK5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     70000 | PA      | $45160.50     | 0.03%             | 2047-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $115513.99    | 0.08%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade RE 2021-3 Ltd                                                         | CUSIP: 078777AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $145671.05    | 0.10%             | 2031-09-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                          | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    390000 | PA      | $284569.56    | 0.20%             | 2032-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31388WTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1007 | PA      | $1031.43      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $143852.64    | 0.10%             | 2046-02-25      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     35000 | PA      | $35788.20     | 0.03%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Traingle Re 2021-1 Ltd                                                           | CUSIP: 89600FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     64558 | PA      | $64558.33     | 0.05%             | 2033-08-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11481 | PA      | $10797.06     | 0.01%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON                 | CUSIP: 46590WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199694.26    | 0.14%             | 2031-01-05      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                                | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    216000 | PA      | $211549.75    | 0.15%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DLF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       475 | PA      | $496.41       | 0.00%             | 2031-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                    | Farmers Exchange Capital III                                                     | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $91225.49     | 0.06%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WLGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144038 | PA      | $134906.88    | 0.10%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $86870.79     | 0.06%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C32                                   | CUSIP: 94989YAY9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    222043 | PA      | $208671.32    | 0.15%             | 2059-01-15      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| ANZ BANK NEW ZEALAND LTD                    | ANZ Bank New Zealand Ltd                                                         | CUSIP: 00182YAA3<br>LEI: HZSN7FQBPO5IEWYIGC72 | Long             | DBT              | CORP              | NZ        |    200000 | PA      | $194172.10    | 0.14%             | 2032-08-11      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                       | Entergy Louisiana LLC                                                            | CUSIP: 29364WBL1<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62809.76     | 0.04%             | 2052-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                       | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119043.34    | 0.08%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20746 | PA      | $18867.56     | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                     | JetBlue 2019-1 Class AA Pass Through Trust                                       | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140272 | PA      | $115069.71    | 0.08%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $739813.04    | 0.52%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417CJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23399 | PA      | $21902.67     | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    200000 | PA      | $152278.60    | 0.11%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                    | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93311.39     | 0.07%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4674 | PA      | $4804.26      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $378438.98    | 0.27%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200XHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1925 | PA      | $1978.65      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36290TC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7383 | PA      | $7541.83      | 0.01%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $115789.84    | 0.08%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $286549.28    | 0.20%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                       | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    595000 | PA      | $452778.16    | 0.32%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    140000 | PA      | $126202.70    | 0.09%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    240000 | PA      | $194987.54    | 0.14%             | 2035-06-30      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1924567 | PA      | $1630403.26   | 1.15%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $115228.83    | 0.08%             | 2058-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36205VU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2734 | PA      | $2810.25      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-13                                                 | CUSIP: 46592XBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131694 | PA      | $101482.26    | 0.07%             | 2052-04-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust              | RMF Proprietary Issuance Trust 2021-2                                            | CUSIP: 74969VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208751 | PA      | $166248.79    | 0.12%             | 2061-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88743 | PA      | $79706.09     | 0.06%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184CDG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2658 | PA      | $2417.48      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470755 | PA      | $380410.72    | 0.27%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-C5                                      | CUSIP: 17291DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241879 | PA      | $225020.70    | 0.16%             | 2051-06-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QFUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62864 | PA      | $59276.29     | 0.04%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WF4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36119 | PA      | $34574.97     | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    700000 | PA      | $619866.90    | 0.44%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J7B76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32325 | PA      | $29446.66     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213TFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11680 | PA      | $11997.19     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2022-HB9 LLC                                                                | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $96910.31     | 0.07%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    935977 | PA      | $797965.14    | 0.56%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176MYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       848 | PA      | $834.04       | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $398967.05    | 0.28%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| GARDA WORLD SECURITY                        | Garda World Security Corp                                                        | CUSIP: 36485MAK5<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $194255.60    | 0.14%             | 2027-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                            | Williams Cos Inc/The                                                             | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     89000 | PA      | $98138.71     | 0.07%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AB6K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2109 | PA      | $2090.29      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                  | Eaton Corp                                                                       | CUSIP: 278062AJ3<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    110000 | PA      | $99522.86     | 0.07%             | 2052-08-23      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2018-CH3                                                  | CUSIP: 81746WAA6<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      5936 | PA      | $5775.34      | 0.00%             | 2048-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213VMD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2501 | PA      | $2572.12      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36202TFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7188 | PA      | $7371.34      | 0.01%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       935 | PA      | $970.45       | 0.00%             | 2031-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                          | Boston Gas Co                                                                    | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98854.49     | 0.07%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| RESORTS WORLD/RWLV CAP                      | Resorts World Las Vegas LLC / RWLV Capital Inc                                   | CUSIP: 76120HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $283691.82    | 0.20%             | 2029-04-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GRINDING MEDIA INC                          | Grinding Media Inc                                                               | CUSIP: 39854KAB6<br>LEI: 254900IYFJ03EGFQ8C34 | Long             | LON              | CORP              | US        |    113562 | PA      | $106180.94    | 0.07%             | 2028-10-12      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                              | CUSIP: 55607PAG0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    335000 | PA      | $257063.76    | 0.18%             | 2032-06-23      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| AFRICAN EXPORT-IMPORT BA                    | African Export-Import Bank/The                                                   | CUSIP: 00831TAA9<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | N/A       |    200000 | PA      | $173340.00    | 0.12%             | 2029-09-21      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31385YRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $212.05       | 0.00%             | 2030-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $30689.20     | 0.02%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419AVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12233 | PA      | $11948.36     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1210 | PA      | $1253.82      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2019-A LLC                                                          | CUSIP: 65489MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83066 | PA      | $82504.89     | 0.06%             | 2026-08-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80240 | PA      | $68924.35     | 0.05%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1522134.09   | 1.07%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-7                                                  | CUSIP: 46592NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469093 | PA      | $376843.65    | 0.27%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140H6VG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40665 | PA      | $38805.32     | 0.03%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL8 LLC                                    | CUSIP: 75574PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $198082.52    | 0.14%             | 2037-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                            | Farmers Insurance Exchange                                                       | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |    340000 | PA      | $273320.86    | 0.19%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184NEC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13983 | PA      | $13047.36     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201AY51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1157 | PA      | $1186.85      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418BQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20791 | PA      | $17926.05     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36186PNV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4568 | PA      | $4421.57      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376124 | PA      | $303971.02    | 0.21%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288770 | PA      | $235319.46    | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALTA WIND HOLDINGS LLC                      | Alta Wind Holdings LLC                                                           | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36687 | PA      | $36257.70     | 0.03%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ROANOKE VA ECON DEV AUTH HOSPR              | Roanoke Economic Development Authority                                           | CUSIP: 770082BY0<br>LEI: 549300P5QQORJY0U4T83 | Long             | DBT              | MUN               | US        |     55000 | PA      | $41287.40     | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794362 | PA      | $770714.63    | 0.54%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184QTQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26708 | PA      | $25721.19     | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEMPHIS TN WTR REVENUE                      | City of Memphis TN Water Revenue                                                 | CUSIP: 586226JU7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $8011.90      | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417YZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26659 | PA      | $26796.71     | 0.02%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortagage Trust              | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                             | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443727 | PA      | $411556.59    | 0.29%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                         | Macquarie Group Ltd                                                              | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    195000 | PA      | $149600.63    | 0.11%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     57000 | PA      | $43710.49     | 0.03%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | CITIGROUP MORTGAGE LOAN TRUST 2021-INV1                                          | CUSIP: 17329PDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96187 | PA      | $71444.50     | 0.05%             | 2051-05-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2021-GR3                                     | CUSIP: 36263TBF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391381 | PA      | $280270.56    | 0.20%             | 2052-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1704 | PA      | $1751.12      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HPR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82275 | PA      | $74949.59     | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31390Y6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $502.80       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast 2021-1818 Mortgage Trust                                                   | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $235236.73    | 0.17%             | 2036-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $237164.13    | 0.17%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36192S4A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17489 | PA      | $16314.86     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | Cascade Funding Mortgage Trust 2021-HB6                                          | CUSIP: 12527LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $180342.90    | 0.13%             | 2036-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| OREGON ST HLTH & SCIENCE UNIV               | Oregon Health & Science University                                               | CUSIP: 685869HG7<br>LEI: 549300XTWOAGON8L2G98 | Long             | DBT              | MUN               | US        |     65000 | PA      | $48207.90     | 0.03%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264372 | PA      | $240978.19    | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179NX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69789 | PA      | $70470.01     | 0.05%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22321 | PA      | $20014.44     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209UAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       283 | PA      | $282.79       | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-FL7 Ltd                                                                 | CUSIP: 55284AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $325110.45    | 0.23%             | 2036-10-16      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                     | United Airlines 2020-1 Class B Pass Through Trust                                | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73914 | PA      | $70320.69     | 0.05%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25811 | PA      | $25621.87     | 0.02%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5600 | PA      | $5241.50      | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $463642.20    | 0.33%             | 2038-11-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4984136.10   | 3.51%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21                      | CUSIP: 61764XBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $50006.26     | 0.04%             | 2048-03-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AXVT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191054 | PA      | $155557.30    | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HRGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19356 | PA      | $17631.91     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EN3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25206 | PA      | $23495.98     | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                    | Avolon Holdings Funding Ltd                                                      | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     30000 | PA      | $28719.02     | 0.02%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-3                                                       | CUSIP: 74938DBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329789 | PA      | $251940.63    | 0.18%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WLZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11814 | PA      | $11293.48     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93584 | PA      | $86561.86     | 0.06%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YGW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17543 | PA      | $15125.11     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor              | Taubman Centers Commercial Mortgage Trust 2022-DPM                               | CUSIP: 87666YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $590717.40    | 0.42%             | 2037-05-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg              | Saluda Grade Alternative Mortgage Trust 2022-SEQ2                                | CUSIP: 79581RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $116576.73    | 0.08%             | 2052-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36219FEM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8293 | PA      | $8304.22      | 0.01%             | 2026-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                     | CUSIP: 456837BC6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $176082.49    | 0.12%             | 2033-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2020-R2                                                                | CUSIP: 12558WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $130293.40    | 0.09%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                      | Fresenius Medical Care US Finance III Inc                                        | CUSIP: 35805BAB4<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |    525000 | PA      | $385027.10    | 0.27%             | 2031-02-16      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176H6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50227 | PA      | $48639.31     | 0.03%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2020-NQM1                                    | CUSIP: 36259WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88687 | PA      | $78050.06     | 0.05%             | 2060-09-27      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402TNW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2627 | PA      | $2678.69      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2020-2                                              | CUSIP: 26208VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $48932.71     | 0.03%             | 2028-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903809 | PA      | $893850.51    | 0.63%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    120000 | PA      | $99317.35     | 0.07%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36134.72     | 0.03%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 465973BX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196164 | PA      | $140543.63    | 0.10%             | 2052-03-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31401YDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3520 | PA      | $3573.39      | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2021-R1                                                | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375104 | PA      | $300918.03    | 0.21%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-2 Trust                              | CUSIP: 949930AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $70499.76     | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136AESM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $454935.53    | 0.32%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-CR28 Mortgage Trust                                                    | CUSIP: 12593YBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178933 | PA      | $168089.80    | 0.12%             | 2049-02-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                | Barclays PLC                                                                     | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $415651.13    | 0.29%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612587 | PA      | $546096.51    | 0.38%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31374TYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1841 | PA      | $1903.29      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    200000 | PA      | $110526.81    | 0.08%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31400RU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6744 | PA      | $6869.54      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J8TV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80769 | PA      | $73574.44     | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance                                                | CUSIP: 585494CB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288493 | PA      | $205640.67    | 0.14%             | 2051-06-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12317 | PA      | $12175.17     | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                        | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53017 | PA      | $47135.28     | 0.03%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                        | Niagara Mohawk Power Corp                                                        | CUSIP: 65364UAS5<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    130000 | PA      | $129547.75    | 0.09%             | 2052-09-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210UXJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2949 | PA      | $3024.89      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $8768.80      | 0.01%             | 2051-06-15      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                             | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    165000 | PA      | $131430.93    | 0.09%             | 2030-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MAVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493682 | PA      | $418247.83    | 0.29%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    560000 | PA      | $359603.32    | 0.25%             | 2042-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS INC                      | Skyworks Solutions Inc                                                           | CUSIP: 83088MAL6<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    313000 | PA      | $245495.70    | 0.17%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                          | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    590000 | PA      | $503478.98    | 0.35%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                      | HAT Holdings I LLC / HAT Holdings II LLC                                         | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    164000 | PA      | $142483.20    | 0.10%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17859 | PA      | $17903.73     | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       971 | PA      | $998.73       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38378GJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       860 | PA      | $851.88       | 0.00%             | 2041-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M83Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92886 | PA      | $90824.55     | 0.06%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                      | Bank of New York Mellon Corp/The                                                 | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155489.05    | 0.11%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL INSURANCE                    | Liberty Mutual Insurance Co                                                      | CUSIP: 53079QAD9<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    645000 | PA      | $696629.38    | 0.49%             | 2097-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMEP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65522 | PA      | $62708.36     | 0.04%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY ACQUISITION LP                       | Energy Acquisition Co Inc                                                        | CUSIP: 29279EAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     49387 | PA      | $44556.77     | 0.03%             | 2025-06-26      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                              | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     31000 | PA      | $23202.47     | 0.02%             | 2031-02-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1349 | PA      | $1390.07      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694932 | PA      | $638539.32    | 0.45%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAK8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    215000 | PA      | $178169.77    | 0.13%             | 2030-12-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HIGHWOODS REALTY LP                         | Highwoods Realty LP                                                              | CUSIP: 431282AQ5<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              | CORP              | US        |     41000 | PA      | $37029.49     | 0.03%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33768 | PA      | $29111.66     | 0.02%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EDWARDS LIFESCIENCES COR                    | Edwards Lifesciences Corp                                                        | CUSIP: 28176EAD0<br>LEI: YA13X31F3V31L8TMPR58 | Long             | DBT              | CORP              | US        |     77000 | PA      | $73612.23     | 0.05%             | 2028-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                              | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23884.85     | 0.02%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31390TK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $850.55       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R07                                     | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25312 | PA      | $25249.12     | 0.02%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    477000 | PA      | $398295.00    | 0.28%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    224000 | PA      | $189960.33    | 0.13%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                  | Atkore Inc                                                                       | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60025.00     | 0.04%             | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89188 | PA      | $75535.83     | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2022-1 Ltd                                            | CUSIP: 69701CAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $238086.25    | 0.17%             | 2030-04-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1879 | PA      | $1917.84      | 0.00%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WED66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68349 | PA      | $61349.71     | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WNN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8920 | PA      | $8280.88      | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| B3 SA-BRASIL BOLSA BALCA                    | B3 SA - Brasil Bolsa Balcao                                                      | CUSIP: 11778EAA4<br>LEI: 4GTK5S46E6H318LMDS44 | Long             | DBT              | CORP              | BR        |    225000 | PA      | $189594.78    | 0.13%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL METALS CO                        | Commercial Metals Co                                                             | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     71000 | PA      | $61764.78     | 0.04%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6030 | PA      | $5198.79      | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $485176.52    | 0.34%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3617A4H92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6646 | PA      | $6400.45      | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3358 | PA      | $3508.82      | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405HSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12636 | PA      | $12994.26     | 0.01%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19172 | PA      | $18488.30     | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    255000 | PA      | $243213.90    | 0.17%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WBB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6451 | PA      | $6177.45      | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35059 | PA      | $35162.88     | 0.02%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137757 | PA      | $132921.31    | 0.09%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92699 | PA      | $79532.13     | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131YBED6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35926 | PA      | $34165.73     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $217832.30    | 0.15%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132A5GX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103597 | PA      | $98992.59     | 0.07%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    220000 | PA      | $157345.52    | 0.11%             | 2031-09-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669806 | PA      | $23812.35     | 0.02%             | 2058-10-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563180 | PA      | $460716.40    | 0.32%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXVIII Ltd                                                       | CUSIP: 83615CAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $227613.75    | 0.16%             | 2032-01-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMG57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29030 | PA      | $27756.51     | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re V Ltd                                                                 | CUSIP: 67401JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11608 | PA      | $11613.40     | 0.01%             | 2030-10-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2021-MH1                                                  | CUSIP: 14731QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $73644.96     | 0.05%             | 2046-02-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master              | Bayview MSR Opportunity Master Fund Trust 2021-INV2                              | CUSIP: 07336LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421771 | PA      | $338553.79    | 0.24%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $53982.76     | 0.04%             | 2056-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| TEXAS ST WTR DEV BRD                        | Texas Water Development Board                                                    | CUSIP: 8828543M2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     45000 | PA      | $38953.80     | 0.03%             | 2040-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.39.V1                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-117167.59   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2019-4 LTD                                                        | CUSIP: 14317VAY6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $228495.75    | 0.16%             | 2035-04-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $236061.23    | 0.17%             | 2051-06-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 46592PBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192469 | PA      | $135172.89    | 0.10%             | 2051-10-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183638.07    | 0.13%             | 2033-08-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    663000 | PA      | $554649.26    | 0.39%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST THRUWAY AUTH PERSO              | New York State Thruway Authority                                                 | CUSIP: 650028XL2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     75000 | PA      | $56678.25     | 0.04%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                     | UDR Inc                                                                          | CUSIP: 90265EAP5<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    180000 | PA      | $168236.02    | 0.12%             | 2029-01-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WE3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8856 | PA      | $8303.96      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416X4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39338 | PA      | $38996.29     | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143692.66    | 0.10%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                             | SBA Tower Trust                                                                  | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $224540.15    | 0.16%             | 2049-10-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| MATIV HOLDINGS INC                          | Mativ Holdings Inc                                                               | CUSIP: 000000000<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |    142825 | PA      | $135683.75    | 0.10%             | 2029-05-06      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138M5VV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22701 | PA      | $21249.17     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210STC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7453 | PA      | $7660.57      | 0.01%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46085 | PA      | $44005.96     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WJHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7110 | PA      | $6797.04      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KUEHG CORP                                  | KUEHG Corp                                                                       | CUSIP: 000000000<br>LEI: 549300YNT566T1NYJX62 | Long             | LON              | CORP              | US        |    105380 | PA      | $101477.87    | 0.07%             | 2025-02-21      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Co              | Traingle Re 2020-1 Ltd                                                           | CUSIP: 89600MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     92014 | PA      | $92191.67     | 0.06%             | 2030-10-25      | Floating      | 9.99%                 | No            |                  2 | On Loan: No      |
| CHC Commercial Mortgage Trust               | CHC Commercial Mortgage Trust 2019 - CHC                                         | CUSIP: 162665AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148876 | PA      | $136792.03    | 0.10%             | 2034-06-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10589 | PA      | $10231.26     | 0.01%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    290000 | PA      | $240280.90    | 0.17%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                        | Smithfield Foods Inc                                                             | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |     21000 | PA      | $19183.51     | 0.01%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2020-1 Ltd                                                               | CUSIP: 43731WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     55990 | PA      | $56008.96     | 0.04%             | 2030-10-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 31395PCL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13307 | PA      | $13541.89     | 0.01%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLIII LLC                    | JG Wentworth XLIII LLC                                                           | CUSIP: 46650XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195597 | PA      | $165040.46    | 0.12%             | 2071-08-17      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV3                                                | CUSIP: 44555QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463007 | PA      | $371653.40    | 0.26%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd               | CoreVest American Finance 2020-3 Trust                                           | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192650 | PA      | $169899.22    | 0.12%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ECF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191494 | PA      | $153335.55    | 0.11%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31419JSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8392 | PA      | $7853.57      | 0.01%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIV OF NEBRASKA NE FACS CORP               | University of Nebraska Facilities Corp/The                                       | CUSIP: 914639LH0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    135000 | PA      | $97478.10     | 0.07%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16525 | PA      | $15908.12     | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9WJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84984 | PA      | $77276.74     | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    308007 | PA      | $282182.01    | 0.20%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                             | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    230000 | PA      | $187082.69    | 0.13%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HUQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4136 | PA      | $4281.60      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YTJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33325 | PA      | $31877.33     | 0.02%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Tru              | Newtek Small Business Loan Trust 2017-1                                          | CUSIP: 65252WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32990 | PA      | $32871.88     | 0.02%             | 2043-02-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                                | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    375000 | PA      | $286589.79    | 0.20%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA4                                          | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272615 | PA      | $289847.29    | 0.20%             | 2050-08-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SNW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41123 | PA      | $39547.87     | 0.03%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EQFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124435 | PA      | $115662.97    | 0.08%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9QP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61150 | PA      | $58790.01     | 0.04%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-INV2                                               | CUSIP: 46653TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433882 | PA      | $348291.85    | 0.25%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNC56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21749 | PA      | $20381.52     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184JAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4085 | PA      | $3811.31      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                            | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155332 | PA      | $140075.46    | 0.10%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                        | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $208000.00    | 0.15%             | 2082-10-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213JV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1908 | PA      | $1906.59      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31382VXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $544.49       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $296239.95    | 0.21%             | 2042-02-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140KKZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11604 | PA      | $10932.13     | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F5TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17194 | PA      | $16465.17     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $197476.61    | 0.14%             | 2051-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36206VKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       428 | PA      | $440.35       | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140Q7EN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64802 | PA      | $64089.45     | 0.05%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138M0AH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24618 | PA      | $23044.81     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-KF66 Mortgage Trust                                                   | CUSIP: 30314CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    254290 | PA      | $243271.66    | 0.17%             | 2029-07-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128KH6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       499 | PA      | $510.69       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WF3D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142935 | PA      | $133876.78    | 0.09%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31387WK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       307 | PA      | $307.12       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60199 | PA      | $56039.81     | 0.04%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pas              | FRESB 2018-SB52 Mortgage Trust                                                   | CUSIP: 30297CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    122361 | PA      | $117516.28    | 0.08%             | 2025-06-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization T              | Tricolor Auto Securitization Trust 2021-1                                        | CUSIP: 89615BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97367.28     | 0.07%             | 2026-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| PECF USS INTERMEDIATE HO                    | PECF USS Intermediate Holding III Corp                                           | CUSIP: 69291LAB2<br>LEI: 254900DIL842DEXPYJ91 | Long             | LON              | CORP              | US        |     34738 | PA      | $29089.04     | 0.02%             | 2028-12-15      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $195553.31    | 0.14%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                    | Banque Ouest Africaine de Developpement                                          | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | N/A       |    230000 | PA      | $195408.00    | 0.14%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36203NBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       687 | PA      | $687.70       | 0.00%             | 2027-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34923 | PA      | $32624.73     | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $595905.35    | 0.42%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    475000 | PA      | $341186.72    | 0.24%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| VERINT SYSTEMS INC                          | VERINT SYSTEMS INC                                                               | CUSIP: 92345MAQ5<br>LEI: 549300KEQJS5FRVUCO94 | Long             | LON              | CORP              | US        |     16685 | PA      | $16612.17     | 0.01%             | 2024-06-29      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| ALLIED UNIVERSAL                            | Allied Universal Holdco LLC / Allied Universal Finance Corp                      | CUSIP: 019576AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    123000 | PA      | $112545.00    | 0.08%             | 2026-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                            | NMEF Funding 2021-A LLC                                                          | CUSIP: 62919TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94473.36     | 0.07%             | 2027-12-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140H6ZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97973 | PA      | $90807.03     | 0.06%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36209FDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $69.41        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYWG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95664 | PA      | $77305.13     | 0.05%             | 2042-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ATKQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36716 | PA      | $34480.44     | 0.02%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADANIREN KODSOPAR WARSOM                    | Adani Renewable Energy RJ Ltd/Kodangal Solar Parks Pvt Ltd/Wardha Solar Maharash | CUSIP: 00654CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    262088 | PA      | $195255.19    | 0.14%             | 2039-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-CCRE18 Mortgage Trust                                                  | CUSIP: 12632QAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740918 | PA      | $19511.16     | 0.01%             | 2047-07-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                       | Bread Financial Holdings Inc                                                     | CUSIP: 018581AL2<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |    289000 | PA      | $251430.00    | 0.18%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4963 | PA      | $5196.83      | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2014-GC25                                    | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $235289.95    | 0.17%             | 2047-10-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                              | 1011778 BC ULC                                                                   | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |    149418 | PA      | $147036.44    | 0.10%             | 2026-11-19      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617AVXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31850 | PA      | $30339.18     | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    230000 | PA      | $187874.11    | 0.13%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417CSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19275 | PA      | $17538.06     | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211EUK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1187 | PA      | $1188.30      | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    395000 | PA      | $368096.04    | 0.26%             | 2037-01-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GRPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16549 | PA      | $15851.80     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-3                                                  | CUSIP: 46654UCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236079 | PA      | $168521.29    | 0.12%             | 2052-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7341 | PA      | $6274.00      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65326 | PA      | $60799.82     | 0.04%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                      | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    210000 | PA      | $180176.34    | 0.13%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YEDW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15949 | PA      | $14385.99     | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    185000 | PA      | $173240.11    | 0.12%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                | Autodesk Inc                                                                     | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |    485000 | PA      | $387429.45    | 0.27%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80881 | PA      | $75900.81     | 0.05%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                | AES Corp/The                                                                     | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    280000 | PA      | $222745.95    | 0.16%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                             | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    140000 | PA      | $115915.80    | 0.08%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 3617GSGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43694 | PA      | $41620.48     | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QPXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973283 | PA      | $824592.99    | 0.58%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118769 | PA      | $110489.91    | 0.08%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133D4PF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96031 | PA      | $77602.54     | 0.05%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $1691345.34   | 1.19%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FRF91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95641 | PA      | $88784.23     | 0.06%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMITH & NEPHEW PLC                          | Smith & Nephew PLC                                                               | CUSIP: 83192PAA6<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    348000 | PA      | $272007.59    | 0.19%             | 2030-10-14      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2019-1 Ltd                                                         | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |      6270 | PA      | $6266.94      | 0.00%             | 2029-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                     | NYMT Loan Trust 2022-CP1                                                         | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $164847.26    | 0.12%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| ROCKINGHAM CNTY VA ECON DEV AU              | Rockingham County Economic Development Authority                                 | CUSIP: 77345QAA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     25000 | PA      | $18845.75     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132DWCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12265 | PA      | $11519.44     | 0.01%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                    | Healthcare Realty Holdings LP                                                    | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    255000 | PA      | $212915.86    | 0.15%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                        | OneMain Finance Corp                                                             | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    404000 | PA      | $301440.41    | 0.21%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $111524.36    | 0.08%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29175 | PA      | $27914.55     | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623123 | PA      | $529101.24    | 0.37%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145501 | PA      | $0.01         | 0.00%             | 2037-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201V5M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4994 | PA      | $5173.91      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31401D3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2394 | PA      | $2430.97      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J1                                                                | CUSIP: 12564KCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238692 | PA      | $177170.79    | 0.12%             | 2051-03-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $162027.36    | 0.11%             | N/A             | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                            | Welk Resorts 2019-A LLC                                                          | CUSIP: 94946DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65757 | PA      | $63256.80     | 0.04%             | 2038-06-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8469 | PA      | $8093.80      | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31298WUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2679 | PA      | $2747.52      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                            | CUSIP: 35564ABF7<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    348634 | PA      | $338982.34    | 0.24%             | 2047-02-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                      | Motorola Solutions Inc                                                           | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146017.07    | 0.10%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                              | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     65000 | PA      | $69294.64     | 0.05%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                     | Teva Pharmaceutical Finance Netherlands III BV                                   | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $178109.43    | 0.13%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                         | NOVA Chemicals Corp                                                              | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    103000 | PA      | $92516.97     | 0.07%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $148084.94    | 0.10%             | 2049-08-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13878 | PA      | $13350.66     | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                              | Oaktown Re V Ltd                                                                 | CUSIP: 67401JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149408.18    | 0.11%             | 2030-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QGCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28869 | PA      | $27172.56     | 0.02%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-IG3 Mortgage Trust                                                | CUSIP: 08162QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $154064.90    | 0.11%             | 2048-09-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAG2<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    280000 | PA      | $224910.00    | 0.16%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EVK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50333 | PA      | $48210.83     | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4871 | PA      | $5026.89      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    286000 | PA      | $275597.70    | 0.19%             | 2025-09-29      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8442 | PA      | $8692.79      | 0.01%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV1                                      | CUSIP: 585490BZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196330 | PA      | $147639.55    | 0.10%             | 2052-03-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $43860.04     | 0.03%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F050411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $502183.74    | 0.35%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $367470.48    | 0.26%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                   | CUSIP: 629377CS9<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    255000 | PA      | $191517.75    | 0.13%             | 2032-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88134.07     | 0.06%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL2 Ltd                           | CUSIP: 03881JAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $333295.69    | 0.23%             | 2037-05-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                | Eagle RE 2019-1 Ltd                                                              | CUSIP: 269822AB8<br>LEI: 254900L82OLW9QTLJ788 | Long             | ABS-MBS          | CORP              | US        |    228595 | PA      | $223771.26    | 0.16%             | 2029-04-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                | AES Corp/The                                                                     | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88200.00     | 0.06%             | 2030-07-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202C7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1463 | PA      | $1480.18      | 0.00%             | 2028-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49754 | PA      | $46572.57     | 0.03%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                     | Hundred Acre Wood Trust 2021-INV1                                                | CUSIP: 44590HCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167590 | PA      | $123341.84    | 0.09%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XXBD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14644 | PA      | $14014.64     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                              | CUSIP: 12656TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $141871.54    | 0.10%             | 2060-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186931 | PA      | $171886.41    | 0.12%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36184BZL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34556 | PA      | $32504.82     | 0.02%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                 | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    175000 | PA      | $141390.40    | 0.10%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E4ZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17510 | PA      | $16815.53     | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Trust 2019-SURF                                                             | CUSIP: 44965LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323000 | PA      | $291227.27    | 0.21%             | 2041-02-11      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371JWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $274.87       | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-J1                                         | CUSIP: 74387MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192674 | PA      | $142160.49    | 0.10%             | 2051-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                            | Societe Generale SA                                                              | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    225000 | PA      | $210439.02    | 0.15%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2020-NQM1 Trust                                                              | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86115 | PA      | $79196.47     | 0.06%             | 2049-08-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                    | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    520000 | PA      | $432569.02    | 0.30%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                            | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    530000 | PA      | $497136.03    | 0.35%             | 2033-07-28      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                        | LXP Industrial Trust                                                             | CUSIP: 529537AA0<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $216061.74    | 0.15%             | 2031-10-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WAF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42037 | PA      | $40504.61     | 0.03%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64000 | PA      | $51160.63     | 0.04%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                          | Visio 2019-2 Trust                                                               | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146531 | PA      | $135876.81    | 0.10%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $170156.97    | 0.12%             | 2038-11-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455482 | PA      | $404852.26    | 0.29%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2075.25      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $236763.20    | 0.17%             | 2052-01-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -107 | NC      | $46102.02     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGM99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95932 | PA      | $78167.26     | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                      | Motorola Solutions Inc                                                           | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    315000 | PA      | $246315.14    | 0.17%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C2                               | CUSIP: 46590LAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $124445.64    | 0.09%             | 2049-06-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J9KV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190548 | PA      | $188822.86    | 0.13%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461869 | PA      | $80815.10     | 0.06%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J85A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28637 | PA      | $26086.35     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130804 | PA      | $125844.37    | 0.09%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3132D9G99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188198 | PA      | $152082.27    | 0.11%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138X3EE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6133 | PA      | $5288.44      | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HAMPTON ROADS VA TRANSPRTN ACC              | Hampton Roads Transportation Accountability Commission                           | CUSIP: 409328BT7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     30000 | PA      | $27144.00     | 0.02%             | 2057-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WHU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30469 | PA      | $29146.40     | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MJ6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1853342 | PA      | $1569517.06   | 1.