# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-23-014705
**Filing Date:** 2023-1
**Character Count:** 1169337
**Document Hash:** 552d1da65e0248be121a35af5aa1e9d6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014705.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014705

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 23556560

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Total Bond K6 Fund (Series ID: S000057288)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000182864 | Fidelity Total Bond K6 Fund | FTKFX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Total Bond K6 Fund**

**November 30, 2022**

TBDK6-NPRT1-0123

1.9884013.105 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 27.9%** | &nbsp;&nbsp;**Nonconvertible Bonds - 27.9%** | &nbsp;&nbsp;**Nonconvertible Bonds - 27.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 2.1%  |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T, Inc.: |  |  |
|  2.55% 12/1/33  | 339000  | 266322  |
|  3.8% 12/1/57  | 4105000  | 2980099  |
|  4.3% 2/15/30  | 559000  | 531104  |
|  5.15% 11/15/46  | 1000000  | 923250  |
| Verizon Communications, Inc.: |  |  |
|  2.1% 3/22/28  | 1151000  | 1007041  |
|  2.55% 3/21/31  | 1065000  | 887880  |
|  3% 3/22/27  | 263000  | 246638  |
|  4.862% 8/21/46  | 1250000  | 1141166  |
|  5.012% 4/15/49  | 16000  | 14903  |
|  |  | 7998403 |
| Entertainment - 0.1% |  |  |
| The Walt Disney Co. 3.8% 3/22/30  | 2050000 | 1925695 |
| Media - 1.2% |  |  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: |  |  |
|  4.4% 4/1/33  | 1526000  | 1337562  |
|  4.908% 7/23/25  | 945000  | 930156  |
|  5.25% 4/1/53  | 2499000  | 2007978  |
|  5.375% 5/1/47  | 2000000  | 1654574  |
|  5.5% 4/1/63  | 2499000  | 2002290  |
|  5.75% 4/1/48  | 861000  | 740712  |
| Comcast Corp. 6.45% 3/15/37  | 365000 | 407532 |
| Discovery Communications LLC: |  |  |
|  3.625% 5/15/30  | 708000  | 596460  |
|  4.65% 5/15/50  | 1913000  | 1381057  |
| Fox Corp.: |  |  |
|  4.03% 1/25/24  | 216000  | 213118  |
|  4.709% 1/25/29  | 312000  | 301519  |
|  5.476% 1/25/39  | 308000  | 283631  |
| Magallanes, Inc.: |  |  |
|  3.428% 3/15/24 (b) | 909000  | 882600  |
|  3.638% 3/15/25 (b) | 498000  | 475511  |
|  3.755% 3/15/27 (b) | 973000  | 886678  |
|  4.054% 3/15/29 (b) | 337000  | 295121  |
|  4.279% 3/15/32 (b) | 3816000  | 3239781  |
|  5.05% 3/15/42 (b) | 738000  | 590805  |
|  5.141% 3/15/52 (b) | 1091000  | 845373  |
| Time Warner Cable LLC: |  |  |
|  6.75% 6/15/39  | 545000  | 529665  |
|  7.3% 7/1/38  | 2420000  | 2474677  |
|  |  | 22076800 |
| Wireless Telecommunication Services - 0.4% |  |  |
| Millicom International Cellular SA 6.25% 3/25/29 (b) | 1440000 | 1364558 |
| Rogers Communications, Inc.: |  |  |
|  3.2% 3/15/27 (b) | 1051000  | 980722  |
|  3.8% 3/15/32 (b) | 917000  | 811812  |
| T-Mobile U.S.A., Inc.: |  |  |
|  3.75% 4/15/27  | 1250000  | 1184072  |
|  3.875% 4/15/30  | 2100000  | 1928714  |
|  4.375% 4/15/40  | 269000  | 233976  |
|  4.5% 4/15/50  | 528000  | 445992  |
|  |  | 6949846 |
| TOTAL COMMUNICATION SERVICES |  | 38950744 |
| CONSUMER DISCRETIONARY - 0.5%  |  |  |
| Automobiles - 0.1% |  |  |
| Volkswagen Group of America Finance LLC 3.125% 5/12/23 (b) | 1017000 | 1007576 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp.: |  |  |
|  3.5% 7/1/27  | 353000  | 337666  |
|  3.6% 7/1/30  | 419000  | 391682  |
|  |  | 729348 |
| Leisure Products - 0.1% |  |  |
| Hasbro, Inc. 3% 11/19/24  | 890000 | 851593 |
| Specialty Retail - 0.3% |  |  |
| AutoNation, Inc. 4.75% 6/1/30  | 156000 | 140479 |
| AutoZone, Inc.: |  |  |
|  3.625% 4/15/25  | 239000  | 232426  |
|  4% 4/15/30  | 1110000  | 1037976  |
| Lowe's Companies, Inc.: |  |  |
|  3.35% 4/1/27  | 149000  | 141396  |
|  3.75% 4/1/32  | 459000  | 418108  |
|  4.25% 4/1/52  | 1870000  | 1526398  |
|  4.45% 4/1/62  | 2116000  | 1710407  |
|  4.5% 4/15/30  | 798000  | 776417  |
| O'Reilly Automotive, Inc. 4.2% 4/1/30  | 246000 | 233105 |
|  |  | 6216712 |
| TOTAL CONSUMER DISCRETIONARY |  | 8805229 |
| CONSUMER STAPLES - 2.0%  |  |  |
| Beverages - 1.0% |  |  |
| Anheuser-Busch InBev Finance, Inc.: |  |  |
|  4.7% 2/1/36  | 2133000  | 2046602  |
|  4.9% 2/1/46  | 4500000  | 4209675  |
| Anheuser-Busch InBev Worldwide, Inc.: |  |  |
|  3.5% 6/1/30  | 900000  | 831161  |
|  4.35% 6/1/40  | 720000  | 649937  |
|  4.5% 6/1/50  | 1000000  | 904115  |
|  4.75% 4/15/58  | 613000  | 560245  |
|  5.45% 1/23/39  | 800000  | 817897  |
|  5.55% 1/23/49  | 1824000  | 1867460  |
|  5.8% 1/23/59 (Reg. S)  | 1933000  | 2048845  |
| Molson Coors Beverage Co. 5% 5/1/42  | 2945000 | 2651530 |
| The Coca-Cola Co.: |  |  |
|  3.375% 3/25/27  | 1279000  | 1237992  |
|  3.45% 3/25/30  | 713000  | 664002  |
|  |  | 18489461 |
| Food & Staples Retailing - 0.1% |  |  |
| Sysco Corp.: |  |  |
|  5.95% 4/1/30  | 471000  | 492506  |
|  6.6% 4/1/50  | 710000  | 792075  |
|  |  | 1284581 |
| Food Products - 0.3% |  |  |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |
|  2.5% 1/15/27 (b) | 1945000  | 1695301  |
|  3% 5/15/32 (b) | 1955000  | 1532241  |
|  3.625% 1/15/32 (b) | 353000  | 291225  |
|  5.125% 2/1/28 (b) | 735000  | 700883  |
|  5.5% 1/15/30 (b) | 342000  | 328033  |
|  5.75% 4/1/33 (b) | 1515000  | 1467626  |
|  |  | 6015309 |
| Tobacco - 0.6% |  |  |
| Altria Group, Inc.: |  |  |
|  3.875% 9/16/46  | 1521000  | 1035944  |
|  4.25% 8/9/42  | 932000  | 694921  |
|  4.5% 5/2/43  | 632000  | 476879  |
|  4.8% 2/14/29  | 173000  | 166057  |
|  5.375% 1/31/44  | 1137000  | 990603  |
|  5.95% 2/14/49  | 600000  | 532905  |
| BAT Capital Corp.: |  |  |
|  4.7% 4/2/27  | 1252000  | 1207142  |
|  4.906% 4/2/30  | 1500000  | 1384886  |
|  5.282% 4/2/50  | 1500000  | 1194240  |
| Imperial Tobacco Finance PLC: |  |  |
|  4.25% 7/21/25 (b) | 1564000  | 1492907  |
|  6.125% 7/27/27 (b) | 764000  | 764171  |
| Reynolds American, Inc. 7.25% 6/15/37  | 75000 | 77076 |
|  |  | 10017731 |
| TOTAL CONSUMER STAPLES |  | 35807082 |
| ENERGY - 3.8%  |  |  |
| Oil, Gas & Consumable Fuels - 3.8% |  |  |
| Canadian Natural Resources Ltd.: |  |  |
|  2.05% 7/15/25  | 5400000  | 5040074  |
|  3.85% 6/1/27  | 2700000  | 2559423  |
|  3.9% 2/1/25  | 525000  | 513791  |
|  5.85% 2/1/35  | 525000  | 512898  |
| Cenovus Energy, Inc.: |  |  |
|  3.75% 2/15/52  | 210000  | 151302  |
|  5.4% 6/15/47  | 244000  | 225384  |
|  6.75% 11/15/39  | 200000  | 210421  |
| Columbia Pipeline Group, Inc.: |  |  |
|  4.5% 6/1/25  | 25000  | 24621  |
|  5.8% 6/1/45  | 10000  | 9899  |
| DCP Midstream Operating LP: |  |  |
|  3.875% 3/15/23  | 520000  | 517296  |
|  5.85% 5/21/43 (b)(c) | 2820000  | 2758812  |
| Enbridge, Inc. 4.25% 12/1/26  | 525000 | 509025 |
| Energy Transfer LP: |  |  |
|  3.75% 5/15/30  | 481000  | 426352  |
|  4.2% 9/15/23  | 145000  | 143941  |
|  4.25% 3/15/23  | 195000  | 194379  |
|  4.5% 4/15/24  | 215000  | 212301  |
|  4.95% 6/15/28  | 494000  | 477864  |
|  5% 5/15/50  | 2089000  | 1721649  |
|  5.25% 4/15/29  | 350000  | 340491  |
|  5.4% 10/1/47  | 1023000  | 882212  |
|  5.8% 6/15/38  | 275000  | 254992  |
|  6% 6/15/48  | 1279000  | 1174738  |
|  6.125% 12/15/45  | 100000  | 94710  |
|  6.25% 4/15/49  | 241000  | 227907  |
| Exxon Mobil Corp. 3.482% 3/19/30  | 3150000 | 2964593 |
| Hess Corp.: |  |  |
|  4.3% 4/1/27  | 1146000  | 1101552  |
|  5.6% 2/15/41  | 549000  | 529093  |
|  5.8% 4/1/47  | 874000  | 848983  |
|  7.125% 3/15/33  | 201000  | 219819  |
|  7.3% 8/15/31  | 2102000  | 2310063  |
| Kinder Morgan Energy Partners LP: |  |  |
|  3.45% 2/15/23  | 362000  | 360696  |
|  6.55% 9/15/40  | 1365000  | 1378177  |
| Kinder Morgan, Inc. 5.55% 6/1/45  | 415000 | 387288 |
| MPLX LP: |  |  |
|  4.5% 7/15/23  | 274000  | 272349  |
|  4.8% 2/15/29  | 175000  | 168426  |
|  4.875% 12/1/24  | 272000  | 269653  |
|  4.95% 9/1/32  | 1463000  | 1384775  |
|  5.5% 2/15/49  | 525000  | 471675  |
| Occidental Petroleum Corp.: |  |  |
|  5.55% 3/15/26  | 831000  | 831000  |
|  6.2% 3/15/40  | 700000  | 684229  |
|  6.45% 9/15/36  | 600000  | 601500  |
|  6.6% 3/15/46  | 807000  | 823140  |
|  7.5% 5/1/31  | 927000  | 1005795  |
| Ovintiv, Inc.: |  |  |
|  5.15% 11/15/41  | 1916000  | 1733276  |
|  6.625% 8/15/37  | 350000  | 361640  |
|  7.375% 11/1/31  | 435000  | 471422  |
|  8.125% 9/15/30  | 1083000  | 1203820  |
| Petroleos Mexicanos: |  |  |
|  5.95% 1/28/31  | 3510000  | 2624778  |
|  6.35% 2/12/48  | 3548000  | 2146540  |
|  6.49% 1/23/27  | 570000  | 515736  |
|  6.5% 3/13/27  | 20000  | 18032  |
|  6.75% 9/21/47  | 5720000  | 3639350  |
|  6.84% 1/23/30  | 6742000  | 5535182  |
|  6.95% 1/28/60  | 989000  | 623367  |
|  7.69% 1/23/50  | 2090000  | 1422663  |
| Phillips 66 Co.: |  |  |
|  3.7% 4/6/23  | 97000  | 96764  |
|  3.85% 4/9/25  | 125000  | 122234  |
| Plains All American Pipeline LP/PAA Finance Corp.: |  |  |
|  3.55% 12/15/29  | 4767000  | 4154229  |
|  3.6% 11/1/24  | 266000  | 256596  |
| Sabine Pass Liquefaction LLC 4.5% 5/15/30  | 1622000 | 1532591 |
| The Williams Companies, Inc.: |  |  |
|  3.5% 11/15/30  | 1727000  | 1528250  |
|  4.3% 3/4/24  | 2000000  | 1976439  |
|  4.55% 6/24/24  | 70000  | 69276  |
|  4.65% 8/15/32  | 1526000  | 1445488  |
|  5.3% 8/15/52  | 346000  | 317821  |
|  5.75% 6/24/44  | 35000  | 34083  |
| Transcontinental Gas Pipe Line Co. LLC 3.25% 5/15/30  | 207000 | 181825 |
| Western Gas Partners LP: |  |  |
|  3.95% 6/1/25  | 174000  | 166605  |
|  4.5% 3/1/28  | 200000  | 185500  |
|  4.65% 7/1/26  | 138000  | 134210  |
|  4.75% 8/15/28  | 168000  | 155400  |
|  |  | 68450405 |
| FINANCIALS - 13.7%  |  |  |
| Banks - 5.7% |  |  |
| Bank of America Corp.: |  |  |
|  2.299% 7/21/32 (c) | 1880000  | 1473026  |
|  3.5% 4/19/26  | 2630000  | 2521727  |
|  3.705% 4/24/28 (c) | 528000  | 491834  |
|  4.376% 4/27/28 (c) | 10000000  | 9601338  |
|  4.45% 3/3/26  | 245000  | 240971  |
|  5.015% 7/22/33 (c) | 9817000  | 9477515  |
| Barclays PLC: |  |  |
|  2.852% 5/7/26 (c) | 1652000  | 1523168  |
|  4.375% 1/12/26  | 900000  | 865582  |
|  5.088% 6/20/30 (c) | 1421000  | 1279906  |
|  5.2% 5/12/26  | 1318000  | 1277919  |
| BNP Paribas SA 2.219% 6/9/26 (b)(c) | 1520000 | 1395921 |
| Citigroup, Inc.: |  |  |
|  3.352% 4/24/25 (c) | 953000  | 921575  |
|  4.3% 11/20/26  | 6314000  | 6159338  |
|  4.4% 6/10/25  | 2266000  | 2228551  |
|  4.412% 3/31/31 (c) | 2221000  | 2064435  |
|  4.45% 9/29/27  | 4372000  | 4210851  |
|  4.91% 5/24/33 (c) | 624000  | 594119  |
|  5.5% 9/13/25  | 566000  | 574437  |
| Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 517000 | 424625 |
| First Citizens Bank & Trust Co.: |  |  |
|  3.929% 6/19/24 (c) | 270000  | 266477  |
|  6.125% 3/9/28  | 210000  | 215410  |
| HSBC Holdings PLC 4.95% 3/31/30  | 298000 | 285597 |
| Intesa Sanpaolo SpA: |  |  |
|  4.198% 6/1/32 (b)(c) | 242000  | 178491  |
|  5.017% 6/26/24 (b) | 200000  | 192577  |
|  5.71% 1/15/26 (b) | 3773000  | 3645274  |
| JPMorgan Chase & Co.: |  |  |
|  2.956% 5/13/31 (c) | 880000  | 733821  |
|  3.797% 7/23/24 (c) | 35000  | 34630  |
|  3.882% 7/24/38 (c) | 1000000  | 840568  |
|  4.323% 4/26/28 (c) | 5000000  | 4791931  |
|  4.452% 12/5/29 (c) | 5500000  | 5227589  |
|  4.493% 3/24/31 (c) | 3000000  | 2844345  |
|  4.586% 4/26/33 (c) | 2682000  | 2519319  |
|  4.912% 7/25/33 (c) | 6834000  | 6590126  |
|  5.717% 9/14/33 (c) | 2700000  | 2671015  |
| NatWest Group PLC: |  |  |
|  3.073% 5/22/28 (c) | 951000  | 841906  |
|  5.125% 5/28/24  | 1000000  | 987969  |
| NatWest Markets PLC 2.375% 5/21/23 (b) | 1767000 | 1737344 |
| Rabobank Nederland 4.375% 8/4/25  | 500000 | 485897 |
| Societe Generale: |  |  |
|  1.038% 6/18/25 (b)(c) | 3800000  | 3467291  |
|  1.488% 12/14/26 (b)(c) | 1953000  | 1688902  |
| Synchrony Bank: |  |  |
|  5.4% 8/22/25  | 1384000  | 1355608  |
|  5.625% 8/23/27  | 1253000  | 1213029  |
| Wells Fargo & Co.: |  |  |
|  2.406% 10/30/25 (c) | 927000  | 873621  |
|  3.526% 3/24/28 (c) | 2047000  | 1901450  |
|  4.478% 4/4/31 (c) | 3026000  | 2860080  |
|  4.897% 7/25/33 (c) | 4711000  | 4539348  |
|  5.013% 4/4/51 (c) | 2880000  | 2705198  |
| Westpac Banking Corp. 4.11% 7/24/34 (c) | 744000 | 634743 |
|  |  | 103656394 |
| Capital Markets - 3.6% |  |  |
| Affiliated Managers Group, Inc. 4.25% 2/15/24  | 390000 | 385702 |
| Ares Capital Corp.: |  |  |
|  3.875% 1/15/26  | 2603000  | 2393601  |
|  4.2% 6/10/24  | 1716000  | 1663514  |
| Credit Suisse Group AG: |  |  |
|  2.593% 9/11/25 (b)(c) | 2086000  | 1847964  |
|  3.75% 3/26/25  | 1200000  | 1063715  |
|  3.8% 6/9/23  | 1250000  | 1196824  |
|  3.869% 1/12/29 (b)(c) | 1570000  | 1254008  |
|  4.194% 4/1/31 (b)(c) | 2010000  | 1523803  |
|  4.207% 6/12/24 (b)(c) | 500000  | 485170  |
|  4.55% 4/17/26  | 388000  | 337208  |
|  6.537% 8/12/33 (b)(c) | 5000000  | 4380216  |
| Deutsche Bank AG 4.5% 4/1/25  | 3804000 | 3606869 |
| Deutsche Bank AG New York Branch: |  |  |
|  4.1% 1/13/26  | 1100000  | 1049349  |
|  5.882% 7/8/31 (c) | 5000000  | 4310665  |
| Goldman Sachs Group, Inc.: |  |  |
|  2.383% 7/21/32 (c) | 1922000  | 1518162  |
|  3.102% 2/24/33 (c) | 1472000  | 1222516  |
|  3.2% 2/23/23  | 3000000  | 2989200  |
|  3.691% 6/5/28 (c) | 4660000  | 4358201  |
|  3.75% 5/22/25  | 525000  | 510018  |
|  3.8% 3/15/30  | 3630000  | 3299335  |
|  3.814% 4/23/29 (c) | 1025000  | 943088  |
|  4.017% 10/31/38 (c) | 1000000  | 843313  |
|  4.223% 5/1/29 (c) | 2500000  | 2348651  |
|  6.75% 10/1/37  | 278000  | 297943  |
| Moody's Corp.: |  |  |
|  3.25% 1/15/28  | 10000  | 9240  |
|  3.75% 3/24/25  | 1044000  | 1017313  |
|  4.875% 2/15/24  | 9000  | 8979  |
| Morgan Stanley: |  |  |
|  3.125% 7/27/26  | 2621000  | 2458445  |
|  3.622% 4/1/31 (c) | 2099000  | 1870541  |
|  3.737% 4/24/24 (c) | 2500000  | 2482736  |
|  4.431% 1/23/30 (c) | 2242000  | 2120379  |
|  4.889% 7/20/33 (c) | 4447000  | 4241987  |
|  5% 11/24/25  | 5722000  | 5735365  |
| UBS Group AG: |  |  |
|  1.494% 8/10/27 (b)(c) | 1190000  | 1022549  |
|  4.125% 9/24/25 (b) | 500000  | 485041  |
|  |  | 65281610 |
| Consumer Finance - 2.7% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |
|  1.65% 10/29/24  | 2378000  | 2188154  |
|  2.45% 10/29/26  | 868000  | 763228  |
|  2.875% 8/14/24  | 1196000  | 1131995  |
|  3% 10/29/28  | 909000  | 768004  |
|  3.3% 1/30/32  | 972000  | 774655  |
|  4.125% 7/3/23  | 512000  | 507399  |
|  4.45% 4/3/26  | 561000  | 538230  |
|  4.875% 1/16/24  | 843000  | 831080  |
|  6.5% 7/15/25  | 731000  | 738500  |
| Ally Financial, Inc.: |  |  |
|  1.45% 10/2/23  | 462000  | 446142  |
|  3.05% 6/5/23  | 1940000  | 1914039  |
|  4.75% 6/9/27  | 2500000  | 2353835  |
|  5.125% 9/30/24  | 465000  | 461327  |
|  5.75% 11/20/25  | 1560000  | 1539200  |
|  5.8% 5/1/25  | 1072000  | 1076425  |
|  7.1% 11/15/27  | 2060000  | 2118497  |
|  8% 11/1/31  | 549000  | 588948  |
| Capital One Financial Corp.: |  |  |
|  2.6% 5/11/23  | 1522000  | 1505494  |
|  2.636% 3/3/26 (c) | 1062000  | 990363  |
|  3.273% 3/1/30 (c) | 1358000  | 1162737  |
|  3.65% 5/11/27  | 2746000  | 2586307  |
|  3.8% 1/31/28  | 877000  | 819405  |
|  4.927% 5/10/28 (c) | 2786000  | 2672636  |
|  4.985% 7/24/26 (c) | 1448000  | 1435356  |
|  5.247% 7/26/30 (c) | 2210000  | 2106492  |
| Discover Financial Services: |  |  |
|  3.95% 11/6/24  | 4380000  | 4260276  |
|  4.1% 2/9/27  | 284000  | 266842  |
|  4.5% 1/30/26  | 803000  | 773000  |
|  6.7% 11/29/32  | 361000  | 367246  |
| Ford Motor Credit Co. LLC: |  |  |
|  4.063% 11/1/24  | 4206000  | 4060244  |
|  5.584% 3/18/24  | 1113000  | 1100479  |
| Synchrony Financial: |  |  |
|  3.95% 12/1/27  | 3042000  | 2719745  |
|  4.375% 3/19/24  | 1056000  | 1037121  |
|  5.15% 3/19/29  | 1958000  | 1866449  |
| Toyota Motor Credit Corp. 2.9% 3/30/23  | 1619000 | 1609575 |
|  |  | 50079425 |
| Diversified Financial Services - 1.2% |  |  |
| Blackstone Private Credit Fund: |  |  |
|  4.7% 3/24/25  | 3937000  | 3847736  |
|  7.05% 9/29/25 (b) | 1775000  | 1778537  |
| Brixmor Operating Partnership LP: |  |  |
|  3.85% 2/1/25  | 2100000  | 2014462  |
|  4.05% 7/1/30  | 1055000  | 922000  |
|  4.125% 5/15/29  | 1000000  | 893752  |
| Corebridge Financial, Inc.: |  |  |
|  3.5% 4/4/25 (b) | 445000  | 426141  |
|  3.65% 4/5/27 (b) | 1551000  | 1451823  |
|  3.85% 4/5/29 (b) | 623000  | 567128  |
|  3.9% 4/5/32 (b) | 741000  | 653418  |
|  4.35% 4/5/42 (b) | 169000  | 138365  |
|  4.4% 4/5/52 (b) | 498000  | 400277  |
| Equitable Holdings, Inc. 3.9% 4/20/23  | 72000 | 71698 |
| Jackson Financial, Inc.: |  |  |
|  5.17% 6/8/27  | 682000  | 668341  |
|  5.67% 6/8/32  | 861000  | 817996  |
| Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 5175000 | 5098881 |
| Pine Street Trust I 4.572% 2/15/29 (b) | 1030000 | 957358 |
| Pine Street Trust II 5.568% 2/15/49 (b) | 1000000 | 895789 |
|  |  | 21603702 |
| Insurance - 0.5% |  |  |
| AIA Group Ltd. 3.375% 4/7/30 (b) | 1502000 | 1325973 |
| American International Group, Inc. 2.5% 6/30/25  | 1934000 | 1826124 |
| Five Corners Funding Trust II 2.85% 5/15/30 (b) | 2287000 | 1940355 |
| Marsh & McLennan Companies, Inc. 4.375% 3/15/29  | 678000 | 659882 |
| Pacific LifeCorp 5.125% 1/30/43 (b) | 950000 | 866391 |
| Pricoa Global Funding I 5.375% 5/15/45 (c) | 1045000 | 979792 |
| Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 400000 | 355120 |
| TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) | 80000 | 77792 |
| Unum Group: |  |  |
|  3.875% 11/5/25  | 50000  | 47977  |
|  4% 6/15/29  | 852000  | 772930  |
|  |  | 8852336 |
| TOTAL FINANCIALS |  | 249473467 |
| HEALTH CARE - 1.1%  |  |  |
| Health Care Providers & Services - 0.8% |  |  |
| Centene Corp.: |  |  |
|  2.45% 7/15/28  | 1670000  | 1404434  |
|  2.625% 8/1/31  | 800000  | 628976  |
|  3.375% 2/15/30  | 815000  | 694228  |
|  4.25% 12/15/27  | 880000  | 825862  |
|  4.625% 12/15/29  | 1370000  | 1273874  |
| Cigna Corp.: |  |  |
|  3.05% 10/15/27  | 500000  | 461548  |
|  4.375% 10/15/28  | 884000  | 861568  |
|  4.8% 8/15/38  | 550000  | 518919  |
| CVS Health Corp.: |  |  |
|  3% 8/15/26  | 125000  | 117503  |
|  3.625% 4/1/27  | 375000  | 359640  |
|  4.78% 3/25/38  | 2092000  | 1933407  |
| HCA Holdings, Inc.: |  |  |
|  3.5% 9/1/30  | 709000  | 609364  |
|  3.625% 3/15/32 (b) | 195000  | 166695  |
|  5.625% 9/1/28  | 1054000  | 1050685  |
|  5.875% 2/1/29  | 981000  | 987644  |
| Humana, Inc. 3.7% 3/23/29  | 585000 | 538710 |
| Sabra Health Care LP 3.2% 12/1/31  | 1971000 | 1477936 |
| Toledo Hospital 5.325% 11/15/28  | 319000 | 248023 |
|  |  | 14159016 |
| Pharmaceuticals - 0.3% |  |  |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 3209000 | 3111955 |
| Elanco Animal Health, Inc.: |  |  |
|  5.772% 8/28/23  | 459000  | 457131  |
|  6.4% 8/28/28 (c) | 194000  | 179165  |
| Mylan NV 4.55% 4/15/28  | 450000 | 423780 |
| Utah Acquisition Sub, Inc. 3.95% 6/15/26  | 1370000 | 1283941 |
| Viatris, Inc.: |  |  |
|  1.65% 6/22/25  | 197000  | 178333  |
|  2.7% 6/22/30  | 1003000  | 800041  |
|  3.85% 6/22/40  | 437000  | 301022  |
|  |  | 6735368 |
| TOTAL HEALTH CARE |  | 20894384 |
| INDUSTRIALS - 0.5%  |  |  |
| Aerospace & Defense - 0.2% |  |  |
| BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) | 1040000 | 1013835 |
| The Boeing Co.: |  |  |
|  5.04% 5/1/27  | 723000  | 715985  |
|  5.15% 5/1/30  | 723000  | 705381  |
|  5.705% 5/1/40  | 720000  | 686066  |
|  5.805% 5/1/50  | 700000  | 660418  |
|  5.93% 5/1/60  | 720000  | 668262  |
|  |  | 4449947 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp.: |  |  |
|  2.25% 1/15/23  | 259000  | 257793  |
|  3.375% 7/1/25  | 1294000  | 1221121  |
|  3.875% 7/3/23  | 877000  | 868080  |
|  4.25% 2/1/24  | 977000  | 959689  |
|  |  | 3306683 |
| Transportation Infrastructure - 0.1% |  |  |
| Avolon Holdings Funding Ltd.: |  |  |
|  3.95% 7/1/24 (b) | 380000  | 361891  |
|  4.25% 4/15/26 (b) | 290000  | 263120  |
|  4.375% 5/1/26 (b) | 880000  | 799929  |
|  5.25% 5/15/24 (b) | 730000  | 712138  |
|  |  | 2137078 |
| TOTAL INDUSTRIALS |  | 9893708 |
| INFORMATION TECHNOLOGY - 0.9%  |  |  |
| Electronic Equipment & Components - 0.1% |  |  |
| Dell International LLC/EMC Corp.: |  |  |
|  5.45% 6/15/23  | 214000  | 214125  |
|  5.85% 7/15/25  | 263000  | 267133  |
|  6.02% 6/15/26  | 258000  | 263484  |
|  6.1% 7/15/27  | 483000  | 496258  |
|  6.2% 7/15/30  | 418000  | 429840  |
|  |  | 1670840 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom, Inc.: |  |  |
|  1.95% 2/15/28 (b) | 351000  | 296667  |
|  2.45% 2/15/31 (b) | 3421000  | 2699047  |
|  2.6% 2/15/33 (b) | 3032000  | 2291012  |
|  3.5% 2/15/41 (b) | 2410000  | 1743243  |
|  3.75% 2/15/51 (b) | 1131000  | 798156  |
|  |  | 7828125 |
| Software - 0.4% |  |  |
| Oracle Corp.: |  |  |
|  1.65% 3/25/26  | 1241000  | 1113907  |
|  2.3% 3/25/28  | 1961000  | 1699114  |
|  2.8% 4/1/27  | 1423000  | 1298507  |
|  2.875% 3/25/31  | 2460000  | 2057638  |
|  |  | 6169166 |
| TOTAL INFORMATION TECHNOLOGY |  | 15668131 |
| MATERIALS - 0.1%  |  |  |
| Chemicals - 0.1% |  |  |
| Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 5.125% 4/1/25 (b) | 1206000 | 1209777 |
| REAL ESTATE - 2.0%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 1.6% |  |  |
| Alexandria Real Estate Equities, Inc. 4.9% 12/15/30  | 857000 | 833811 |
| American Homes 4 Rent LP: |  |  |
|  2.375% 7/15/31  | 153000  | 118926  |
|  3.625% 4/15/32  | 681000  | 577009  |
| Boston Properties, Inc.: |  |  |
|  3.25% 1/30/31  | 792000  | 662017  |
|  4.5% 12/1/28  | 605000  | 563391  |
|  6.75% 12/1/27  | 1120000  | 1171249  |
| Corporate Office Properties LP: |  |  |
|  2.25% 3/15/26  | 348000  | 305646  |
|  2.75% 4/15/31  | 235000  | 177561  |
| Healthcare Trust of America Holdings LP: |  |  |
|  3.1% 2/15/30  | 260000  | 218203  |
|  3.5% 8/1/26  | 270000  | 252763  |
| Healthpeak Properties, Inc.: |  |  |
|  3.25% 7/15/26  | 113000  | 106774  |
|  3.5% 7/15/29  | 129000  | 115709  |
| Hudson Pacific Properties LP 4.65% 4/1/29  | 1473000 | 1282712 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/32  | 1026000 | 899463 |
| Kite Realty Group Trust 4.75% 9/15/30  | 79000 | 70126 |
| LXP Industrial Trust (REIT) 2.7% 9/15/30  | 387000 | 309671 |
| Omega Healthcare Investors, Inc.: |  |  |
|  3.25% 4/15/33  | 1242000  | 910685  |
|  3.375% 2/1/31  | 701000  | 547911  |
|  3.625% 10/1/29  | 1155000  | 956988  |
|  4.375% 8/1/23  | 343000  | 338516  |
|  4.75% 1/15/28  | 3349000  | 3091297  |
|  4.95% 4/1/24  | 2400000  | 2366580  |
| Piedmont Operating Partnership LP 2.75% 4/1/32  | 297000 | 212160 |
| Realty Income Corp.: |  |  |
|  2.2% 6/15/28  | 172000  | 147511  |
|  2.85% 12/15/32  | 211000  | 173129  |
|  3.25% 1/15/31  | 213000  | 186060  |
|  3.4% 1/15/28  | 320000  | 295968  |
| Simon Property Group LP 2.45% 9/13/29  | 333000 | 279956 |
| Store Capital Corp.: |  |  |
|  2.75% 11/18/30  | 424000  | 330637  |
|  4.625% 3/15/29  | 315000  | 288469  |
| Sun Communities Operating LP: |  |  |
|  2.3% 11/1/28  | 341000  | 280532  |
|  2.7% 7/15/31  | 880000  | 684690  |
| Ventas Realty LP: |  |  |
|  3% 1/15/30  | 1531000  | 1300603  |
|  3.5% 2/1/25  | 1265000  | 1213710  |
|  4% 3/1/28  | 218000  | 203257  |
|  4.75% 11/15/30  | 2100000  | 1980395  |
| VICI Properties LP: |  |  |
|  4.375% 5/15/25  | 176000  | 169384  |
|  4.75% 2/15/28  | 1390000  | 1310297  |
|  4.95% 2/15/30  | 2092000  | 1977679  |
|  5.125% 5/15/32  | 485000  | 454935  |
| Vornado Realty LP 2.15% 6/1/26  | 374000 | 316103 |
| WP Carey, Inc.: |  |  |
|  3.85% 7/15/29  | 246000  | 220824  |
|  4% 2/1/25  | 489000  | 475645  |
|  4.6% 4/1/24  | 1250000  | 1242452  |
|  |  | 29621404 |
| Real Estate Management & Development - 0.4% |  |  |
| Brandywine Operating Partnership LP: |  |  |
|  3.95% 2/15/23  | 560000  | 556869  |
|  3.95% 11/15/27  | 421000  | 368490  |
|  4.1% 10/1/24  | 995000  | 957558  |
|  4.55% 10/1/29  | 260000  | 229736  |
| CBRE Group, Inc. 2.5% 4/1/31  | 1070000 | 840592 |
| Tanger Properties LP: |  |  |
|  2.75% 9/1/31  | 897000  | 641545  |
|  3.125% 9/1/26  | 2775000  | 2504793  |
|  |  | 6099583 |
| TOTAL REAL ESTATE |  | 35720987 |
| UTILITIES - 1.2%  |  |  |
| Electric Utilities - 0.7% |  |  |
| Alabama Power Co. 3.05% 3/15/32  | 1447000 | 1259340 |
| Cleco Corporate Holdings LLC: |  |  |
|  3.375% 9/15/29  | 2173000  | 1855020  |
|  3.743% 5/1/26  | 1337000  | 1260829  |
| Duke Energy Corp. 2.45% 6/1/30  | 565000 | 474797 |
| Duquesne Light Holdings, Inc.: |  |  |
|  2.532% 10/1/30 (b) | 276000  | 218278  |
|  2.775% 1/7/32 (b) | 935000  | 733318  |
| Edison International 5.75% 6/15/27  | 2985000 | 3016585 |
| Entergy Corp. 2.8% 6/15/30  | 580000 | 489885 |
| Exelon Corp.: |  |  |
|  2.75% 3/15/27 (b) | 320000  | 294956  |
|  3.35% 3/15/32 (b) | 389000  | 341771  |
|  4.05% 4/15/30  | 365000  | 344358  |
|  4.1% 3/15/52 (b) | 288000  | 235046  |
| FirstEnergy Corp. 7.375% 11/15/31  | 1154000 | 1299417 |
| IPALCO Enterprises, Inc. 3.7% 9/1/24  | 172000 | 166573 |
|  |  | 11990173 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| The AES Corp.: |  |  |
|  3.3% 7/15/25 (b) | 3530000  | 3303817  |
|  3.95% 7/15/30 (b) | 1523000  | 1333387  |
|  |  | 4637204 |
| Multi-Utilities - 0.3% |  |  |
| Berkshire Hathaway Energy Co. 4.05% 4/15/25  | 2556000 | 2531449 |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30  | 165000 | 149036 |
| NiSource, Inc. 2.95% 9/1/29  | 1708000 | 1497505 |
| Puget Energy, Inc.: |  |  |
|  4.1% 6/15/30  | 683000  | 613613  |
|  4.224% 3/15/32  | 1329000  | 1185746  |
|  |  | 5977349 |
| TOTAL UTILITIES |  | 22604726 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $558,370,309) |  | <br> **507478640** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 26.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 26.8%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 26.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  1.125% 5/15/40  | 8834000 | 5653070 |
|  1.75% 8/15/41  | 11769000 | 8210716 |
|  1.875% 11/15/51  | 34881000 | 22938345 |
|  2% 11/15/41  | 11460200 | 8346696 |
|  2% 8/15/51  | 74158000 | 50398484 |
|  2.25% 2/15/52  | 24090000 | 17396556 |
|  2.875% 5/15/52  | 20953600 | 17417680 |
|  3% 2/15/47  | 24645000 | 20702763 |
|  3.25% 5/15/42  | 10703600 | 9614843 |
| U.S. Treasury Notes: |  |  |
|  0.875% 9/30/26  | 50421700 | 44916674 |
|  1.25% 5/31/28  | 35952000 | 31408847 |
|  1.5% 1/31/27  | 32740000 | 29711550 |
|  1.75% 1/31/29  | 29322000 | 26037020 |
|  2.5% 3/31/27  | 40000000 | 37773438 |
|  2.625% 7/31/29  | 504000 | 470216 |
|  2.75% 4/30/27  | 700000 | 667844 |
|  2.75% 8/15/32  | 51025000 | 47261906 |
|  2.875% 4/30/29  | 5411700 | 5128431 |
|  2.875% 5/15/32  | 51215400 | 48006435 |
|  3.125% 8/31/29  | 29510000 | 28386084 |
|  3.875% 9/30/29  | 25000000 | 25171875 |
|  4.375% 10/31/24  | 1400000 | 1399672 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $576,949,172) |  | **487019145** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 22.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 3.7%  |  |  |
| 12 month U.S. LIBOR + 1.360% 3.615% 10/1/35 (c)(d) | 3032 | 3025 |
| 12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (c)(d) | 712 | 709 |
| 12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (c)(d) | 5375 | 5361 |
| 12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (c)(d) | 523 | 525 |