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LVY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26637 | PA      | $24286.77     | 0.02%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       201 | PA      | $205.27       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97537 | PA      | $79474.64     | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265385 | PA      | $225287.33    | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36205TPV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8891 | PA      | $8910.39      | 0.01%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                              | CUSIP: 65535HBA6<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    485000 | PA      | $380509.52    | 0.27%             | 2032-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B5 Mortgage Trust                                                 | CUSIP: 08160BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $117077.36    | 0.08%             | 2051-07-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140X7QE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78948 | PA      | $67799.26     | 0.05%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106621 | PA      | $105390.07    | 0.07%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $167982.59    | 0.12%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                     | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    415000 | PA      | $320732.13    | 0.23%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                   | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    305000 | PA      | $278879.44    | 0.20%             | 2037-04-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213RSA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8412 | PA      | $8690.14      | 0.01%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3837 | PA      | $3877.37      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 US                    | Avolon TLB Borrower 1 US LLC                                                     | CUSIP: 05400KAF7<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     61449 | PA      | $60753.77     | 0.04%             | 2027-02-12      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133AJK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12446 | PA      | $11720.46     | 0.01%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6672 | PA      | $6190.06      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                    | Teledyne Technologies Inc                                                        | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |    405000 | PA      | $348716.07    | 0.25%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5 YEAR TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       191 | NC      | $-113959.50   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46346.30     | 0.03%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                              | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43534.79     | 0.03%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418ELE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394808 | PA      | $334438.88    | 0.24%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                       | Toronto-Dominion Bank/The                                                        | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    280000 | PA      | $266887.49    | 0.19%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                  | BINOM Securitization Trust 2022-RPL1                                             | CUSIP: 05552CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $303148.31    | 0.21%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91498 | PA      | $90087.30     | 0.06%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                    | Teachers Insurance & Annuity Association of America                              | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     26000 | PA      | $28617.13     | 0.02%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233628 | PA      | $205960.41    | 0.15%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2022-B34 Mortgage Trust                                                | CUSIP: 08161YBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85554.72     | 0.06%             | 2055-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE TRUST               | Key Commercial Mortgage Securities Trust 2019-S2                                 | CUSIP: 49307XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $201580.04    | 0.14%             | 2052-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140E6KT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19250 | PA      | $16555.00     | 0.01%             | 2045-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-RPL2Trust                                                              | CUSIP: 12656TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $104255.72    | 0.07%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Palisades Center Trust                      | Palisades Center Trust 2016-PLSD                                                 | CUSIP: 69640GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $55675.00     | 0.04%             | 2033-04-13      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31391GYP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2036 | PA      | $2066.72      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213EYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       282 | PA      | $289.95       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2018-RP3                                           | CUSIP: 17327DAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $318596.88    | 0.22%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $4396904.91   | 3.10%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WE3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10040 | PA      | $9413.28      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12980 | PA      | $12493.07     | 0.01%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER CHILE                       | Banco Santander Chile                                                            | CUSIP: 05970FAC5<br>LEI: 3YJP8HORPAEXJ80D6368 | Long             | DBT              | CORP              | CL        |    318000 | PA      | $301657.04    | 0.21%             | 2025-01-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                              | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    140000 | PA      | $121613.54    | 0.09%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    265000 | PA      | $215841.78    | 0.15%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                            | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $144586.70    | 0.10%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | Goldentree Loan Management US Clo 6 Ltd                                          | CUSIP: 38137WAW5<br>LEI: 549300MI5PVR6JHGVV87 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $218772.75    | 0.15%             | 2035-04-20      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| MARICOPA CNTY AZ INDL DEV AUTH              | Maricopa County Industrial Development Authority                                 | CUSIP: 56682HDB2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     90000 | PA      | $63737.10     | 0.04%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E5FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1334 | PA      | $1281.21      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BIO-RAD LABS                                | Bio-Rad Laboratories Inc                                                         | CUSIP: 090572AQ1<br>LEI: 549300ZC1GPV35XYDK53 | Long             | DBT              | CORP              | US        |     82000 | PA      | $70234.72     | 0.05%             | 2032-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9FK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291057 | PA      | $246483.08    | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59174 | PA      | $55390.53     | 0.04%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEAM HEALTH HOLDINGS INC                    | Team Health Holdings Inc                                                         | CUSIP: 87817JAG3<br>LEI: 549300PVTQ4UDTTMQT11 | Long             | LON              | CORP              | US        |     84199 | PA      | $63885.72     | 0.05%             | 2027-02-02      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| FASST 22-S1 A2                              | FASST 22-S1 A2                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320874 | PA      | $285978.55    | 0.20%             | 2052-02-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receiva              | Amur Equipment Finance Receivables XI LLC                                        | CUSIP: 03236XAE7<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $296066.40    | 0.21%             | 2029-05-21      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138XZSU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21853 | PA      | $18841.00     | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                         | DataBank Issuer                                                                  | CUSIP: 23802WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $85574.12     | 0.06%             | 2051-02-27      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FXKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133192 | PA      | $122190.10    | 0.09%             | 2058-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31406ELQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3238 | PA      | $3276.90      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    240000 | PA      | $214310.68    | 0.15%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                      | AngloGold Ashanti Holdings PLC                                                   | CUSIP: 03512TAE1<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |    335000 | PA      | $290557.05    | 0.20%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                                      | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4988797.80   | 3.51%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138E2SV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2561 | PA      | $2459.30      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2020-1 Ltd                                                             | CUSIP: 750493AC2<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |    370000 | PA      | $361768.09    | 0.25%             | 2030-01-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2022-INV1 Trust                           | CUSIP: 95003NBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296390 | PA      | $211762.94    | 0.15%             | 2052-03-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815374 | PA      | $804098.10    | 0.57%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HMKF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9006 | PA      | $8204.17      | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMERICA BANK                               | Comerica Bank                                                                    | CUSIP: 200339EX3<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |    365000 | PA      | $350608.20    | 0.25%             | 2033-08-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                 | Aker BP ASA                                                                      | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    640000 | PA      | $524878.94    | 0.37%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2019-1 Ltd                                                         | CUSIP: 07876RAC0<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $148861.80    | 0.10%             | 2029-03-25      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405ES89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7891 | PA      | $8032.24      | 0.01%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2022-INV1                                               | CUSIP: 46592PBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105858 | PA      | $78614.07     | 0.06%             | 2051-10-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| NIPPON LIFE INSURANCE                       | Nippon Life Insurance Co                                                         | CUSIP: 654579AK7<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |    355000 | PA      | $283939.69    | 0.20%             | 2051-09-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-4                                                       | CUSIP: 74938VBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340120 | PA      | $252964.93    | 0.18%             | 2051-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2019-K88 Mortgage Trust                                                    | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $88692.16     | 0.06%             | 2052-02-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-A                                                  | CUSIP: 00971AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145374 | PA      | $126730.13    | 0.09%             | 2065-09-25      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36194REE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24981 | PA      | $23311.73     | 0.02%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    235000 | PA      | $185548.81    | 0.13%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1146 | PA      | $1199.41      | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31405JKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1457 | PA      | $1486.85      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55330 | PA      | $52038.81     | 0.04%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477865 | PA      | $386192.82    | 0.27%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                                | CUSIP: 36264RBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $116230.97    | 0.08%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $877994.26    | 0.62%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust              | CFMT 2021-HB5 LLC                                                                | CUSIP: 12526PAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $276621.33    | 0.19%             | 2031-02-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR INC                           | Owens & Minor Inc                                                                | CUSIP: 69073LAD2<br>LEI: 549300LMT5KQQXCEZ733 | Long             | LON              | CORP              | US        |     69650 | PA      | $69824.13     | 0.05%             | 2029-03-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115896.98    | 0.08%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2022-PJ1                                     | CUSIP: 36263NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336621 | PA      | $257159.98    | 0.18%             | 2052-05-28      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout              | Finance of America HECM Buyout 2022-HB1                                          | CUSIP: 31735JAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $371977.24    | 0.26%             | 2032-02-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                    | Nationwide Mutual Insurance Co                                                   | CUSIP: 638671AN7<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |    475000 | PA      | $354785.51    | 0.25%             | 2050-04-30      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $6953906.20   | 4.90%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91064 | PA      | $83579.76     | 0.06%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417CJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60069 | PA      | $57687.26     | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695286 | PA      | $657979.20    | 0.46%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED              | Regents of the University of California Medical Center Pooled Revenue            | CUSIP: 913366KT6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     45000 | PA      | $42551.55     | 0.03%             | 2053-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt              | LSTAR Securities Investment Ltd 2019-3                                           | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162694 | PA      | $161605.57    | 0.11%             | 2024-04-01      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                 | Nakilat Inc                                                                      | CUSIP: 62983PAB1<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    169185 | PA      | $175190.91    | 0.12%             | 2033-12-31      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                              | AutoNation Inc                                                                   | CUSIP: 05329WAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $39545.62     | 0.03%             | 2031-08-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76232 | PA      | $71042.95     | 0.05%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335ABN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6270 | PA      | $6508.27      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138W9K74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45333 | PA      | $43421.29     | 0.03%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192092 | PA      | $156504.66    | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192749 | PA      | $157040.33    | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213X3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4791 | PA      | $4936.66      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pioneer ILS Interval Fund                   | Pioneer ILS Interval Fund                                                        | CUSIP: 72369L107<br>LEI: 549300LH2MO2SJZYNC86 | Long             | EC               | RF                | US        |    336850 | NS      | $2731853.93   | 1.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6732 | PA      | $5803.98      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                | ING Groep NV                                                                     | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    635000 | PA      | $435772.75    | 0.31%             | N/A             | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust              | RMF Proprietary Issuance Trust 2019-1                                            | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73781 | PA      | $67745.45     | 0.05%             | 2063-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Tr              | Bunker Hill Loan Depositary Trust 2020-1                                         | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $89762.91     | 0.06%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                              | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    305000 | PA      | $241081.45    | 0.17%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790PD2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     45000 | PA      | $31938.30     | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XHZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295652 | PA      | $291563.52    | 0.21%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                            | Altice France SA/France                                                          | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    255000 | PA      | $199695.60    | 0.14%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                        | Eagle RE 2018-1 Ltd                                                              | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |     65384 | PA      | $65170.13     | 0.05%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ST TURNPIKE COMMI              | Pennsylvania Turnpike Commission                                                 | CUSIP: 709225EU6<br>LEI: 549300J8LLBYEYEXZJ24 | Long             | DBT              | MUN               | US        |     30000 | PA      | $21808.80     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225A3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1590 | PA      | $1634.13      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MONTGOMERY CNTY PA HGR EDU & H              | Montgomery County Higher Education and Health Authority                          | CUSIP: 613603G78<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    140000 | PA      | $115234.00    | 0.08%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                       | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    310000 | PA      | $287965.52    | 0.20%             | 2033-05-10      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4416 | PA      | $4561.45      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2019-1 Ltd                                                               | CUSIP: 43731AAA1<br>LEI: 254900GFKVQN72ENGJ20 | Long             | ABS-MBS          | CORP              | BM        |     68968 | PA      | $67912.06     | 0.05%             | 2029-05-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202DAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2626 | PA      | $2682.27      | 0.00%             | 2029-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HOA Funding LLC                             | HOA Funding LLC - HOA                                                            | CUSIP: 40390GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197500 | PA      | $147581.28    | 0.10%             | 2051-08-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140FM7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18611 | PA      | $17777.46     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARLOTTE NC ARPT REVENUE                   | City of Charlotte NC Airport Revenue                                             | CUSIP: 161036TR9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     70000 | PA      | $64913.80     | 0.05%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $422054.80    | 0.30%             | 2053-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WTT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36319 | PA      | $33046.01     | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R01                                     | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38843 | PA      | $38744.72     | 0.03%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109553 | PA      | $102610.86    | 0.07%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EU4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4197 | PA      | $4019.06      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRIMERICA INC                               | Primerica Inc                                                                    | CUSIP: 74164MAB4<br>LEI: 254900621R686KJR7022 | Long             | DBT              | CORP              | US        |     86000 | PA      | $69999.94     | 0.05%             | 2031-11-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                 | KeyBank NA/Cleveland OH                                                          | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    250000 | PA      | $231364.54    | 0.16%             | 2032-08-08      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $250850.21    | 0.18%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140F9VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124724 | PA      | $115731.27    | 0.08%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GRN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9672 | PA      | $9267.75      | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138ENER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208979 | PA      | $207167.20    | 0.15%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31415BE54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       416 | PA      | $422.41       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LSWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10633 | PA      | $10065.81     | 0.01%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J5SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89423 | PA      | $80091.26     | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AWNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20038 | PA      | $19242.87     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J5E70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37632 | PA      | $35983.37     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-12                                                 | CUSIP: 46592WBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146120 | PA      | $111612.57    | 0.08%             | 2052-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $271448.70    | 0.19%             | 2036-11-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200RDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       544 | PA      | $558.72       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623722 | PA      | $525761.16    | 0.37%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage T              | STWD 2022-FL3 Ltd                                                                | CUSIP: 78485KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    350000 | PA      | $330364.06    | 0.23%             | 2038-11-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                             | HGI CRE CLO 2021-FL2 Ltd                                                         | CUSIP: 40390JAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    125000 | PA      | $117331.00    | 0.08%             | 2036-09-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP2                                                            | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $379157.62    | 0.27%             | 2047-02-25      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33840 | PA      | $32414.69     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd                                 | Home RE 2021-1 Ltd                                                               | CUSIP: 437307AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    150000 | PA      | $139862.73    | 0.10%             | 2033-07-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Icon Brand Holdings LLC                     | Icon Brand Holdings LLC                                                          | CUSIP: 45112AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18515 | PA      | $5555.19      | 0.00%             | 2043-01-25      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HLW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       899 | PA      | $928.83       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1371 | PA      | $1384.81      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                               | UniCredit SpA                                                                    | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $183298.43    | 0.13%             | 2034-04-02      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                      | Boardwalk Pipelines LP                                                           | CUSIP: 096630AJ7<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |     75000 | PA      | $62062.24     | 0.04%             | 2032-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG 2006                      | FMG Resources August 2006 Pty Ltd                                                | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    154000 | PA      | $128079.26    | 0.09%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                    | Celanese US Holdings LLC                                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    115000 | PA      | $109359.01    | 0.08%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210F7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1149 | PA      | $1159.02      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    225000 | PA      | $175896.17    | 0.12%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $181660.54    | 0.13%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QKHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21864 | PA      | $20579.63     | 0.01%             | 2051-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALBEMARLE CORP                              | Albemarle Corp                                                                   | CUSIP: 012653AF8<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |    565000 | PA      | $514071.52    | 0.36%             | 2052-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                     | Air Canada 2017-1 Class AA Pass Through Trust                                    | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    210728 | PA      | $179893.56    | 0.13%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                  | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    175000 | PA      | $164783.75    | 0.12%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST                            | Commonwealth of Massachusetts                                                    | CUSIP: 57582RN69<br>LEI: 5493001N1YCXNI1O7K10 | Long             | DBT              | MUN               | US        |     75000 | PA      | $56490.00     | 0.04%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-3 Ltd                                                         | CUSIP: 07877KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181890 | PA      | $182982.36    | 0.13%             | 2030-10-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                               | Radnor RE 2019-1 Ltd                                                             | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |    197944 | PA      | $195671.46    | 0.14%             | 2029-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2021-FL7 LLC                                    | CUSIP: 75575WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $205956.09    | 0.15%             | 2036-11-25      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| FCI Funding, LLC                            | FCI Funding 2019-1 LLC                                                           | CUSIP: 30259MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5742 | PA      | $5736.47      | 0.00%             | 2031-02-18      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200NZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4154 | PA      | $4381.58      | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31283HQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       728 | PA      | $752.22       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $276001.47    | 0.19%             | 2036-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2021-1                            | CUSIP: 61772ABC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344542 | PA      | $251667.91    | 0.18%             | 2051-03-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | Rate Mortgage Trust 2021-J3                                                      | CUSIP: 75409TDD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145391 | PA      | $98220.45     | 0.07%             | 2051-10-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                            | Puget Energy Inc                                                                 | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     55000 | PA      | $48809.66     | 0.03%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | CCUBS Commercial Mortgage Trust 2017-C1                                          | CUSIP: 12508GAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $71391.22     | 0.05%             | 2050-11-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ST CLG BLDG AUTH EDUC              | Virginia College Building Authority                                              | CUSIP: 92778WPX8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     95000 | PA      | $71371.60     | 0.05%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KYV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466742 | PA      | $381790.59    | 0.27%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133A6DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12777 | PA      | $12069.55     | 0.01%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts                            | Westgate Resorts 2022-1 LLC                                                      | CUSIP: 96034JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375228 | PA      | $352215.76    | 0.25%             | 2036-08-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36184XM22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7643 | PA      | $7129.46      | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C43                                   | CUSIP: 95001LAU6<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $127062.66    | 0.09%             | 2051-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YDZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14171 | PA      | $12827.49     | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 52729KAP1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |     52283 | PA      | $50240.56     | 0.04%             | 2027-03-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HJD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $601.47       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                    | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    480000 | PA      | $337039.18    | 0.24%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                               | AIB Group PLC                                                                    | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    535000 | PA      | $516174.71    | 0.36%             | 2025-04-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417C3Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45385 | PA      | $41299.78     | 0.03%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31417BZ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43834 | PA      | $42094.79     | 0.03%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HMRK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15915 | PA      | $14498.24     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                          | Valero Energy Corp                                                               | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    312000 | PA      | $332010.43    | 0.23%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GSJV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11563 | PA      | $11039.90     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140E0QV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18180 | PA      | $16990.73     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                             | Nordea Bank Abp                                                                  | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    645000 | PA      | $497974.11    | 0.35%             | N/A             | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GVE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29168 | PA      | $27847.38     | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31384V4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1873 | PA      | $1961.38      | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                      | Marlette Funding Trust 2019-2                                                    | CUSIP: 57109HAC6<br>LEI: 549300Y3KZXU3NUCX480 | Long             | ABS-O            | CORP              | US        |     48126 | PA      | $47762.59     | 0.03%             | 2029-07-16      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8721 | PA      | $8426.22      | 0.01%             | 2039-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-INV2                                      | CUSIP: 58549XBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441142 | PA      | $337007.87    | 0.24%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| TRONOX INC                                  | Tronox Inc                                                                       | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |    200000 | PA      | $166250.00    | 