| 12 month U.S. LIBOR + 1.550% 3.183% 5/1/44 (c)(d) | 775 | 780 |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (c)(d) | 1804 | 1823 |
| 12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (c)(d) | 5663 | 5662 |
| 12 month U.S. LIBOR + 1.570% 2.145% 4/1/44 (c)(d) | 2409 | 2407 |
| 12 month U.S. LIBOR + 1.570% 3.32% 5/1/44 (c)(d) | 9 | 9 |
| 12 month U.S. LIBOR + 1.580% 1.83% 1/1/44 (c)(d) | 1154 | 1155 |
| 12 month U.S. LIBOR + 1.580% 2.08% 4/1/44 (c)(d) | 830 | 828 |
| 12 month U.S. LIBOR + 1.620% 3.212% 3/1/33 (c)(d) | 5112 | 5097 |
| 12 month U.S. LIBOR + 1.620% 3.871% 5/1/35 (c)(d) | 1456 | 1462 |
| 12 month U.S. LIBOR + 1.630% 2.987% 11/1/36 (c)(d) | 2541 | 2554 |
| 12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (c)(d) | 492 | 495 |
| 12 month U.S. LIBOR + 1.640% 1.895% 6/1/47 (c)(d) | 7647 | 7737 |
| 12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (c)(d) | 1253 | 1263 |
| 12 month U.S. LIBOR + 1.680% 3.004% 7/1/43 (c)(d) | 13429 | 13540 |
| 12 month U.S. LIBOR + 1.700% 3.185% 6/1/42 (c)(d) | 9446 | 9557 |
| 12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (c)(d) | 5660 | 5696 |
| 12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (c)(d) | 2856 | 2889 |
| 12 month U.S. LIBOR + 1.750% 2.607% 7/1/35 (c)(d) | 4113 | 4120 |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (c)(d) | 2167 | 2189 |
| 12 month U.S. LIBOR + 1.770% 2.071% 2/1/37 (c)(d) | 18906 | 18999 |
| 12 month U.S. LIBOR + 1.800% 2.055% 1/1/42 (c)(d) | 27395 | 27578 |
| 12 month U.S. LIBOR + 1.800% 3.724% 12/1/40 (c)(d) | 44393 | 44811 |
| 12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (c)(d) | 4404 | 4455 |
| 12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (c)(d) | 1216 | 1223 |
| 12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (c)(d) | 16228 | 16323 |
| 12 month U.S. LIBOR + 1.810% 4% 7/1/41 (c)(d) | 6854 | 6955 |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (c)(d) | 3128 | 3160 |
| 12 month U.S. LIBOR + 1.820% 2.293% 2/1/35 (c)(d) | 2006 | 2010 |
| 12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (c)(d) | 3066 | 3040 |
| 12 month U.S. LIBOR + 1.850% 2.429% 4/1/36 (c)(d) | 9858 | 9896 |
| 12 month U.S. LIBOR + 1.890% 3.222% 8/1/35 (c)(d) | 9651 | 9739 |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (c)(d) | 2240 | 2278 |
| 6 month U.S. LIBOR + 1.500% 2.735% 1/1/35 (c)(d) | 2224 | 2225 |
| 6 month U.S. LIBOR + 1.510% 3.523% 2/1/33 (c)(d) | 196 | 199 |
| 6 month U.S. LIBOR + 1.530% 2.785% 12/1/34 (c)(d) | 562 | 561 |
| 6 month U.S. LIBOR + 1.550% 3.926% 9/1/33 (c)(d) | 14763 | 14980 |
| 6 month U.S. LIBOR + 1.960% 3.434% 9/1/35 (c)(d) | 316 | 318 |
| U.S. TREASURY 1 YEAR INDEX + 2.180% 3.646% 7/1/36 (c)(d) | 1426 | 1441 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (c)(d) | 624 | 634 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (c)(d) | 1742 | 1777 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.408% 10/1/33 (c)(d) | 1205 | 1228 |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 3.871% 7/1/34 (c)(d) | 1611 | 1643 |
| 1.5% 1/1/36 to 11/1/41  | 2611752 | 2182612 |
| 2% 10/1/35 to 3/1/52  | 15523229 | 12918174 |
| 2.5% 5/1/31 to 2/1/52  | 19086585 | 16669089 |
| 3% 8/1/32 to 2/1/52  | 19035595 | 17222377 |
| 3.5% 5/1/36 to 3/1/52  | 5574631 | 5192066 |
| 4% 3/1/36 to 4/1/49  | 3782356 | 3660380 |
| 4.5% to 4.5% 6/1/24 to 7/1/52  | 2697812 | 2670060 |
| 5% 3/1/23 to 11/1/52  | 2186948 | 2204847 |
| 5.264% 8/1/41 (c) | 32422 | 32620 |
| 5.5% 12/1/23 to 11/1/52  | 2042320 | 2069505 |
| 6% to 6% 9/1/29 to 7/1/41  | 325765 | 339622 |
| 6% 11/1/52  | 500092 | 510328 |
| 6.5% 12/1/23 to 8/1/36  | 242395 | 253888 |
| 6.666% 2/1/39 (c) | 18336 | 18774 |
| 7% to 7% 4/1/23 to 6/1/32  | 6853 | 7148 |
| 7.5% 3/1/26 to 11/1/31  | 5526 | 5742 |
| TOTAL FANNIE MAE |  | 66211588 |
| Freddie Mac - 2.0%  |  |  |
| 12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (c)(d) | 3849 | 3795 |
| 12 month U.S. LIBOR + 1.370% 2.517% 3/1/36 (c)(d) | 2823 | 2799 |
| 12 month U.S. LIBOR + 1.500% 2.636% 3/1/36 (c)(d) | 1643 | 1633 |
| 12 month U.S. LIBOR + 1.660% 2.04% 7/1/36 (c)(d) | 10474 | 10400 |
| 12 month U.S. LIBOR + 1.750% 2.958% 12/1/40 (c)(d) | 18937 | 18956 |
| 12 month U.S. LIBOR + 1.750% 4% 7/1/41 (c)(d) | 4297 | 4328 |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (c)(d) | 54563 | 54760 |
| 12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (c)(d) | 1108 | 1116 |
| 12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (c)(d) | 1181 | 1190 |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (c)(d) | 4774 | 4791 |
| 12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (c)(d) | 36016 | 36312 |
| 12 month U.S. LIBOR + 1.900% 3.709% 10/1/42 (c)(d) | 22416 | 22551 |
| 12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (c)(d) | 9500 | 9572 |
| 12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (c)(d) | 9744 | 9838 |
| 12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (c)(d) | 12355 | 12483 |
| 12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (c)(d) | 3120 | 3160 |
| 12 month U.S. LIBOR + 2.020% 2.93% 4/1/38 (c)(d) | 955 | 957 |
| 12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (c)(d) | 41 | 41 |
| 12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (c)(d) | 10513 | 10639 |
| 12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (c)(d) | 1882 | 1907 |
| 6 month U.S. LIBOR + 1.580% 3.08% 12/1/35 (c)(d) | 42 | 43 |
| 6 month U.S. LIBOR + 1.660% 3.165% 1/1/37 (c)(d) | 2531 | 2520 |
| 6 month U.S. LIBOR + 1.660% 3.54% 7/1/35 (c)(d) | 1843 | 1872 |
| 6 month U.S. LIBOR + 1.880% 3.369% 10/1/36 (c)(d) | 18691 | 18681 |
| 6 month U.S. LIBOR + 1.990% 3.437% 10/1/35 (c)(d) | 9480 | 9503 |
| 6 month U.S. LIBOR + 2.010% 4.76% 5/1/37 (c)(d) | 2971 | 3048 |
| 6 month U.S. LIBOR + 2.020% 3.51% 6/1/37 (c)(d) | 3834 | 3938 |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (c)(d) | 1681 | 1730 |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 2.947% 6/1/33 (c)(d) | 14179 | 14281 |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 3.068% 4/1/34 (c)(d) | 4369 | 4429 |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.228% 6/1/33 (c)(d) | 4084 | 4125 |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 3.824% 3/1/35 (c)(d) | 7914 | 8062 |
| U.S. TREASURY 1 YEAR INDEX + 2.540% 4.046% 7/1/35 (c)(d) | 12077 | 12335 |
| 1.5% 12/1/40 to 3/1/51  | 1522838 | 1196616 |
| 2% 4/1/41 to 2/1/52  | 12178035 | 10082230 |
| 2.5% 1/1/31 to 3/1/52  | 9292546 | 8092443 |
| 3% 6/1/31 to 3/1/52  | 4859163 | 4377162 |
| 3.5% 3/1/32 to 4/1/52  | 5693707 | 5367353 |
| 4% 1/1/36 to 2/1/50  | 3351950 | 3255318 |
| 4% 4/1/48  | 1156 | 1117 |
| 4.5% 7/1/25 to 10/1/48  | 1005082 | 1000712 |
| 5% 8/1/33 to 12/1/52  | 2382168 | 2404235 |
| 6% 1/1/24 to 12/1/37  | 34209 | 35360 |
| 6.5% 1/1/32 to 9/1/39  | 43506 | 46081 |
| 7% 8/1/26 to 9/1/36  | 12978 | 13729 |
| 7.5% 1/1/27  | 21 | 21 |
| 8% 7/1/24 to 8/1/30  | 186 | 198 |
| 8.5% 8/1/27  | 125 | 130 |
| TOTAL FREDDIE MAC |  | 36168500 |
| Ginnie Mae - 4.8%  |  |  |
| 3.5% 11/20/41 to 5/20/50  | 1531768 | 1445860 |
| 4% 8/15/39 to 6/20/49  | 2721224 | 2641256 |
| 4.5% 6/20/33 to 6/20/41  | 730253 | 724005 |
| 5.5% 10/15/35 to 9/15/39  | 21787 | 22562 |
| 7% to 7% 4/15/28 to 8/15/32  | 5823 | 6093 |
| 7.5% to 7.5% 4/15/23 to 1/15/31  | 1527 | 1579 |
| 8% 12/15/23 to 7/15/27  | 259 | 263 |
| 8.5% 8/15/29 to 7/15/30  | 68 | 71 |
| 2% 1/20/51 to 4/20/51  | 1067946 | 912305 |
| 2% 12/1/52 (e) | 1350000 | 1146295 |
| 2% 12/1/52 (e) | 1700000 | 1443483 |
| 2% 12/1/52 (e) | 3000000 | 2547323 |
| 2% 12/1/52 (e) | 950000 | 806652 |
| 2% 12/1/52 (e) | 2850000 | 2419957 |
| 2% 12/1/52 (e) | 5650000 | 4797459 |
| 2% 12/1/52 (e) | 3350000 | 2844511 |
| 2% 1/1/53 (e) | 1450000 | 1232339 |
| 2% 1/1/53 (e) | 2850000 | 2422183 |
| 2% 1/1/53 (e) | 2100000 | 1784767 |
| 2% 1/1/53 (e) | 1800000 | 1529800 |
| 2% 1/1/53 (e) | 4400000 | 3739511 |
| 2% 1/1/53 (e) | 1450000 | 1232339 |
| 2% 1/1/53 (e) | 1450000 | 1232339 |
| 2.5% 7/20/51 to 12/20/51  | 1764017 | 1555603 |
| 2.5% 12/1/52 (e) | 1200000 | 1052852 |
| 2.5% 12/1/52 (e) | 1450000 | 1272196 |
| 2.5% 12/1/52 (e) | 1450000 | 1272196 |
| 2.5% 12/1/52 (e) | 2900000 | 2544392 |
| 2.5% 12/1/52 (e) | 2850000 | 2500523 |
| 2.5% 12/1/52 (e) | 5750000 | 5044915 |
| 2.5% 1/1/53 (e) | 1350000 | 1185460 |
| 2.5% 1/1/53 (e) | 1450000 | 1273272 |
| 2.5% 1/1/53 (e) | 2900000 | 2546545 |
| 2.5% 1/1/53 (e) | 950000 | 834213 |
| 2.5% 1/1/53 (e) | 950000 | 834213 |
| 2.5% 1/1/53 (e) | 2850000 | 2502639 |
| 3% 5/15/42 to 10/20/51  | 3137656 | 2851370 |
| 3% 12/1/52 (e) | 1650000 | 1488194 |
| 3% 12/1/52 (e) | 2350000 | 2119549 |
| 3% 12/1/52 (e) | 2500000 | 2254839 |
| 3% 12/1/52 (e) | 1700000 | 1533291 |
| 3% 1/1/53 (e) | 3350000 | 3023578 |
| 3% 1/1/53 (e) | 2000000 | 1805121 |
| 3.5% 12/1/52 (e) | 2600000 | 2412058 |
| 3.5% 12/1/52 (e) | 5400000 | 5009659 |
| 3.5% 1/1/53 (e) | 5100000 | 4733736 |
| 4.5% 12/1/52 (e) | 600000 | 587742 |
| 5% 9/20/33 to 4/20/48  | 408314 | 415366 |
| 5.47% 8/20/59 (c)(f) | 169 | 157 |
| 6% 11/20/31 to 5/15/40  | 240229 | 250505 |
| 6.5% 3/20/31 to 9/15/34  | 747 | 783 |
| TOTAL GINNIE MAE |  | 87837919 |
| Uniform Mortgage Backed Securities - 11.6%  |  |  |
| 1.5% 12/1/37 (e) | 2200000 | 1922773 |
| 1.5% 12/1/37 (e) | 1750000 | 1529479 |
| 1.5% 12/1/37 (e) | 900000 | 786589 |
| 1.5% 12/1/37 (e) | 650000 | 568092 |
| 1.5% 12/1/37 (e) | 600000 | 524393 |
| 1.5% 1/1/38 (e) | 900000 | 787819 |
| 1.5% 1/1/38 (e) | 3500000 | 3063742 |
| 1.5% 12/1/52 (e) | 2300000 | 1786643 |
| 1.5% 12/1/52 (e) | 4500000 | 3495605 |
| 1.5% 1/1/53 (e) | 4250000 | 3283291 |
| 2% 12/1/37 (e) | 2400000 | 2155950 |
| 2% 12/1/37 (e) | 950000 | 853397 |
| 2% 12/1/37 (e) | 800000 | 718650 |
| 2% 12/1/37 (e) | 3300000 | 2964432 |
| 2% 12/1/37 (e) | 7150000 | 6422935 |
| 2% 1/1/38 (e) | 3000000 | 2698336 |
| 2% 1/1/38 (e) | 5000000 | 4497227 |
| 2% 1/1/38 (e) | 1500000 | 1349168 |
| 2% 12/1/52 (e) | 4100000 | 3371994 |
| 2% 12/1/52 (e) | 2050000 | 1685997 |
| 2% 12/1/52 (e) | 2100000 | 1727119 |
| 2% 12/1/52 (e) | 1450000 | 1192534 |
| 2% 12/1/52 (e) | 7900000 | 6497256 |
| 2% 12/1/52 (e) | 6400000 | 5263600 |
| 2% 12/1/52 (e) | 1100000 | 904681 |
| 2% 12/1/52 (e) | 7750000 | 6373891 |
| 2% 12/1/52 (e) | 7750000 | 6373891 |
| 2% 12/1/52 (e) | 3850000 | 3166384 |
| 2% 12/1/52 (e) | 3850000 | 3166384 |
| 2% 12/1/52 (e) | 3850000 | 3166384 |
| 2% 1/1/53 (e) | 3950000 | 3252023 |
| 2% 1/1/53 (e) | 7850000 | 6462881 |
| 2% 1/1/53 (e) | 1950000 | 1605429 |
| 2% 1/1/53 (e) | 1950000 | 1605429 |
| 2% 1/1/53 (e) | 400000 | 329319 |
| 2% 1/1/53 (e) | 1950000 | 1605429 |
| 2% 1/1/53 (e) | 7900000 | 6504046 |
| 2% 1/1/53 (e) | 3950000 | 3252023 |
| 2.5% 12/1/37 (e) | 2750000 | 2539883 |
| 2.5% 12/1/37 (e) | 450000 | 415617 |
| 2.5% 12/1/37 (e) | 450000 | 415617 |
| 2.5% 12/1/37 (e) | 2750000 | 2539883 |
| 2.5% 1/1/38 (e) | 800000 | 739500 |
| 2.5% 12/1/52 (e) | 4850000 | 4144476 |
| 2.5% 12/1/52 (e) | 2450000 | 2093601 |
| 2.5% 12/1/52 (e) | 3200000 | 2734500 |
| 2.5% 12/1/52 (e) | 1450000 | 1239070 |
| 2.5% 12/1/52 (e) | 1950000 | 1666336 |
| 2.5% 12/1/52 (e) | 2500000 | 2136328 |
| 2.5% 12/1/52 (e) | 2300000 | 1965422 |
| 2.5% 12/1/52 (e) | 1900000 | 1623609 |
| 2.5% 12/1/52 (e) | 8950000 | 7648054 |
| 2.5% 12/1/52 (e) | 4500000 | 3845390 |
| 2.5% 1/1/53 (e) | 7000000 | 5987461 |
| 2.5% 1/1/53 (e) | 2300000 | 1967309 |
| 3% 12/1/37 (e) | 600000 | 564656 |
| 3% 12/1/52 (e) | 1000000 | 885234 |
| 3% 12/1/52 (e) | 850000 | 752449 |
| 3% 12/1/52 (e) | 850000 | 752449 |
| 3% 12/1/52 (e) | 4100000 | 3629461 |
| 3% 12/1/52 (e) | 4750000 | 4204863 |
| 3% 12/1/52 (e) | 3450000 | 3054059 |
| 3% 1/1/53 (e) | 800000 | 708656 |
| 3% 1/1/53 (e) | 1650000 | 1461604 |
| 3.5% 12/1/52 (e) | 3900000 | 3573375 |
| 3.5% 12/1/52 (e) | 2350000 | 2153188 |
| 3.5% 12/1/52 (e) | 1300000 | 1191125 |
| 3.5% 12/1/52 (e) | 5800000 | 5314250 |
| 3.5% 1/1/53 (e) | 1550000 | 1420914 |
| 4% 12/1/52 (e) | 3450000 | 3264563 |
| 4% 12/1/52 (e) | 1600000 | 1514000 |
| 4% 12/1/52 (e) | 5450000 | 5157063 |
| 4.5% 12/1/52 (e) | 3125000 | 3041994 |
| 4.5% 12/1/52 (e) | 4050000 | 3942424 |
| 4.5% 1/1/53 (e) | 3200000 | 3115002 |
| 5% 12/1/52 (e) | 1300000 | 1294312 |
| 5% 12/1/52 (e) | 100000 | 99562 |
| 5% 12/1/52 (e) | 700000 | 696937 |
| 5% 12/1/52 (e) | 900000 | 896062 |
| 5% 12/1/52 (e) | 600000 | 597375 |
| 5% 12/1/52 (e) | 1900000 | 1891687 |
| 5.5% 12/1/52 (e) | 1700000 | 1719391 |
| 5.5% 12/1/52 (e) | 1600000 | 1618250 |
| 5.5% 12/1/52 (e) | 500000 | 505703 |
| 6% 12/1/52 (e) | 600000 | 613781 |
| 6% 12/1/52 (e) | 600000 | 613781 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 210865441 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $401,197,371) |  | <br> **401083448** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AASET Trust: |  |  |
|  Series 2018-1A Class A, 3.844% 1/16/38 (b) | 320180 | 193891 |
|  Series 2019-1 Class A, 3.844% 5/15/39 (b) | 403798 | 268219 |
|  Series 2019-2:  |  |  |
| Class A, 3.376% 10/16/39 (b) <br>| 1018115 | 723964 |
| Class B, 4.458% 10/16/39 (b)(g) <br>| 220258 | 101218 |
|  Series 2021-1A Class A, 2.95% 11/16/41 (b) | 1199181 | 953321 |
|  Series 2021-2A Class A, 2.798% 1/15/47 (b) | 2356525 | 1837539 |
| AASET, Ltd. Series 2022-1A Class A, 6% 5/16/47 (b) | 1539399 | 1426056 |
| Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d) | 365000 | 357815 |
| AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 5.2091% 10/17/34 (b)(c)(d) | 869000 | 842111 |
| AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14A Class A, 3 month U.S. LIBOR + 0.990% 5.2326% 4/20/34 (b)(c)(d) | 1972000 | 1905788 |
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(d) | 1188000 | 1151642 |
| Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 5.3826% 7/20/34 (b)(c)(d) | 992000 | 957764 |
| American Money Management Corp. Series 2012-11A Class A1R2, 3 month U.S. LIBOR + 1.010% 5.4247% 4/30/31 (b)(c)(d) | 1700000 | 1666631 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A: |  |  |
|  Class A, 3.351% 1/16/40 (b) | 321821 | 258273 |
|  Class B, 4.335% 1/16/40 (b) | 138939 | 59844 |
| Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 5.3991% 10/15/32 (b)(c)(d) | 1101000 | 1076465 |
| Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 5.3884% 4/25/34 (b)(c)(d) | 657000 | 635208 |
| Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 5.2091% 7/15/34 (b)(c)(d) | 1286000 | 1250326 |
| Ares LVIII CLO LLC Series 2022-58A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 1/15/35 (b)(c)(d) | 1808000 | 1733416 |
| Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 5.1491% 4/15/34 (b)(c)(d) | 1398000 | 1350862 |
| Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 5.3291% 4/17/33 (b)(c)(d) | 460000 | 447306 |
| Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/36 (b)(c)(d) | 860000 | 833003 |
| Barings CLO Ltd.: |  |  |
|  Series 2021-1A Class A, 3 month U.S. LIBOR + 1.020% 5.3784% 4/25/34 (b)(c)(d) | 1437000 | 1391906 |
|  Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 5.4626% 1/20/32 (b)(c)(d) | 1680000 | 1649140 |
| Beechwood Park CLO Ltd. Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.1636% 1/17/35 (b)(c)(d) | 1857000 | 1819102 |
| BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.2091% 1/15/35 (b)(c)(d) | 1299000 | 1256013 |
| Blackbird Capital Aircraft Series 2021-1A Class A, 2.443% 7/15/46 (b) | 2011686 | 1646499 |
| Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 5.0691% 4/15/29 (b)(c)(d) | 1331358 | 1309900 |
| Castlelake Aircraft Securitization Trust Series 2019-1A: |  |  |
|  Class A, 3.967% 4/15/39 (b) | 738889 | 623261 |
|  Class B, 5.095% 4/15/39 (b) | 488890 | 361788 |
| Castlelake Aircraft Structured Trust: |  |  |
|  Series 2018-1 Class A, 4.125% 6/15/43 (b) | 329450 | 288281 |
|  Series 2021-1A Class A, 3.474% 1/15/46 (b) | 334219 | 282422 |
| Cedar Funding Ltd.: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(d) | 1037000 | 1008677 |
|  Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(d) | 1721000 | 1653353 |
| Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 838000 | 808223 |
| CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 5.2926% 4/20/34 (b)(c)(d) | 1199000 | 1154108 |
| Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 5.4126% 10/20/34 (b)(c)(d) | 1364000 | 1314683 |
| Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 5.4426% 4/20/34 (b)(c)(d) | 1620000 | 1564099 |
| Columbia Cent Clo 32 Ltd. / Coliseum Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.700% 4.197% 7/24/34 (b)(c)(d) | 1758000 | 1686799 |
| Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 5.5526% 1/20/34 (b)(c)(d) | 2220000 | 2159119 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 455295 | 411667 |
| Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 5.2633% 4/20/35 (b)(c)(d) | 969000 | 933876 |
| Dryden CLO, Ltd.: |  |  |
|  Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 875000 | 846896 |
|  Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 5.4137% 1/18/32 (b)(c)(d) | 1259000 | 1235709 |
| Dryden Senior Loan Fund: |  |  |
|  Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 5.2591% 4/17/33 (b)(c)(d) | 900000 | 877723 |
|  Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 10/15/35 (b)(c)(d) | 1156000 | 1118220 |
|  Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 5.8054% 2/20/35 (b)(c)(d) | 707000 | 682792 |
| Eaton Vance CLO, Ltd.: |  |  |
|  Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 610000 | 596727 |
|  Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(d) | 1578000 | 1531197 |
| Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 5.3291% 1/15/34 (b)(c)(d) | 350000 | 340948 |
| Flatiron CLO Ltd. Series 2021-1A: |  |  |
|  Class A1, 3 month U.S. LIBOR + 1.110% 5.3366% 7/19/34 (b)(c)(d) | 902000 | 873040 |
|  Class AR, 3 month U.S. LIBOR + 1.080% 5.7239% 11/16/34 (b)(c)(d) | 1250000 | 1216069 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(d) | 1956000 | 1903607 |
| Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 375698 | 305893 |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 463062 | 361186 |
| Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 5.4546% 10/22/34 (b)(c)(d) | 960000 | 924887 |
| KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 5.1936% 4/15/35 (b)(c)(d) | 2253000 | 2154132 |
| Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 5.2891% 1/15/33 (b)(c)(d) | 820000 | 802647 |
| Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 5.2446% 1/22/28 (b)(c)(d) | 899477 | 887567 |
| Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 5.3666% 4/19/34 (b)(c)(d) | 1690000 | 1644818 |
| Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 5.4246% 1/22/35 (b)(c)(d) | 1540000 | 1485034 |
| Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 5.1991% 7/15/34 (b)(c)(d) | 923000 | 899085 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A2R, 3 month U.S. LIBOR + 1.200% 5.5246% 1/22/31 (b)(c)(d) | 364000 | 352665 |
| Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 5.3826% 10/20/34 (b)(c)(d) | 305000 | 295673 |
| Magnetite IX, Ltd. / Magnetite IX LLC Series 2021-30A Class A, 3 month U.S. LIBOR + 1.130% 5.4884% 10/25/34 (b)(c)(d) | 1565000 | 1516920 |
| Magnetite XXI Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.020% 5.2626% 4/20/34 (b)(c)(d) | 1158000 | 1123323 |
| Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 5.4884% 1/25/35 (b)(c)(d) | 1132000 | 1095264 |
| Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 5.0691% 1/15/34 (b)(c)(d) | 1480000 | 1448091 |
| Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 5.3126% 10/20/30 (b)(c)(d) | 1391000 | 1368128 |
| Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 5.3726% 10/20/34 (b)(c)(d) | 1254000 | 1218849 |
| Planet Fitness Master Issuer LLC: |  |  |
|  Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 1918080 | 1790965 |
|  Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 941380 | 773617 |
|  Series 2022-1A:  |  |  |
| Class A2I, 3.251% 12/5/51 (b) <br>| 1117385 | 969154 |
| Class A2II, 4.008% 12/5/51 (b) <br>| 998980 | 781727 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 859035 | 660768 |
| Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 5.3626% 4/20/34 (b)(c)(d) | 1717000 | 1671410 |
| RR 7 Ltd. Series 2022-7A Class A1AB, CME TERM SOFR 3 MONTH INDEX + 1.340% 5.2036% 1/15/37 (b)(c)(d) | 1862000 | 1809149 |
| Sapphire Aviation Finance Series 2020-1A: |  |  |
|  Class A, 3.228% 3/15/40 (b) | 976408 | 735360 |
|  Class B, 4.335% 3/15/40 (b) | 233783 | 136674 |
| SBA Tower Trust: |  |  |
|  Series 2019, 2.836% 1/15/50 (b) | 1211000 | 1139629 |
|  1.884% 7/15/50 (b) | 498000 | 437969 |
|  2.328% 7/15/52 (b) | 381000 | 317871 |
| Stratus CLO, Ltd. Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.750% 5.7133% 7/20/30 (b)(c)(d) | 278803 | 274621 |
| SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.3575% 4/23/35 (b)(c)(d) | 1936000 | 1882535 |
| Symphony CLO Ltd. Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 5.4837% 4/18/33 (b)(c)(d) | 3000000 | 2939433 |
| Symphony CLO XIX, Ltd. / Symphony CLO XIX LLC Series 2018-19A Class A, 3 month U.S. LIBOR + 0.960% 5.0391% 4/16/31 (b)(c)(d) | 777000 | 762211 |
| Symphony CLO XXV Ltd. / Symphony CLO XXV LLC Series 2021-25A Class A, 3 month U.S. LIBOR + 0.980% 5.2066% 4/19/34 (b)(c)(d) | 1453000 | 1405528 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(d) | 1903000 | 1845153 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 721917 | 545502 |
| Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 1405834 | 1062276 |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (b)(c) | 204978 | 189685 |
| Valley Stream Park Clo Ltd. / Vy Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 2.400% 6.4714% 10/20/34 (b)(c)(d) | 1578000 | 1572504 |
| Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 5.5126% 7/20/32 (b)(c)(d) | 1290000 | 1263187 |
| Voya CLO Ltd./Voya CLO LLC: |  |  |
|  Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 5.3866% 7/19/34 (b)(c)(d) | 851000 | 825953 |
|  Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 1736000 | 1676733 |
| Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 7/16/34 (b)(c)(d) | 860000 | 832407 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $107,358,783) |  | **100762689** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.2%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.2%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 0.3%  |  |  |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 466750 | 443427 |
| Cascade Funding Mortgage Trust: |  |  |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 471708 | 452880 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 728600 | 686241 |
| CFMT Series 2022-HB10 Class A, 3.5% 11/25/35 (b) | 1500000 | 1421984 |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 388214 | 327963 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (b) | 460052 | 415187 |
| New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 472253 | 428758 |
| Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 380186 | 332714 |
| Towd Point Mortgage Trust sequential payer Series 2022-K147 Class A2, 3.75% 7/25/62 (b) | 757989 | 694289 |
| TOTAL PRIVATE SPONSOR |  | 5203443 |
| U.S. Government Agency - 0.9%  |  |  |
| Fannie Mae: |  |  |
|  floater:  |  |  |
| Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.62% 4/25/24 (c)(d) <br>| 2954 | 2931 |
| Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 4.9961% 8/25/31 (c)(d) <br>| 2619 | 2651 |
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 4.8161% 2/25/32 (c)(d) <br>| 292 | 293 |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 4.9107% 3/18/32 (c)(d) <br>| 549 | 556 |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 5.0161% 4/25/32 (c)(d) <br>| 1210 | 1224 |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 5.0161% 10/25/32 (c)(d) <br>| 765 | 773 |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 4.7661% 1/25/32 (c)(d) <br>| 279 | 280 |
| Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 4.4661% 11/25/32 (c)(d) <br>| 17048 | 17027 |
| Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 5.0161% 11/25/32 (c)(d) <br>| 1185 | 1199 |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 4.0839% 12/25/33 (c)(h)(i) <br>| 10700 | 1654 |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 2.6639% 11/25/36 (c)(h)(i) <br>| 7507 | 759 |
| Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 4.9461% 6/25/36 (c)(d) <br>| 221236 | 222520 |
|  planned amortization class:  |  |  |
| Series 1993-207 Class H, 6.5% 11/25/23 <br>| 630 | 629 |
| Series 1996-28 Class PK, 6.5% 7/25/25 <br>| 282 | 281 |
| Series 1999-17 Class PG, 6% 4/25/29 <br>| 3127 | 3170 |
| Series 1999-32 Class PL, 6% 7/25/29 <br>| 3676 | 3732 |
| Series 1999-33 Class PK, 6% 7/25/29 <br>| 2708 | 2748 |
| Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 486 | 502 |
| Series 2003-28 Class KG, 5.5% 4/25/23 <br>| 265 | 266 |
| Series 2003-70 Class BJ, 5% 7/25/33 <br>| 17237 | 17153 |
| Series 2005-64 Class PX, 5.5% 6/25/35 <br>| 20113 | 20480 |
| Series 2005-68 Class CZ, 5.5% 8/25/35 <br>| 245922 | 249883 |
| Series 2005-81 Class PC, 5.5% 9/25/35 <br>| 6198 | 6358 |
| Series 2006-12 Class BO 10/25/35 (j) <br>| 8628 | 7407 |
| Series 2006-15 Class OP 3/25/36 (j) <br>| 10405 | 8760 |
| Series 2006-45 Class OP 6/25/36 (j) <br>| 3236 | 2570 |
| Series 2006-62 Class KP 4/25/36 (j) <br>| 5047 | 4130 |
| Series 2010-118 Class PB, 4.5% 10/25/40 <br>| 175024 | 173432 |
| Series 2012-149: <br>|  |  |
| Class DA, 1.75% 1/25/43 <br>| 61104 | 55645 |
| Class GA, 1.75% 6/25/42 <br>| 65714 | 59452 |
|  sequential payer:  |  |  |
| Series 1997-41 Class J, 7.5% 6/18/27 <br>| 614 | 628 |
| Series 1999-25 Class Z, 6% 6/25/29 <br>| 3051 | 3065 |
| Series 2001-20 Class Z, 6% 5/25/31 <br>| 3487 | 3548 |
| Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 1866 | 1894 |
| Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 1354 | 1401 |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.5339% 11/25/32 (c)(h)(i) <br>| 3552 | 148 |
| Series 2003-117 Class MD, 5% 12/25/23 <br>| 5309 | 5337 |
| Series 2004-52 Class KZ, 5.5% 7/25/34 <br>| 85307 | 86000 |
| Series 2004-91 Class Z, 5% 12/25/34 <br>| 189066 | 188181 |
| Series 2005-117 Class JN, 4.5% 1/25/36 <br>| 19808 | 19656 |
| Series 2005-14 Class ZB, 5% 3/25/35 <br>| 58199 | 57932 |
| Series 2006-72 Class CY, 6% 8/25/26 <br>| 22382 | 22979 |
| Series 2009-59 Class HB, 5% 8/25/39 <br>| 103487 | 103713 |
| Series 2012-67 Class AI, 4.5% 7/25/27 (h) <br>| 4516 | 160 |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.6239% 12/25/36 (c)(h)(i) | 5034 | 688 |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.4239% 5/25/37 (c)(h)(i) | 2706 | 334 |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 8.44% 9/25/23 (c)(i) | 28 | 28 |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 4.0839% 3/25/33 (c)(h)(i) | 672 | 84 |
|  Series 2005-72 Class ZC, 5.5% 8/25/35  | 41572 | 42202 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 24130 | 24486 |
|  Series 2007-66 Class SA, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (c)(i) | 3492 | 4787 |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 2.3339% 3/25/38 (c)(h)(i) | 17602 | 1874 |
|  Series 2010-135:  |  |  |
| Class LS, 6.050% - 1 month U.S. LIBOR 2.0339% 12/25/40 (c)(h)(i) <br>| 18050 | 1539 |