0.12%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FXAJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191187 | PA      | $38598.99     | 0.03%             | 2050-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                    | Prime Security Services Borrower LLC / Prime Finance Inc                         | CUSIP: 74166MAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $163828.80    | 0.12%             | 2028-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                           | La Hipotecaria Panamanian Mortgage Trust 2010-1                                  | CUSIP: 50346RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     15372 | PA      | $14641.53     | 0.01%             | 2039-09-08      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131YA7G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23462 | PA      | $22348.21     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R03                                     | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6149 | PA      | $6134.07      | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                        | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                           | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     90000 | PA      | $85663.03     | 0.06%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                       | Interpublic Group of Cos Inc/The                                                 | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    407000 | PA      | $383963.20    | 0.27%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49454 | PA      | $46474.43     | 0.03%             | 2051-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MINERVA LUXEMBOURG SA                       | Minerva Luxembourg SA                                                            | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |    235000 | PA      | $192848.05    | 0.14%             | 2031-03-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $200297.86    | 0.14%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36198VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11919 | PA      | $11481.17     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2021-PJ1                                | CUSIP: 36261MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104734 | PA      | $67071.15     | 0.05%             | 2051-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTJR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20914 | PA      | $19598.73     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                    | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $194417.21    | 0.14%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-4 Ltd                                                         | CUSIP: 07876UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     94757 | PA      | $94664.38     | 0.07%             | 2030-06-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                               | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    479000 | PA      | $459429.05    | 0.32%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                      | Energizer Holdings Inc                                                           | CUSIP: 29272WAF6<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61859.80     | 0.04%             | 2027-12-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lorenz Re 2019, 6/30/22                     | Lorenz Re 2019, 6/30/22                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     25723 | PA      | $46.30        | 0.00%             | 2023-06-30      | Floating      | 0.01%                 | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291751 | PA      | $237542.80    | 0.17%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GRIFOLS ESCROW ISSUER                       | Grifols Escrow Issuer SA                                                         | CUSIP: 39843UAA0<br>LEI: 959800HLB3PGTGSLVV62 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $172694.00    | 0.12%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133D4M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94994 | PA      | $76764.48     | 0.05%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $158942.98    | 0.11%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MMR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469453 | PA      | $395713.30    | 0.28%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGUH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470274 | PA      | $427914.76    | 0.30%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-R02                                     | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34511 | PA      | $33989.71     | 0.02%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38374LR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1406 | PA      | $1403.78      | 0.00%             | 2035-08-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 3622A2Q70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40916 | PA      | $39629.07     | 0.03%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2017-KW03 Mortgage Trust                                                   | CUSIP: 30302YAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138097.55    | 0.10%             | 2027-07-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust               | Equifirst Mortgage Loan Trust 2003-1                                             | CUSIP: 29445FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18087 | PA      | $16427.30     | 0.01%             | 2032-12-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2019-1 Trust                                            | CUSIP: 43731QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80947 | PA      | $69608.66     | 0.05%             | 2039-09-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| KENNAMETAL INC                              | Kennametal Inc                                                                   | CUSIP: 489170AF7<br>LEI: 549300GZDSG25XUV0Y08 | Long             | DBT              | CORP              | US        |    125000 | PA      | $97630.41     | 0.07%             | 2031-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3933 | PA      | $3925.37      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-6                                                | CUSIP: 46655KDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123130 | PA      | $85954.60     | 0.06%             | 2052-11-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137FV4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90138 | PA      | $17261.31     | 0.01%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EDE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21195 | PA      | $20354.47     | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                       | CUSIP: 034863AZ3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $185009.34    | 0.13%             | 2028-03-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3129422M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6123 | PA      | $5738.29      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31292HHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $602.76       | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                           | State Street Corp                                                                | CUSIP: 857477BU6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66237.11     | 0.05%             | 2033-05-13      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                    | Penske Truck Leasing Co Lp / PTL Finance Corp                                    | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $213512.39    | 0.15%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $201118.32    | 0.14%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALGONQUIN PWR & UTILITY                     | Algonquin Power & Utilities Corp                                                 | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $170100.00    | 0.12%             | 2082-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC               | UWM Mortgage Trust 2021-INV5                                                     | CUSIP: 90355DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171488 | PA      | $130681.81    | 0.09%             | 2052-01-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AUND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1869 | PA      | $1794.87      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WYP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100217 | PA      | $97883.59     | 0.07%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $389858.37    | 0.27%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133B9MF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112279 | PA      | $102663.64    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GSJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23093 | PA      | $22062.59     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3450000 | PA      | $2827787.12   | 1.99%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CJC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        57 | PA      | $57.37        | 0.00%             | 2025-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                             | Dollar Tree Inc                                                                  | CUSIP: 256746AJ7<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |    375000 | PA      | $303310.47    | 0.21%             | 2031-12-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                       | CUSIP: 74938XBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173376 | PA      | $129124.75    | 0.09%             | 2052-05-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-HYB1                                               | CUSIP: 46651FAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238084 | PA      | $215736.81    | 0.15%             | 2049-10-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38382CAZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418197 | PA      | $7699.43      | 0.01%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card               | Mercury Financial Credit Card Master Trust                                       | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $95405.51     | 0.07%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211X4G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1260 | PA      | $1260.58      | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $334629.96    | 0.24%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                          | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    340000 | PA      | $321273.32    | 0.23%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                               | CUSIP: 3137ATFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191805 | PA      | $22102.34     | 0.02%             | 2042-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corportation Trust 2021-IP                                | CUSIP: 36262MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $228247.55    | 0.16%             | 2036-10-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                      | Standard Chartered PLC                                                           | CUSIP: 853254CH1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    575000 | PA      | $432400.43    | 0.30%             | 2033-01-12      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115419.69    | 0.08%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $101588.89    | 0.07%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 312938NF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9851 | PA      | $9932.91      | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928797 | PA      | $791766.95    | 0.56%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 3136BCLK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82659 | PA      | $16932.60     | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LSF11 A5 HOLDCO LLC                         | LSF11 A5 HoldCo LLC                                                              | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |     44775 | PA      | $43319.81     | 0.03%             | 2028-10-13      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YPWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9041 | PA      | $7795.09      | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LANCASTER CNTY NE SCH DIST #1               | Lancaster County School District 001                                             | CUSIP: 514014TU3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     35000 | PA      | $22211.70     | 0.02%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                    | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |    283000 | PA      | $225120.90    | 0.16%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MISSOURI ST HLTH & EDUCTNL FAC              | Health & Educational Facilities Authority of the State of Missouri               | CUSIP: 60637ATJ1<br>LEI: 549300IWTBCMX5JB3277 | Long             | DBT              | MUN               | US        |     20000 | PA      | $16853.80     | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XXZS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46169 | PA      | $44035.55     | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31389W2V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2314 | PA      | $2371.07      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132HM7C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18124 | PA      | $16978.53     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31391HQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5505 | PA      | $5587.79      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                   | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    295000 | PA      | $262413.88    | 0.18%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3114 | PA      | $3299.76      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AGHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98039 | PA      | $97188.67     | 0.07%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                      | CUSIP: 17327FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90995.84     | 0.06%             | 2051-03-10      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUC50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131074 | PA      | $121974.11    | 0.09%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140EWBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32245 | PA      | $29940.00     | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36200MQY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4963 | PA      | $5197.79      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE6 Trust                                                            | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    150000 | PA      | $137254.08    | 0.10%             | 2037-01-16      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                       | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     40000 | PA      | $40541.20     | 0.03%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921363 | PA      | $753739.86    | 0.53%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31335ACR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89140 | PA      | $83146.03     | 0.06%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDI                            | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $157111.62    | 0.11%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $734892.18    | 0.52%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $789632.33    | 0.56%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CORELOGIC INC                               | CoreLogic Inc                                                                    | CUSIP: 21871DAD5<br>LEI: 54930086CD8K2UIL0516 | Long             | DBT              | CORP              | US        |    115000 | PA      | $88228.00     | 0.06%             | 2028-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | Onslow Bay Mortgage Loan Trust                                                   | CUSIP: 67448EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144395 | PA      | $120349.70    | 0.08%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WMM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17049 | PA      | $16306.61     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55000 | PA      | $54535.50     | 0.04%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36201YBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3907 | PA      | $3966.81      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36211SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1308 | PA      | $1312.54      | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WFDL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39440 | PA      | $37819.33     | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1263 | PA      | $1314.56      