| Class ZA, 4.5% 12/25/40 <br>| 7770 | 7791 |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 42355 | 1172 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 75916 | 75427 |
|  Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 4.9361% 3/25/36 (c)(d) | 148310 | 150041 |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 179830 | 182092 |
|  Series 2011-39 Class ZA, 6% 11/25/32  | 12339 | 12688 |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 23592 | 22787 |
|  Series 2011-67 Class AI, 4% 7/25/26 (h) | 13004 | 376 |
|  Series 2011-83 Class DI, 6% 9/25/26 (h) | 16 | 0 |
|  Series 2012-100 Class WI, 3% 9/25/27 (h) | 37935 | 1759 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (c)(h)(i) | 4902 | 41 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (c)(h)(i) | 3855 | 48 |
|  Series 2013-133 Class IB, 3% 4/25/32 (h) | 13988 | 459 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (c)(h)(i) | 11100 | 1209 |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.7039% 6/25/35 (c)(h)(i) | 14809 | 1288 |
|  Series 2015-42 Class IL, 6% 6/25/45 (h) | 75277 | 13320 |
|  Series 2015-70 Class JC, 3% 10/25/45  | 82968 | 78565 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (h) | 41561 | 7518 |
|  Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 2.1839% 10/25/47 (c)(h)(i) | 333344 | 39309 |
|  Series 2018-45 Class GI, 4% 6/25/48 (h) | 456999 | 85856 |
| Fannie Mae Stripped Mortgage-Backed Securities: |  |  |
|  Series 339 Class 5, 5.5% 7/25/33 (h) | 2651 | 442 |
|  Series 343 Class 16, 5.5% 5/25/34 (h) | 2481 | 417 |
|  Series 348 Class 14, 6.5% 8/25/34 (c)(h) | 1694 | 340 |
|  Series 351 Class 13, 6% 3/25/34 (h) | 1547 | 290 |
|  Series 384 Class 6, 5% 7/25/37 (h) | 10453 | 1808 |
| Freddie Mac: |  |  |
|  floater:  |  |  |
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 4.6731% 1/15/32 (c)(d) <br>| 215 | 216 |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (c)(d) <br>| 335 | 338 |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 4.8731% 3/15/32 (c)(d) <br>| 297 | 300 |
| Series 2432: <br>|  |  |
| Class FE, 1 month U.S. LIBOR + 0.900% 4.7731% 6/15/31 (c)(d) <br>| 564 | 568 |
| Class FG, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (c)(d) <br>| 182 | 183 |
| Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 4.2731% 11/15/32 (c)(d) <br>| 3713 | 3698 |
| Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 4.7731% 2/15/33 (c)(d) <br>| 59325 | 59868 |
|  floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 4.2731% 3/15/34 (c)(d) | 85467 | 85017 |
|  floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 4.1231% 5/15/37 (c)(d) | 13165 | 13095 |
|  planned amortization class:  |  |  |
| Series 2095 Class PE, 6% 11/15/28 <br>| 3951 | 4016 |
| Series 2101 Class PD, 6% 11/15/28 <br>| 1878 | 1908 |
| Series 2121 Class MG, 6% 2/15/29 <br>| 1602 | 1628 |
| Series 2131 Class BG, 6% 3/15/29 <br>| 11475 | 11673 |
| Series 2137 Class PG, 6% 3/15/29 <br>| 1809 | 1840 |
| Series 2154 Class PT, 6% 5/15/29 <br>| 3077 | 3130 |
| Series 2162 Class PH, 6% 6/15/29 <br>| 619 | 628 |
| Series 2520 Class BE, 6% 11/15/32 <br>| 5298 | 5467 |
| Series 2693 Class MD, 5.5% 10/15/33 <br>| 11706 | 11817 |
| Series 2802 Class OB, 6% 5/15/34 <br>| 11731 | 11960 |
| Series 2996 Class MK, 5.5% 6/15/35 <br>| 3515 | 3573 |
| Series 3002 Class NE, 5% 7/15/35 <br>| 12498 | 12558 |
| Series 3110 Class OP 9/15/35 (j) <br>| 3252 | 2963 |
| Series 3119 Class PO 2/15/36 (j) <br>| 12346 | 9918 |
| Series 3123 Class LO 3/15/36 (j) <br>| 6830 | 5524 |
| Series 3189 Class PD, 6% 7/15/36 <br>| 10394 | 10800 |
| Series 3258 Class PM, 5.5% 12/15/36 <br>| 4630 | 4744 |
| Series 3415 Class PC, 5% 12/15/37 <br>| 38159 | 38025 |
| Series 3806 Class UP, 4.5% 2/15/41 <br>| 23471 | 23332 |
| Series 3832 Class PE, 5% 3/15/41 <br>| 47371 | 47608 |
| Series 3857 Class ZP, 5% 5/15/41 <br>| 302596 | 307948 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>| 48086 | 43762 |
|  sequential payer:  |  |  |
| Series 1929 Class EZ, 7.5% 2/17/27 <br>| 4662 | 4823 |
| Series 2004-2862 Class NE, 5% 9/15/24 <br>| 10122 | 10174 |
| Series 2135 Class JE, 6% 3/15/29 <br>| 788 | 802 |
| Series 2145 Class MZ, 6.5% 4/15/29 <br>| 11516 | 11707 |
| Series 2274 Class ZM, 6.5% 1/15/31 <br>| 1149 | 1165 |
| Series 2281 Class ZB, 6% 3/15/30 <br>| 2213 | 2248 |
| Series 2303 Class ZV, 6% 4/15/31 <br>| 6802 | 6930 |
| Series 2357 Class ZB, 6.5% 9/15/31 <br>| 18625 | 19126 |
| Series 2502 Class ZC, 6% 9/15/32 <br>| 2149 | 2217 |
| Series 2519 Class ZD, 5.5% 11/15/32 <br>| 3280 | 3354 |
| Series 2546 Class MJ, 5.5% 3/15/23 <br>| 70 | 70 |
| Series 2601 Class TB, 5.5% 4/15/23 <br>| 38 | 38 |
| Series 2877 Class ZD, 5% 10/15/34 <br>| 235424 | 234317 |
| Series 2998 Class LY, 5.5% 7/15/25 <br>| 3471 | 3552 |
| Series 3007 Class EW, 5.5% 7/15/25 <br>| 8668 | 8856 |
| Series 3871 Class KB, 5.5% 6/15/41 <br>| 62482 | 64995 |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.7269% 2/15/36 (c)(h)(i) | 3607 | 337 |
|  Series 2013-4281 Class AI, 4% 12/15/28 (h) | 11596 | 259 |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 108056 | 102356 |
|  Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 2.3269% 8/15/47 (c)(h)(i) | 168556 | 19193 |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 53259 | 54897 |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 43457 | 44788 |
|  Series 2947 Class XZ, 6% 3/15/35  | 21009 | 21754 |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 36114 | 37143 |
|  Series 3237 Class C, 5.5% 11/15/36  | 50584 | 51153 |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.7869% 11/15/36 (c)(h)(i) | 15690 | 1887 |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.8769% 3/15/37 (c)(h)(i) | 23766 | 3265 |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.8869% 4/15/37 (c)(h)(i) | 33299 | 4184 |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.7069% 6/15/37 (c)(h)(i) | 10780 | 1198 |
|  Series 3843 Class PZ, 5% 4/15/41  | 289209 | 293710 |
|  Series 3949 Class MK, 4.5% 10/15/34  | 8770 | 8711 |
|  Series 4055 Class BI, 3.5% 5/15/31 (h) | 14735 | 459 |
|  Series 4314 Class AI, 5% 3/15/34 (h) | 4758 | 169 |
|  Series 4427 Class LI, 3.5% 2/15/34 (h) | 41087 | 2628 |
|  Series 4471 Class PA 4% 12/15/40  | 43743 | 42756 |
|  target amortization class Series 2156 Class TC, 6.25% 5/15/29  | 1486 | 1527 |
| Freddie Mac Manufactured Housing participation certificates guaranteed: |  |  |
|  floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 4.3121% 2/15/24 (c)(d) | 169 | 170 |
|  sequential payer:  |  |  |
| Series 2043 Class ZH, 6% 4/15/28 <br>| 1306 | 1324 |
| Series 2056 Class Z, 6% 5/15/28 <br>| 3163 | 3213 |
| Freddie Mac Multi-family Structured pass-thru certificates: |  |  |
|  sequential payer Series 4341 Class ML, 3.5% 11/15/31  | 223435 | 215750 |
|  Series 4386 Class AZ, 4.5% 11/15/40  | 105662 | 103442 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater:  |  |  |
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.8034% 6/16/37 (c)(h)(i) <br>| 6575 | 742 |
| Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 4.4386% 7/20/37 (c)(d) <br>| 47549 | 47331 |
| Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 4.4186% 1/20/38 (c)(d) <br>| 12358 | 12289 |
| Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 4.7986% 8/20/38 (c)(d) <br>| 68755 | 69461 |
| Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 4.8386% 9/20/38 (c)(d) <br>| 50109 | 50699 |
| Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 4.4866% 11/16/39 (c)(d) <br>| 60836 | 60725 |
| Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 4.4166% 12/16/39 (c)(d) <br>| 38280 | 38120 |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 4.1464% 3/20/60 (c)(d)(f) <br>| 77732 | 77127 |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 7/20/60 (c)(d)(f) <br>| 517895 | 510886 |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 3.4427% 9/20/60 (c)(d)(f) <br>| 653590 | 645192 |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 3.4427% 8/20/60 (c)(d)(f) <br>| 505730 | 499154 |
| Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 3.5227% 12/20/60 (c)(d)(f) <br>| 268277 | 265081 |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 12/20/60 (c)(d)(f) <br>| 273295 | 270912 |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 2/20/61 (c)(d)(f) <br>| 242906 | 240573 |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 3.6327% 2/20/61 (c)(d)(f) <br>| 325028 | 321945 |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 4/20/61 (c)(d)(f) <br>| 229350 | 227146 |
| Series 2011-H14: <br>|  |  |
| Class FB, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (c)(d)(f) <br>| 371105 | 367782 |
| Class FC, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (c)(d)(f) <br>| 274577 | 272012 |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.6727% 6/20/61 (c)(d)(f) <br>| 317234 | 314595 |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.6927% 9/20/61 (c)(d)(f) <br>| 106541 | 105633 |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 10/20/61 (c)(d)(f) <br>| 346301 | 343738 |
| Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 4.3386% 8/20/42 (c)(d) <br>| 50064 | 49152 |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 11/20/61 (c)(d)(f) <br>| 339633 | 337505 |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 1/20/62 (c)(d)(f) <br>| 197590 | 196432 |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 1/20/62 (c)(d)(f) <br>| 307812 | 305494 |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 3/20/62 (c)(d)(f) <br>| 149698 | 148321 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (c)(d)(f) <br>| 2869 | 2833 |
| Series 2013-H19: <br>|  |  |
| Class FC, 1 month U.S. LIBOR + 0.600% 3.7427% 8/20/63 (c)(d)(f) <br>| 20188 | 20072 |
| Class FD, 1 month U.S. LIBOR + 0.600% 3.7427% 8/20/63 (c)(d)(f) <br>| 53131 | 52968 |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 1/20/64 (c)(d)(f) <br>| 24530 | 24351 |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.7427% 12/20/63 (c)(d)(f) <br>| 119784 | 119121 |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 3.6427% 6/20/64 (c)(d)(f) <br>| 82804 | 82066 |
| Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 3.4427% 3/20/65 (c)(d)(f) <br>| 437 | 431 |
| Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 3.4227% 5/20/63 (c)(d)(f) <br>| 3646 | 3564 |
| Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 3.3427% 4/20/63 (c)(d)(f) <br>| 5373 | 5273 |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 3.5427% 12/20/62 (c)(d)(f) <br>| 1959 | 1919 |
|  planned amortization class:  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (c)(i) <br>| 65476 | 56737 |
| Series 2010-31 Class BP, 5% 3/20/40 <br>| 276862 | 278282 |
| Series 2011-136 Class WI, 4.5% 5/20/40 (h) <br>| 20158 | 1463 |
| Series 2011-68 Class EC, 3.5% 4/20/41 <br>| 29700 | 28768 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>| 53510 | 50023 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 72473 | 65528 |
| Series 2017-153 Class GA, 3% 9/20/47 <br>| 144276 | 132814 |
| Series 2017-182 Class KA, 3% 10/20/47 <br>| 110458 | 101913 |
| Series 2018-13 Class Q, 3% 4/20/47 <br>| 142643 | 133538 |
|  sequential payer:  |  |  |
| Series 2004-24 Class ZM, 5% 4/20/34 <br>| 18525 | 18311 |
| Series 2010-160 Class DY, 4% 12/20/40 <br>| 134467 | 131127 |
| Series 2010-170 Class B, 4% 12/20/40 <br>| 29879 | 29137 |
| Series 2011-69 Class GX, 4.5% 5/16/40 <br>| 322502 | 326962 |
| Series 2014-H04 Class HA, 2.75% 2/20/64 (f) <br>| 389927 | 381177 |
| Series 2014-H12 Class KA, 2.75% 5/20/64 (f) <br>| 21137 | 21073 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 250473 | 226665 |
| Series 2018-H12 Class HA, 3.25% 8/20/68 (f) <br>| 635237 | 612467 |
|  Series 2004-22 Class M1, 5.5% 4/20/34  | 80721 | 86588 |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.6134% 5/16/34 (c)(h)(i) | 3887 | 318 |
|  Series 2010-116 Class QB, 4% 9/16/40  | 10292 | 10048 |
|  Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 2.0634% 2/16/40 (c)(h)(i) | 25466 | 1689 |
|  Series 2010-169 Class Z, 4.5% 12/20/40  | 366004 | 332190 |
|  Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 5/20/60 (c)(d)(f) | 39080 | 38592 |
|  Series 2010-H16 Class BA, 3.55% 7/20/60 (f) | 62483 | 60814 |
|  Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(f) | 7803 | 7750 |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 2.1614% 7/20/41 (c)(h)(i) | 12451 | 1250 |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.8134% 6/16/42 (c)(h)(i) | 14467 | 1499 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 109700 | 104736 |
|  Series 2013-H01 Class FA, 1.65% 1/20/63 (f) | 35 | 30 |
|  Series 2013-H04 Class BA, 1.65% 2/20/63 (f) | 592 | 572 |
|  Series 2013-H08 Class MA, 3% 3/20/63 (f) | 3633 | 3397 |
|  Series 2014-2 Class BA, 3% 1/20/44  | 270947 | 249561 |
|  Series 2014-21 Class HA, 3% 2/20/44  | 99334 | 91693 |
|  Series 2014-25 Class HC, 3% 2/20/44  | 169805 | 156583 |
|  Series 2014-5 Class A, 3% 1/20/44  | 147510 | 135952 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (f) | 1291 | 1212 |
|  Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(f) | 15533 | 14887 |
|  Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 4.317% 5/20/66 (c)(d)(f) | 829049 | 826379 |
|  Series 2017-186 Class HK, 3% 11/16/45  | 145789 | 134625 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (c)(d)(f) | 1024091 | 1018737 |
|  Series 2090-118 Class XZ, 5% 12/20/39  | 1020901 | 1035392 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 17244048 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $23,207,868) |  | <br> **22447491** |

---

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX:  |  |  |
| Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(d) <br>| 1005000 | 968079 |
| Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (b)(c)(d) <br>| 190000 | 181054 |
| Class C, CME Term SOFR 1 Month Index + 2.150% 5.945% 1/15/39 (b)(c)(d) <br>| 136000 | 128167 |
|  sequential payer Series 2019-BPR:  |  |  |
| Class AMP, 3.287% 11/5/32 (b) <br>| 1500000 | 1387882 |
| Class ANM, 3.112% 11/5/32 (b) <br>| 778000 | 719498 |
|  Series 2019-BPR:  |  |  |
| Class BNM, 3.465% 11/5/32 (b) <br>| 132000 | 116468 |
| Class CNM, 3.8425% 11/5/32 (b)(c) <br>| 100000 | 83492 |
| BANK sequential payer Series 2019-BN21 Class A5, 2.851% 10/17/52  | 134000 | 115651 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer Series 2018-B4 Class A5, 4.121% 7/15/51  | 151000 | 143045 |
|  Series 2019-B12 Class XA, 1.1696% 8/15/52 (c)(h) | 7826336 | 331202 |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (c)(h) | 4543735 | 146969 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (b)(c)(d) | 760000 | 749505 |
| BPR Trust floater Series 2022-OANA: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(d) | 3387000 | 3295737 |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (b)(c)(d) | 900000 | 843045 |
| BX Commercial Mortgage Trust floater: |  |  |
|  Series 2021-PAC:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(d) <br>| 1794000 | 1711938 |
| Class B, 1 month U.S. LIBOR + 0.890% 4.7748% 10/15/36 (b)(c)(d) <br>| 268000 | 251668 |
| Class C, 1 month U.S. LIBOR + 1.090% 4.9746% 10/15/36 (b)(c)(d) <br>| 359000 | 334429 |
| Class D, 1 month U.S. LIBOR + 1.290% 5.1743% 10/15/36 (b)(c)(d) <br>| 349000 | 320860 |
| Class E, 1 month U.S. LIBOR + 1.940% 5.8235% 10/15/36 (b)(c)(d) <br>| 1213000 | 1114438 |
|  Series 2022-LP2:  |  |  |
| Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (b)(c)(d) <br>| 2757585 | 2645366 |
| Class B, CME Term SOFR 1 Month Index + 1.310% 5.1066% 2/15/39 (b)(c)(d) <br>| 718111 | 677668 |
| Class C, CME Term SOFR 1 Month Index + 1.560% 5.356% 2/15/39 (b)(c)(d) <br>| 718111 | 671515 |
| Class D, CME Term SOFR 1 Month Index + 1.960% 5.7551% 2/15/39 (b)(c)(d) <br>| 718111 | 663911 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 6.501% 9/15/37 (b)(c)(d) <br>| 201600 | 174023 |
| Series 2019-IMC: <br>|  |  |
|  Class B, 1 month U.S. LIBOR + 1.300% 5.173% 4/15/34 (b)(c)(d) | 614000 | 589966 |
|  Class C, 1 month U.S. LIBOR + 1.600% 5.473% 4/15/34 (b)(c)(d) | 406000 | 386028 |
|  Class D, 1 month U.S. LIBOR + 1.900% 5.773% 4/15/34 (b)(c)(d) | 426000 | 397408 |
| Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (b)(c)(d) | 534650 | 521866 |
|  Class C, CME Term SOFR 1 Month Index + 1.360% 5.1587% 10/15/36 (b)(c)(d) | 672350 | 653945 |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (b)(c)(d) | 1375300 | 1325016 |
|  Class E, CME Term SOFR 1 Month Index + 1.910% 5.7087% 10/15/36 (b)(c)(d) | 4313750 | 4159048 |
| Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 4.464% 9/15/34 (b)(c)(d) <br>| 400000 | 381200 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(d) <br>| 943000 | 938864 |
| Series 2022-IND: <br>|  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (b)(c)(d) | 1730894 | 1681542 |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 5.7509% 4/15/37 (b)(c)(d) | 882063 | 843244 |
|  Class C, CME Term SOFR 1 Month Index + 2.290% 6.1009% 4/15/37 (b)(c)(d) | 199390 | 188458 |
|  Class D, CME Term SOFR 1 Month Index + 2.830% 6.6499% 4/15/37 (b)(c)(d) | 167108 | 156742 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (b)(c)(d) <br>| 814000 | 792241 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(d) <br>| 1426244 | 1401115 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (b)(c)(d) | 100000 | 97867 |
| CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 1863446 | 1605305 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(d) | 580000 | 563223 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (b)(c)(d) | 200000 | 192455 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(d) | 1556249 | 1525888 |
|  Class B, 1 month U.S. LIBOR + 1.500% 5.375% 6/15/34 (b)(c)(d) | 306684 | 296616 |
|  Class C, 1 month U.S. LIBOR + 1.750% 5.625% 6/15/34 (b)(c)(d) | 346384 | 331638 |
| CIM Retail Portfolio Trust floater Series 2021-RETL: |  |  |
|  Class C, 1 month U.S. LIBOR + 2.300% 6.176% 8/15/36 (b)(c)(d) | 17006 | 15803 |
|  Class D, 1 month U.S. LIBOR + 3.050% 6.926% 8/15/36 (b)(c)(d) | 234000 | 214808 |
| Citigroup Commercial Mortgage Trust Series 2015-GC29 Class XA, 1.1557% 4/10/48 (c)(h) | 2729617 | 51215 |
| COMM Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) <br>| 273000 | 270461 |
| Series 2014-CR18 Class A5, 3.828% 7/15/47 <br>| 257000 | 248419 |
|  Series 2014-CR17 Class XA, 1.1106% 5/10/47 (c)(h) | 1381460 | 13321 |
|  Series 2014-LC17 Class XA, 0.8149% 10/10/47 (c)(h) | 2243061 | 21004 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater Series 2019-ICE4:  |  |  |
| Class B, 1 month U.S. LIBOR + 1.230% 5.105% 5/15/36 (b)(c)(d) <br>| 863000 | 846855 |
| Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (b)(c)(d) <br>| 839000 | 815722 |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 403633 | 360268 |
|  Series 2018-SITE:  |  |  |
| Class A, 4.284% 4/15/36 (b) <br>| 594000 | 563383 |
| Class B, 4.5349% 4/15/36 (b) <br>| 107000 | 100591 |
| Class C, 4.9414% 4/15/36 (b)(c) <br>| 123000 | 115162 |
| Class D, 4.9414% 4/15/36 (b)(c) <br>| 245000 | 225184 |
| CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 6.125% 12/15/30 (b)(c)(d) | 1296000 | 1230672 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(d) | 2537000 | 2420167 |
| Extended Stay America Trust floater Series 2021-ESH: |  |  |
|  Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(d) | 788763 | 758606 |
|  Class B, 1 month U.S. LIBOR + 1.380% 5.256% 7/15/38 (b)(c)(d) | 449048 | 426533 |
|  Class C, 1 month U.S. LIBOR + 1.700% 5.576% 7/15/38 (b)(c)(d) | 330929 | 314336 |
|  Class D, 1 month U.S. LIBOR + 2.250% 6.126% 7/15/38 (b)(c)(d) | 665763 | 630714 |
| Freddie Mac Series 2022-K150 Class A2, 3.71% 11/25/32  | 400000 | 376926 |
| GS Mortgage Securities Trust floater: |  |  |
|  Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (b)(c)(d) | 1003242 | 983578 |
|  Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (b)(c)(d) | 457000 | 430852 |
|  Series 2021-IP:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(d) <br>| 1036000 | 964265 |
| Class B, 1 month U.S. LIBOR + 1.150% 5.025% 10/15/36 (b)(c)(d) <br>| 160000 | 147970 |
| Class C, 1 month U.S. LIBOR + 1.550% 5.425% 10/15/36 (b)(c)(d) <br>| 132000 | 120973 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (b)(c)(d) | 1686000 | 1669099 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: |  |  |
|  Class AFX, 4.2475% 7/5/33 (b) | 476000 | 444548 |
|  Class CFX, 4.9498% 7/5/33 (b) | 103000 | 89744 |
|  Class DFX, 5.3503% 7/5/33 (b) | 159000 | 137079 |
|  Class EFX, 5.5423% 7/5/33 (b)(c) | 218000 | 185900 |
|  Class XAFX, 1.2948% 7/5/33 (b)(c)(h) | 2000000 | 7559 |
| Life Financial Services Trust floater Series 2022-BMR2: |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (b)(c)(d) | 3426000 | 3322955 |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (b)(c)(d) | 1630000 | 1568720 |
|  Class C, CME Term SOFR 1 Month Index + 2.090% 5.8874% 5/15/39 (b)(c)(d) | 913000 | 876388 |
|  Class D, CME Term SOFR 1 Month Index + 2.540% 6.3362% 5/15/39 (b)(c)(d) | 812000 | 773335 |
| LIFE Mortgage Trust floater Series 2021-BMR: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(d) | 1964957 | 1888562 |
|  Class B, 1 month U.S. LIBOR + 0.880% 4.755% 3/15/38 (b)(c)(d) | 331261 | 313813 |
|  Class C, 1 month U.S. LIBOR + 1.100% 4.975% 3/15/38 (b)(c)(d) | 208390 | 196368 |
|  Class D, 1 month U.S. LIBOR + 1.400% 5.275% 3/15/38 (b)(c)(d) | 289976 | 272521 |
|  Class E, 1 month U.S. LIBOR + 1.750% 5.625% 3/15/38 (b)(c)(d) | 253606 | 237705 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater Series 2018-BOP:  |  |  |
| Class B, 1 month U.S. LIBOR + 1.250% 5.125% 8/15/33 (b)(c)(d) <br>| 501600 | 472736 |
| Class C, 1 month U.S. LIBOR + 1.500% 5.375% 8/15/33 (b)(c)(d) <br>| 1208000 | 1136975 |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 1698000 | 1576073 |
|  Series 2018-H4 Class A4, 4.31% 12/15/51  | 385000 | 363990 |
|  Series 2019-MEAD:  |  |  |
| Class B, 3.283% 11/10/36 (b)(c) <br>| 246000 | 222050 |
| Class C, 3.283% 11/10/36 (b)(c) <br>| 235000 | 204635 |
| Prima Capital Ltd.: |  |  |
|  floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 5.7386% 12/15/37 (b)(c)(d) | 444000 | 433551 |
|  floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 5.3886% 12/15/37 (b)(c)(d) | 88682 | 88023 |
| SPGN Mortgage Trust floater Series 2022-TFLM: |  |  |
|  Class B, CME Term SOFR 1 Month Index + 2.000% 5.7943% 2/15/39 (b)(c)(d) | 457000 | 429339 |
|  Class C, CME Term SOFR 1 Month Index + 2.650% 6.4443% 2/15/39 (b)(c)(d) | 237000 | 220970 |
| SREIT Trust floater Series 2021-MFP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(d) | 1701000 | 1625331 |
|  Class B, 1 month U.S. LIBOR + 1.070% 4.9551% 11/15/38 (b)(c)(d) | 974000 | 922740 |
|  Class C, 1 month U.S. LIBOR + 1.320% 5.2043% 11/15/38 (b)(c)(d) | 605000 | 570128 |
|  Class D, 1 month U.S. LIBOR + 1.570% 5.4535% 11/15/38 (b)(c)(d) | 398000 | 374062 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.1862% 12/15/50 (c)(h) | 1316212 | 46801 |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(d) | 186673 | 186411 |
| VLS Commercial Mortgage Trust: |  |  |
|  sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 1382000 | 1074163 |
|  Series 2020-LAB Class B, 2.453% 10/10/42 (b) | 90000 | 68903 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (b)(c)(d) | 953000 | 898508 |
|  Series 2017-C42 Class XA, 1.0068% 12/15/50 (c)(h) | 3566109 | 123733 |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (c)(h) | 2843855 | 78128 |
|  Series 2018-C48 Class A5, 4.302% 1/15/52  | 339000 | 321335 |
| WF-RBS Commercial Mortgage Trust: |  |  |
|  Series 2014-C21 Class XA, 1.1633% 8/15/47 (c)(h) | 826161 | 11152 |
|  Series 2014-LC14 Class XA, 1.416% 3/15/47 (c)(h) | 1043795 | 9835 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $77,292,642) |  | **72916941** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** | &nbsp;&nbsp;**Municipal Securities - 0.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| California Gen. Oblig. Series 2009, 7.35% 11/1/39  | 90000 | 111528 |
| Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33  | 2525000 | 2434016 |
| New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured)  | 1550000 | 1675180 |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $4,504,293) |  | **4220724** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.5%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.5%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Argentine Republic: |  |  |
|  0.5% 7/9/30 (k) | 685010 | 181185 |
|  1% 7/9/29  | 75245 | 19564 |
|  1.5% 7/9/35 (k) | 1254989 | 304335 |
| Dominican Republic: |  |  |
|  4.5% 1/30/30 (b) | 1200000 | 1018725 |
|  5.95% 1/25/27 (b) | 2850000 | 2771269 |
|  6% 7/19/28 (b) | 550000 | 529375 |
| Emirate of Abu Dhabi 3.875% 4/16/50 (b) | 915000 | 759336 |
| Indonesian Republic 4.2% 10/15/50  | 2100000 | 1730106 |
| Kingdom of Saudi Arabia: |  |  |
|  3.25% 10/22/30 (b) | 595000 | 543681 |
|  4.5% 4/22/60 (b) | 390000 | 342713 |
| State of Qatar 4.4% 4/16/50 (b) | 1390000 | 1263163 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $11,187,075) |  | **9463452** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Supranational Obligations - 0.1%** | &nbsp;&nbsp;**Supranational Obligations - 0.1%** | &nbsp;&nbsp;**Supranational Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Corporacion Andina de Fomento 2.375% 5/12/23 <br>(Cost $1,399,524) <br>| 1400000 | **1380764** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** | &nbsp;&nbsp;**Bank Notes - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Discover Bank 4.682% 8/9/28 (c) | 401000 | 386224 |
| Regions Bank 6.45% 6/26/37  | 250000 | 260228 |
| <br> **TOTAL BANK NOTES**<br> (Cost $696,909) |  | **646452** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 18.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 18.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 18.6%** |
|  | Shares | Value ($)<br>|
| Fidelity Emerging Markets Debt Central Fund (l) | 5310347 | 40040015 |
| Fidelity Floating Rate Central Fund (l) | 1246668 | 119081698 |
| Fidelity International Credit Central Fund (l) | 618954 | 50401457 |
| Fidelity Specialized High Income Central Fund (l) | 1541675 | 128806983 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $382,196,407) |  | **338330153** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 8.0%** | &nbsp;&nbsp;**Money Market Funds - 8.0%** | &nbsp;&nbsp;**Money Market Funds - 8.0%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (m) <br>(Cost $145,075,957) <br>| 145047692 | **145076702** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 115.0%**<br> (Cost $2,289,436,310)<br>| <br>**2090826601** |
| **NET OTHER ASSETS (LIABILITIES) - (15.0)%** (n)(o)  | **(272641412)** |
| **NET ASSETS - 100.0%** | **1818185189** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (2850000) | (2419957) |
| 2% 12/1/52 | (950000) | (806652) |
| 2% 12/1/52 | (3000000) | (2547323) |
| 2% 12/1/52 | (2100000) | (1783126) |
| 2% 12/1/52 | (1800000) | (1528394) |
| 2% 12/1/52 | (4400000) | (3736074) |
| 2% 12/1/52 | (1450000) | (1231206) |
| 2% 12/1/52 | (1450000) | (1231206) |
| 2.5% 12/1/52 | (1450000) | (1272196) |
| 2.5% 12/1/52 | (2900000) | (2544392) |
| 2.5% 12/1/52 | (2900000) | (2544392) |
| 2.5% 12/1/52 | (1450000) | (1272196) |
| 2.5% 12/1/52 | (1900000) | (1667016) |
| 2.5% 12/1/52 | (950000) | (833508) |
| 2.5% 12/1/52 | (950000) | (833508) |
| 2.5% 12/1/52 | (2850000) | (2500523) |
| 3% 12/1/52 | (3350000) | (3021484) |
| 3% 12/1/52 | (2000000) | (1803871) |
| 3.5% 12/1/52 | (5100000) | (4731345) |
| TOTAL GINNIE MAE  |  | (38308369) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (900000) | (786589) |
| 1.5% 12/1/37 | (3500000) | (3058957) |
| 1.5% 12/1/52 | (4250000) | (3301405) |
| 2% 12/1/37 | (600000) | (538988) |
| 2% 12/1/37 | (3000000) | (2694938) |
| 2% 12/1/37 | (5000000) | (4491563) |
| 2% 12/1/37 | (1500000) | (1347469) |
| 2% 12/1/52 | (3950000) | (3248628) |
| 2% 12/1/52 | (7850000) | (6456134) |
| 2% 12/1/52 | (1950000) | (1603753) |
| 2% 12/1/52 | (1950000) | (1603753) |
| 2% 12/1/52 | (400000) | (328975) |
| 2% 12/1/52 | (1950000) | (1603753) |
| 2% 12/1/52 | (7900000) | (6497256) |
| 2% 12/1/52 | (7900000) | (6497256) |
| 2% 12/1/52 | (6400000) | (5263600) |
| 2% 12/1/52 | (3950000) | (3248628) |
| 2% 12/1/52 | (300000) | (246731) |
| 2% 12/1/52 | (1100000) | (904681) |
| 2.5% 12/1/37 | (2400000) | (2216625) |
| 2.5% 12/1/37 | (800000) | (738875) |
| 2.5% 12/1/37 | (450000) | (415617) |
| 2.5% 12/1/37 | (2750000) | (2539883) |
| 2.5% 12/1/52 | (7000000) | (5981718) |
| 2.5% 12/1/52 | (2300000) | (1965422) |
| 2.5% 12/1/52 | (1600000) | (1367250) |
| 2.5% 12/1/52 | (2300000) | (1965422) |
| 2.5% 12/1/52 | (2500000) | (2136328) |
| 2.5% 12/1/52 | (1900000) | (1623609) |
| 2.5% 12/1/52 | (900000) | (769078) |
| 3% 12/1/52 | (900000) | (796711) |
| 3% 12/1/52 | (1200000) | (1062281) |
| 3% 12/1/52 | (800000) | (708188) |
| 3% 12/1/52 | (1650000) | (1460637) |
| 3.5% 12/1/52 | (1550000) | (1420188) |
| 3.5% 12/1/52 | (300000) | (274875) |
| 4.5% 12/1/52 | (3200000) | (3115002) |
| 5% 12/1/52 | (100000) | (99562) |
| 5% 12/1/52 | (600000) | (597375) |
| 5% 12/1/52 | (300000) | (298687) |
| 5% 12/1/52 | (700000) | (696937) |
| 5% 12/1/52 | (500000) | (497812) |
| 5% 12/1/52 | (100000) | (99562) |
| 5% 12/1/52 | (700000) | (696937) |
| 5% 12/1/52 | (900000) | (896062) |
| 5.5% 12/1/52 | (1150000) | (1163117) |
| 5.5% 12/1/52 | (300000) | (303422) |
| 6% 12/1/52 | (500000) | (511484) |
| 6% 12/1/52 | (100000) | (102297) |
| 6% 12/1/52 | (600000) | (613781) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (90857801) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $127,426,061) |  | <br> **(129166170)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 69 | Mar 2023 | 14169797 | 39412 | 39412 |
| Sold |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 105 | Mar 2023 | 11917500 | (95038) | (95038) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 25 | Mar 2023 | 2714258 | (16447) | (16447) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 114 | Mar 2023 | 14478000 | (153880) | (153880) |
| TOTAL SOLD |  |  |  |  | (265365) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(225953)** |
| The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% |
| The notional amount of futures sold as a percentage of Net Assets is 1.6% | The notional amount of futures sold as a percentage of Net Assets is 1.6% | The notional amount of futures sold as a percentage of Net Assets is 1.6% | The notional amount of futures sold as a percentage of Net Assets is 1.6% | The notional amount of futures sold as a percentage of Net Assets is 1.6% | The notional amount of futures sold as a percentage of Net Assets is 1.6% |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<sup>(1)</sup> | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 12 | Aug 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2370000 | 23536 | (31) | 23505 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 310000 | 4241 | (1054) | 3187 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 560000 | 7661 | (1714) | 5947 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 100000 | 1368 | (1472) | (104) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 340000 | 4651 | (3764) | 887 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 170000 | 2326 | (1525) | 801 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1020000 | 13954 | (21096) | (7142) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 300000 | 4104 | 1714 | 5818 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 510000 | 6977 | (6079) | 898 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 660000 | 9029 | (12634) | (3605) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 10000 | 137 | 26 | 163 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 170000 | 2326 | (209) | 2117 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 170000 | 2326 | (2382) | (56) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Merrill Lynch Capital Services, Inc. | (0.5%) | Monthly | 580000 | 7935 | (9958) | (2023) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 270000 | 3694 | (1456) | 2238 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 170000 | 2326 | (2372) | (46) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 400000 | 5472 | (2749) | 2723 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 350000 | 4788 | (2504) | 2284 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 340000 | 4651 | (3225) | 1426 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 420000 | 5746 | (5703) | 43 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 80000 | 1094 | 429 | 1523 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  | **118342** | **(77758)** | **40584** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount<sup>(2)</sup> | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2024 | 6276000 | (57020) | 0 | (57020) |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 946000 | (7803) | 0 | (7803) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2029 | 347000 | (3186) | 0 | (3186) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(68009)** | **0** | **(68009)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(4)Represents floating rate.