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $200493.32    | 0.14%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-3                                                       | CUSIP: 74938XAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $280735.40    | 0.20%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-4                                                | CUSIP: 46655GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $151292.23    | 0.11%             | 2052-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28128 | PA      | $26167.20     | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100948 | PA      | $91761.84     | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2022-1                                                    | CUSIP: 81749CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $99605.72     | 0.07%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                                | CUSIP: 49456BAW1<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    545000 | PA      | $489180.41    | 0.34%             | 2052-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA3                                          | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223228 | PA      | $232563.94    | 0.16%             | 2050-06-25      | Floating      | 9.49%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST HLTH FACS FING A              | California Health Facilities Financing Authority                                 | CUSIP: 13032UB31<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |     95000 | PA      | $72581.90     | 0.05%             | 2051-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KSW4 Mortgage Trust                                                   | CUSIP: 302960AG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136857 | PA      | $128745.72    | 0.09%             | 2028-10-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       687 | PA      | $721.84       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36182NJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61451 | PA      | $59087.36     | 0.04%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36210AZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1534 | PA      | $1558.41      | 0.00%             | 2029-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31418DXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13708 | PA      | $12889.72     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138EPDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116971 | PA      | $109315.16    | 0.08%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                             | CUSIP: 060505682<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EP               | CORP              | US        |        93 | NS      | $107880.00    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust                                                         | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $169042.89    | 0.12%             | 2052-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-NQM4                                    | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72556 | PA      | $65366.66     | 0.05%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31283HRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       919 | PA      | $950.76       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80371 | PA      | $73130.17     | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                    | Builders FirstSource Inc                                                         | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    161000 | PA      | $151218.64    | 0.11%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                                | CUSIP: 31397NR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1158 | PA      | $1139.54      | 0.00%             | 2029-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL              | Domino's Pizza Master Issuer LLC                                                 | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291750 | PA      | $252025.32    | 0.18%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85594.05     | 0.06%             | 2065-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                              | MVW 2020-1 LLC                                                                   | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57962 | PA      | $54198.89     | 0.04%             | 2037-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                             | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    250000 | PA      | $273644.34    | 0.19%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Continental Credit Card llc                 | Continental Finance Credit Card ABS Master Trust                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $358911.38    | 0.25%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $170833.29    | 0.12%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                     | SCF Equipment Leasing 2019-2 LLC                                                 | CUSIP: 784034AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $188869.84    | 0.13%             | 2027-06-21      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                    | Lloyds Banking Group PLC                                                         | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    310000 | PA      | $328135.44    | 0.23%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       874 | PA      | $883.55       | 0.00%             | 2028-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $891656.30    | 0.63%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FASST 22-S1 A1                              | FASST 22-S1 A1                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343027 | PA      | $312259.57    | 0.22%             | 2052-02-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9197 | PA      | $8813.81      | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1722 | PA      | $1757.90      | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2019-R06                                     | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3243 | PA      | $3238.86      | 0.00%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                    | Aon Corp / Aon Global Holdings PLC                                               | CUSIP: 03740LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57000 | PA      | $46523.86     | 0.03%             | 2031-12-02      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                           | Imperial Fund Mortgage Trust 2021-NQM2                                           | CUSIP: 452761AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $53280.38     | 0.04%             | 2056-09-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36178NB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33335 | PA      | $31349.50     | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 3132J6WD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52707 | PA      | $48012.76     | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     85000 | PA      | $79897.72     | 0.06%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36179NDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22087 | PA      | $22043.47     | 0.02%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $233525.93    | 0.16%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2020-3 Ltd                                                         | CUSIP: 07877KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $147027.24    | 0.10%             | 2030-10-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31416WH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2513 | PA      | $2545.01      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 2 YEAR US TREASURY NOTE                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        49 | NC      | $11059.91     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31384FMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       458 | PA      | $456.44       | 0.00%             | 2029-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                               | CUSIP: 36202CPA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       791 | PA      | $796.42       | 0.00%             | 2026-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GAINESVILLE & HALL CNTY GA HOS              | Gainesville & Hall County Hospital Authority                                     | CUSIP: 362762QQ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     40000 | PA      | $28543.20     | 0.02%             | 2051-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     35000 | PA      | $25734.32     | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31296R6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2526 | PA      | $2576.47      | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $383108.11    | 0.27%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                        | Cleveland-Cliffs Inc                                                             | CUSIP: 185899AL5<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66224.34     | 0.05%             | 2031-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138AWNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65958 | PA      | $63342.39     | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958530 | PA      | $814007.71    | 0.57%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        30 | NC      | $-55359.60    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW JERSEY ST HLTH CARE FACS F              | New Jersey Health Care Facilities Financing Authority                            | CUSIP: 645790QE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    100000 | PA      | $71381.00     | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OWS CRE FUNDING I LLC                       | OWS Cre Funding I LLC                                                            | CUSIP: 67114QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $95494.46     | 0.07%             | 2023-09-01      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                   | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    165000 | PA      | $131081.00    | 0.09%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3138YBWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8567 | PA      | $7385.82      | 0.01%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                       | CUSIP: 034863BC3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $166053.12    | 0.12%             | 2052-03-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust                    | FWDSecuritization Trust 2019-INV1                                                | CUSIP: 302980AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67806 | PA      | $62287.92     | 0.04%             | 2049-06-25      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140LTBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37556 | PA      | $34226.68     | 0.02%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2196342.70   | 1.55%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MNNF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281946 | PA      | $257764.84    | 0.18%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2018-3 Ltd                                                         | CUSIP: 07877TAC5<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | BM        |    180000 | PA      | $178384.79    | 0.13%             | 2028-10-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36212VWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       496 | PA      | $495.97       | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $866358.06    | 0.61%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XGMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279021 | PA      | $239934.94    | 0.17%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140MMYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394357 | PA      | $334036.76    | 0.24%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WEIR GROUP PLC (THE)                        | Weir Group PLC/The                                                               | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $181803.39    | 0.13%             | 2026-05-13      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                       | Level 3 Financing Inc                                                            | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58275.00     | 0.04%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                              | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83318.68     | 0.06%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                                | CUSIP: 36176WYC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92755 | PA      | $87256.41     | 0.06%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORTUNE BRANDS INNOVATIO                    | Fortune Brands Innovations Inc                                                   | CUSIP: 34964CAG1<br>LEI: 54930032LHW54PQUJD44 | Long             | DBT              | CORP              | US        |    150000 | PA      | $112613.44    | 0.08%             | 2052-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                         | RATE Mortgage Trust 2021-HB1                                                     | CUSIP: 75409XDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341019 | PA      | $237978.22    | 0.17%             | 2051-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140M8U31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287979 | PA      | $243861.45    | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENLINK MIDSTREAM PARTNER                    | EnLink Midstream Partners LP                                                     | CUSIP: 29336UAC1<br>LEI: 88CPW63VL7KHJWS0NY83 | Long             | DBT              | CORP              | US        |    134000 | PA      | $110518.73    | 0.08%             | 2044-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-DNA5                                          | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86689 | PA      | $87370.90     | 0.06%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QKNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871697 | PA      | $749858.60    | 0.53%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                   | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    255000 | PA      | $207881.44    | 0.15%             | 2029-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140GPS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38253 | PA      | $36560.95     | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140XCHD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128847 | PA      | $121021.43    | 0.09%             | 2051-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                            | Bellemeade Re 2018-3 Ltd                                                         | CUSIP: 07877TAB7<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-MBS          | CORP              | BM        |     42142 | PA      | $42108.19     | 0.03%             | 2028-10-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                 | CUSIP: 3131XWP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46640 | PA      | $44593.53     | 0.03%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140J7WY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107881 | PA      | $106946.14    | 0.08%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL FUNDING LLC                      | GE Capital Funding LLC                                                           | CUSIP: 36166NAK9<br>LEI: 549300XAGH9TOLX5XM67 | Long             | DBT              | CORP              | US        |    242000 | PA      | $229715.62    | 0.16%             | 2032-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                            | CUSIP: 31288BPE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       586 | PA      | $596.90       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                         | Nomura Holdings Inc                                                              | CUSIP: 65535HBC2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    225000 | PA      | $220962.11    | 0.16%             | 2029-07-06      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10267 | PA      | $10573.13     | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323687 | PA      | $267059.59    | 0.19%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2019-1                                                  | CUSIP: 35041JAB1<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $238453.53    | 0.17%             | 2034-11-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $193982.51    | 0.14%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIONEER VARIABLE CONTRACTS TRUST /MA/

**Signature:** Anthony J. Koenig, Jr

**Name of Signer:** Anthony J. Koenig, Jr

**Title:** Managing Director, Chief Operations Officer & Treasurer of the Funds