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $268,710,907 or 14.8% of net assets.

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

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

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(g) Level 3 security

(h) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(j) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(k) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(l) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

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

(n) Includes $761,322 of cash collateral to cover margin requirements for futures contracts.

(o) Includes $122,850 of cash collateral segregated for bi-lateral over-the-counter (OTC) swaps.

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 87521297 | 200331088 | 142775683 | 968616 | - | - | 145076702 | 0.3% |
| Fidelity Emerging Markets Debt Central Fund | 39645062 | 531462 | - | 531462 | - | (136509) | 40040015 | 1.8% |
| Fidelity Floating Rate Central Fund | 118573646 | 2158619 | - | 2158619 | - | (1650567) | 119081698 | 5.0% |
| Fidelity International Credit Central Fund | 52040145 | 435559 | - | 435559 | - | (2074247) | 50401457 | 13.8% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 47988270 | 212715708 | 260703978 | 11065 | - | - | - | 0.0% |
| Fidelity Specialized High Income Central Fund | 127572572 | 1529412 | - | 1529412 | - | (295001) | 128806983 | 38.3% |
| Total | 473340992 | 417701848 | 403479661 | 5634733 | - | (4156324) | 483406855 |  |

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

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

**Investment Valuation**

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

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

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

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

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

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

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

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

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

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

**Derivative Instruments**

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

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

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

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

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

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

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

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

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

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Income Fund

- **b. Investment Company Act file number:** 811-04085

- **c. CIK number of Registrant:** 0000751199

- **d. LEI of Registrant:** D66RCKM57LC8ELZCAY58

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Total Bond K6 Fund

- **b. EDGAR series identifier (if any):** S000057288

- **c. LEI of Series:** 549300YDL7N53AVV4R59

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2219802765.61

**Total Liabilities:** $414097500.83

**Net Assets:** $1805705264.78

**Delayed Delivery Securities:** $271350231.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 18379.00213338 | **1-Year:** 104824.13325634 | **5-Year:** 266971.85509140 | **10-Year:** 292256.30356865 | **30-Year:** 245303.21396247

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

- **3-Month:** 732.43763151 | **1-Year:** 5249.19650612 | **5-Year:** 12952.46663928 | **10-Year:** 3766.19049742 | **30-Year:** 544.60161805

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000182864 | -4.27%               | -0.85%               | 3.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15234843.24            | $-68422763.91                              |
| Month 2  | $-3660026.35             | $-16947734.94                              |
| Month 3  | $-3755809.66             | $60580035.58                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Universal Bond Index

- **Index Identifier:** 19807815

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 02/20/2050#BQ4127                                                                      | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116438 | PA      | $105193.78    | 0.01%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BT1461                                                                         | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40416 | PA      | $33486.44     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77292 | PA      | $72385.70     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                             | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    660000 | NC      | $9029.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745127                                                                           | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3545 | PA      | $3511.25      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9605 | PA      | $10087.02     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/35 #828385                                                                           | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1831 | PA      | $1908.23      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 1ML+40 08/20/2042                                                  | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     50064 | PA      | $49151.58     | 0.00%             | 2042-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.2% 02/23/2023                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2989200.00   | 0.17%             | 2023-02-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 7.5% 06/01/2027#250951                                                                  | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $64.03        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                                 | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $444547.92    | 0.02%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/45#Q38550                                                                         | CUSIP: 3132QVQC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9038 | PA      | $8768.58      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/30 #535143                                                                           | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $131.30       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                  | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37845 | PA      | $34707.29     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK9019                                                                           | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7836 | PA      | $7572.64      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                 | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                            | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2356525 | PA      | $1837538.71   | 0.10%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                           | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1190000 | PA      | $1022549.05   | 0.06%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | DEUTSCHE BANK AG 4.5% 04/01/2025                                                                  | CUSIP: 251525AP6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3804000 | PA      | $3606869.19   | 0.20%             | 2025-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                           | ARGENTINA REPUBLIC OF STEP 07/09/2030                                                             | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    685010 | PA      | $181185.15    | 0.01%             | 2030-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2006-15 OP 0% 3/36                                                                            | CUSIP: 31395BTU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     10405 | PA      | $8760.44      | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11646 | PA      | $11534.73     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 1/41 #734151                                                                           | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11780 | PA      | $11380.42     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                  | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13473 | PA      | $12356.19     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/01/2032#BM1884                                                                    | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23983 | PA      | $22910.18     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479607                                                                          | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8197 | PA      | $7918.33      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 03/20/2047#MA4322                                                                      | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427568 | PA      | $414643.50    | 0.02%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 6.182% 6/37 #848188                                                                      | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3834 | PA      | $3938.04      | 0.00%             | 2037-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                                | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778000 | PA      | $719498.29    | 0.04%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/28 #420501                                                                           | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149 | PA      | $154.26       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/41 #005203                                                                       | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182034 | PA      | $176181.35    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 11/41 #Q04295                                                                          | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10813 | PA      | $10465.26     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                  | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299667 | PA      | $278187.89    | 0.02%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2051#FM7062                                                                  | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128582 | PA      | $977389.08    | 0.05%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2042#Q12164                                                                  | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3174 | PA      | $3072.09      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.242% 9/1/41#1B8659                                                                     | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4774 | PA      | $4791.19      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.5% 05/02/2043                                                                  | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    632000 | PA      | $476878.83    | 0.03%             | 2043-05-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 7/28 #406815                                                                           | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       339 | PA      | $352.61       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3037                                                                    | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121134 | PA      | $99987.21     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.75% 04/15/2027                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1184071.86   | 0.07%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH4987                                                                           | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2459 | PA      | $2377.11      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479494                                                                          | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24425 | PA      | $23583.60     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/40 #004853                                                                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136358 | PA      | $132041.11    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.87% 1/35 #735833                                                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5375 | PA      | $5361.06      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/38 #889733                                                                           | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1705.19      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.5% 01/31/2027                                                                         | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32740000 | PA      | $29711550.00  | 1.65%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 5.85% 02/01/2035                                                      | CUSIP: 136385AG6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $512897.92    | 0.03%             | 2035-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/35 #842191                                                                          | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1077.10      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.279% 03/15/2032 144A                                                             | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   3816000 | PA      | $3239780.76   | 0.18%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP7148                                                                          | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6135 | PA      | $5759.37      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                  | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52983 | PA      | $52659.94     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2051#CB0545                                                                  | CUSIP: 3140QKTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19651 | PA      | $18120.83     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    682000 | PA      | $668341.37    | 0.04%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/01/2052 #TBA                                                                        | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -16200000 | PA      | $-13755544.74 | -0.76%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 3.85% 06/22/2040                                                                      | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    437000 | PA      | $301022.15    | 0.02%             | 2040-06-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.875% 09/30/2029                                                                       | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25171875.00  | 1.39%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2046#G60989                                                                    | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246058 | PA      | $223635.42    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2048#BJ4970                                                                    | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32288 | PA      | $31075.88     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CORP ANDINA DE FOMENTO                                                          | CORP ANDINA DE FOMENTO 2.375% 05/12/2023                                                          | CUSIP: 219868CC8<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | VE        |   1400000 | PA      | $1380763.96   | 0.08%             | 2023-05-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 7/42 #AA5451                                                                           | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9006 | PA      | $8483.89      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                         | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426244 | PA      | $1401115.23   | 0.08%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036                                                    | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3607 | PA      | $336.55       | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.5% 04/19/2026                                                       | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2630000 | PA      | $2521726.61   | 0.14%             | 2026-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                  | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9802 | PA      | $8979.65      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                  | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24903 | PA      | $22838.44     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                       | FNS 343 16 5.5% 5/34                                                                              | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      2481 | PA      | $416.93       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                 | FLATIRON CLO LT 3ML+111 07/19/2034 144A                                                           | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    902000 | PA      | $873040.39    | 0.05%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1993-207 H 6.5% 11/23                                                                         | CUSIP: 31359E3G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       630 | PA      | $628.67       | 0.00%             | 2023-11-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2052#CB4024                                                                  | CUSIP: 3140QPPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534200 | PA      | $526147.89    | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 9/28 #458926                                                                           | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        61 | PA      | $62.46        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 2/1/43#AR5364                                                                      | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16022 | PA      | $15119.82     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                  | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                            | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    839000 | PA      | $815721.86    | 0.05%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/01/2052#RA6823                                                                    | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751658 | PA      | $620439.17    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 10/20/2044#MA2304                                                                    | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108076 | PA      | $105687.52    | 0.01%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 2.986% 10/01/2041#1B8864                                                                 | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36016 | PA      | $36312.07     | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 6/36 #745640                                                                           | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5624 | PA      | $5879.15      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                               | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    297000 | PA      | $212160.44    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745236                                                                           | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5860 | PA      | $5804.09      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2040#G06016                                                                  | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3966 | PA      | $3949.36      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 6.0% 05/15/2040#783362                                                                  | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31715 | PA      | $33317.91     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5720000 | PA      | $3639350.00   | 0.20%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.431/VAR 01/23/2030                                                               | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2242000 | PA      | $2120378.61   | 0.12%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 11/01/2050#SD7530                                                                  | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892071 | PA      | $772562.59    | 0.04%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2012-H03 FA 1ML+70 1/20/62 RVM                                                                | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    197590 | PA      | $196431.73    | 0.01%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #G06973                                                                           | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68144 | PA      | $65908.19     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 7% 2/32 #003202                                                                           | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       945 | PA      | $990.98       | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 3.85% 02/01/2025                                                 | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2014461.83   | 0.11%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3% 05/15/2032 144A                             | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1955000 | PA      | $1532241.03   | 0.08%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                  | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4685 | PA      | $4296.28      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2048#BK0167                                                                    | CUSIP: 3140HDFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8971 | PA      | $8636.74      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 6.39% 12/36 #1J1448                                                                      | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1882 | PA      | $1907.14      | 0.00%             | 2036-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2011-69 GX 4.5% 5/40                                                                          | CUSIP: 38377VH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    322502 | PA      | $326962.08    | 0.02%             | 2040-05-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK8228                                                                           | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17313 | PA      | $16728.95     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H12 FA 1ML+49 5/61                                                                       | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    325028 | PA      | $321944.79    | 0.02%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040                                                     | CUSIP: 38377RM51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    366004 | PA      | $332190.16    | 0.02%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                      | BETHP 2021 3ML+113 01/15/2035 144A                                                                | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1299000 | PA      | $1256013.49   | 0.07%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2052#                                                                        | CUSIP: 3133KNVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44896 | PA      | $41284.97     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2038#G31067                                                                  | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246729 | PA      | $238757.44    | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                               | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2843855 | PA      | $78127.53     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.737%/VAR 04/24/2024                                                              | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2482736.35   | 0.14%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD                                                              | ARES XXXIV CLO LTD 3ML+125 04/17/2033 144A                                                        | CUSIP: 04015GAP4<br>LEI: 549300VDFIIXSFET0S73 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $447306.30    | 0.02%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                      | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     99334 | PA      | $91693.25     | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.22% 3/37 #910296                                                                       | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5663 | PA      | $5662.09      | 0.00%             | 2037-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2137 PG 6% 3/29                                                                               | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1809 | PA      | $1839.79      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 9/36 #C02621                                                                           | CUSIP: 31292J4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       535 | PA      | $575.46       | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2303 ZV 6% 4/31                                                                               | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      6802 | PA      | $6930.15      | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 7/39 #782727                                                                           | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4550 | PA      | $4585.72      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2004-32 GS 650-1ML 5/34                                                                       | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      3887 | PA      | $317.89       | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H27 FA 1ML+38 12/60                                                                      | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    268277 | PA      | $265081.00    | 0.01%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2042#AQ9061                                                                    | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7481 | PA      | $7289.12      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+55 09/20/2061                                                    | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    106541 | PA      | $105632.74    | 0.01%             | 2061-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                                  | WALT DISNEY CO 3.8% 03/22/2030                                                                    | CUSIP: 254687FQ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1925695.20   | 0.11%             | 2030-03-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159000 | PA      | $137078.73    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2131 BG 6% 3/29                                                                               | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11475 | PA      | $11672.82     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    175000 | PA      | $168426.10    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                  | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47680 | PA      | $43230.65     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/28 #323317                                                                           | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $93.89        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2017-30 AI 5.5% 05/47                                                                         | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     41561 | PA      | $7517.69      | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 07/15/2046#AT7536                                                                    | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5242 | PA      | $5060.16      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.5% 06/15/2041#366975                                                                  | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51612 | PA      | $51121.95     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/31 #545304                                                                          | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $83.90        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 5.476% 01/25/2039                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    308000 | PA      | $283631.26    | 0.02%             | 2039-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/39 #698329                                                                           | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1242 | PA      | $1228.63      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE8538                                                                    | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6879 | PA      | $6646.60      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    738889 | PA      | $623260.64    | 0.03%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                      | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                      | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    678000 | PA      | $659882.23    | 0.04%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2049#CA3129                                                                    | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95378 | PA      | $91558.75     | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    346000 | PA      | $317821.32    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                                               | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $7559.00      | 0.00%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 10/20/2042#AC0073                                                                      | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37914 | PA      | $36590.49     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033 144A                          | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1467625.95   | 0.08%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 09/20/2051#MA7590                                                                      | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1325866 | PA      | $1203627.86   | 0.07%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.19% 9/33 #748643                                                                       | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14763 | PA      | $14980.47     | 0.00%             | 2033-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2010-135 ZA 4.5% 12/40                                                                        | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      7770 | PA      | $7791.45      | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                  | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9513 | PA      | $9514.47      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 1.95% 02/15/2028 144A                                                                | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    351000 | PA      | $296666.95    | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#FM9568                                                                    | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257450 | PA      | $213391.00    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                    | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1378176.75   | 0.08%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                  | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31777 | PA      | $29112.14     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                  | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69002 | PA      | $68623.70     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                  | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10294 | PA      | $9449.08      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31108 | PA      | $28528.62     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                  | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17142 | PA      | $16632.20     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.869%/VAR 01/12/2029 144A                                                   | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1570000 | PA      | $1254007.69   | 0.07%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.64% 4/36 #1J0058                                                                       | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1108 | PA      | $1116.29      | 0.00%             | 2036-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    744000 | PA      | $634742.87    | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5.00% 3/23 #889255                                                                      | CUSIP: 31410G5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.60         | 0.00%             | 2023-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 12/47#MA4901                                                                           | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27073 | PA      | $26186.99     | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4925 | PA      | $4769.57      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 10/20/2040#004828                                                                  | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25610 | PA      | $25245.55     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.25% 6/36 #886983                                                                       | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1804 | PA      | $1822.95      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 07/20/2039#004488                                                                  | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       760 | PA      | $747.90       | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.5% 07/01/2027                                                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    353000 | PA      | $337666.42    | 0.02%             | 2027-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 13-H08 MA 3% 03/20/2063                                              | CUSIP: 38375BN40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3633 | PA      | $3396.89      | 0.00%             | 2063-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.01% 7/35 #1M1050                                                                       | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1843 | PA      | $1871.78      | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1150000 | PA      | $-1163117.13  | -0.06%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#CB2420                                                                    | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251632 | PA      | $224437.96    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/32 #644809                                                                           | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $283.29       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.34% 5/36 #872506                                                                       | CUSIP: 31409JKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1253 | PA      | $1263.19      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/27 #250990                                                                           | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.52         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                  | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11308 | PA      | $11218.41     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#SD0265                                                                    | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619191 | PA      | $557112.29    | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                  | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36745 | PA      | $37026.30     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2046#AS7000                                                                    | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61766 | PA      | $56162.46     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/42#G07240                                                                      | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10614 | PA      | $9742.85      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063                                                     | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       592 | PA      | $572.03       | 0.00%             | 2063-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/29 #323968                                                                          | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $20.69        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                                    | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                                               | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566109 | PA      | $123732.58    | 0.01%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                                             | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     41087 | PA      | $2627.81      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 08/01/2038#K94341                                                                    | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23205 | PA      | $22759.49     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2051#QD1240                                                                    | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198154 | PA      | $175934.72    | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 1ML+145 10/15/2036 144A                                                             | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375300 | PA      | $1325016.00   | 0.07%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 8/32 #C01385                                                                           | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $459.27       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2050#CA5122                                                                    | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416300 | PA      | $374562.28    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                     | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9284 | PA      | $8514.19      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3415 PC 5% 12/37                                                                              | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     38159 | PA      | $38024.50     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL2                                                                  | PRPM 2021-RPL2 VAR 10/25/2051 144A                                                                | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    380186 | PA      | $332713.69    | 0.02%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 2/41 #A96807                                                                           | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20038 | PA      | $19396.67     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                                              | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                                     | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $749504.78    | 0.04%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+172.21 10/15/2036 144A                                  | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213000 | PA      | $1114437.93   | 0.06%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.6% 02/15/2041                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    549000 | PA      | $529092.60    | 0.03%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2007-66 SA -1ML+3960 7/37                                                                     | CUSIP: 31396WYX8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3492 | PA      | $4787.48      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.95% 04/01/2024                                                   | CUSIP: 681936BB5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2366579.76   | 0.13%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                       | VOYA CLO 2020-2 LTD/LLC 3ML+116 07/19/2034 144A                                                   | CUSIP: 92918HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    851000 | PA      | $825952.52    | 0.05%             | 2034-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-7 FC 1ML+75 1/32                                                                         | CUSIP: 31392B2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       279 | PA      | $280.17       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 5/32 #003238                                                                        | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3550 | PA      | $3673.94      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 7.00% 8/26 #C90997                                                                      | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       756 | PA      | $769.44       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#AS7024                                                                    | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17787 | PA      | $17263.90     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | OVINTIV INC 6.625% 08/15/2037                                                                     | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $361639.72    | 0.02%             | 2037-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.4% 01/15/2028                                                                | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    320000 | PA      | $295967.69    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 3.05% 06/05/2023                                                                    | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $1914038.71   | 0.11%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9500 | PA      | $9571.51      | 0.00%             | 2041-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 8/27 #928600                                                                      | CUSIP: 31412LUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $277.83       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 9/39 #710868                                                                           | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11706 | PA      | $12131.74     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 12/39 #728451                                                                          | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1842 | PA      | $1858.91      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064                                                     | CUSIP: 38375UDD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    389927 | PA      | $381176.91    | 0.02%             | 2064-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                  | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53226 | PA      | $50230.08     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037                                                    | CUSIP: 31396VYS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      2706 | PA      | $333.56       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #748482                                                                           | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3561 | PA      | $3596.03      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4% 03/01/2039#MA3612                                                                    | CUSIP: 31418DAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9874 | PA      | $9596.02      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/01/2045#BA0270                                                                    | CUSIP: 3140E4JQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10963 | PA      | $10637.31     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13425                                                                  | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13939 | PA      | $13593.58     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2877 ZD 5% 10/34                                                                              | CUSIP: 31395HNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    235424 | PA      | $234316.93    | 0.01%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/29 #500286                                                                           | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       206 | PA      | $214.85       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20549 | PA      | $17629.53     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/23 #351159                                                                           | CUSIP: 36203KB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $1.68         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.223/VAR 05/01/2029                                                | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2348651.23   | 0.13%             | 2029-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2048#G67713                                                                    | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6885 | PA      | $6682.56      | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B 1ML+125 10/15/2036 144A                                                            | CUSIP: 36262MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $147970.05    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                    | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    623000 | PA      | $567127.63    | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2049#QA5154                                                                    | CUSIP: 31346YWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347417 | PA      | $312042.80    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                              | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    329450 | PA      | $288281.13    | 0.02%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/35 #843567                                                                          | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $191.23       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 3.25% 01/15/2031                                                               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    213000 | PA      | $186060.23    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6239                                                                    | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214788 | PA      | $177761.39    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/23 #190215                                                                           | CUSIP: 31368HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $2.51         | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24090000 | PA      | $17396555.92  | 0.96%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 03/01/2037#MA2922                                                                    | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137829 | PA      | $130061.89    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2001-38 QF 1ML+98 8/31                                                                        | CUSIP: 313920QV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      2619 | PA      | $2651.36      | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -107 | NC      | $-96853.78    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 06/20/2039#004461                                                                  | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1742 | PA      | $1717.32      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/43#AL7261                                                                    | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41290 | PA      | $38762.83     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    485000 | PA      | $454934.85    | 0.03%             | 2032-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX 2021-SDMF                                                                    | BX 2021-SDMF A 1ML+58.9 09/15/2034 144A                                                           | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $381199.96    | 0.02%             | 2034-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #417739                                                                          | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $136.81       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                       | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6834000 | PA      | $6590126.32   | 0.36%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/41 #005055                                                                        | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115396 | PA      | $114706.29    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 IMC B 1ML+130 04/15/2034                                                            | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614000 | PA      | $589966.08    | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.11% 4/38 #1B3803                                                                       | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       955 | PA      | $957.46       | 0.00%             | 2038-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2 LLC                                                             | VOYA CLO 2019-2 LLC 3ML+127 07/20/2032 144A                                                       | CUSIP: 92917RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1290000 | PA      | $1263187.35   | 0.07%             | 2032-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 3/42 #Q07242                                                                           | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5995 | PA      | $5801.61      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2601 TB 5.5 4/23                                                                              | CUSIP: 31393P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        38 | PA      | $37.77        | 0.00%             | 2023-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96766                                                                           | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1530 | PA      | $1523.15      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEVRON PHIL CHEM LLC /CHEV LP                                                  | CHEVRON PHIL CHEM LLC /CHEV LP 5.125% 04/01/2025 144A                                             | CUSIP: 166754AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1206000 | PA      | $1209777.06   | 0.07%             | 2025-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                         | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79000 | PA      | $70125.72     | 0.00%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.125% 07/27/2026                                                                  | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2621000 | PA      | $2458444.90   | 0.14%             | 2026-07-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.627% 6/1/41#1B8372                                                                     | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12355 | PA      | $12483.34     | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                    | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                      | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    463062 | PA      | $361186.31    | 0.02%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    374000 | PA      | $316103.34    | 0.02%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    278000 | PA      | $297942.81    | 0.02%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2010-H03 FA 1ML+55 3/60                                                                       | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     77732 | PA      | $77127.32     | 0.00%             | 2060-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2021-1                                                          | BARINGS CLO LTD 2021-1A A 3ML+102 04/25/2034 144A                                                 | CUSIP: 06762EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1437000 | PA      | $1391905.50   | 0.08%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                             | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    319000 | PA      | $248022.50    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2042#C04320                                                                    | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120881 | PA      | $110960.74    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                    | CUSIP: 3136A7HT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      4516 | PA      | $159.61       | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2017-134 BA 2.5% 11/46                                                                        | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     72473 | PA      | $65528.48     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8987                                                                    | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5609 | PA      | $5235.37      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2035#CA5427                                                                  | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992887 | PA      | $926054.33    | 0.05%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC                                     | SYMPHONY CLO XXV LTD / SYMPHONY CLO XXV LLC 21-25A A 3ML+98 04/19/2034 144A                       | CUSIP: 87167WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1453000 | PA      | $1405527.58   | 0.08%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97152                                                                           | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2482 | PA      | $2471.86      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7787 | PA      | $7336.20      | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/42 #778882                                                                           | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13650 | PA      | $12869.04     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.686% 04/01/2044#AL5128                                                                 | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2409 | PA      | $2406.55      | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                  | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15482 | PA      | $14198.71     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNCL 2011-39 ZA 6% 11/32                                                                          | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     12339 | PA      | $12688.16     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#FM9539                                                                    | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163131 | PA      | $135009.60    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/40 #AB1898                                                                          | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2937 | PA      | $2918.14      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 3/24 #050994                                                                           | CUSIP: 313615UT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.95        | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                  | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6882 | PA      | $6707.35      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A                                           | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253606 | PA      | $237705.01    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 07/20/2044#MA2074                                                                    | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5722 | PA      | $5602.50      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/40 #782918                                                                           | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21975 | PA      | $22165.23     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                       | SAPPHIRE AVIATION FINANCE 3.228% 03/15/2040 144A                                                  | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    976408 | PA      | $735360.43    | 0.04%             | 2040-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2046#BC0796                                                                    | CUSIP: 3140EU3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94528 | PA      | $91776.97     | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 8/46#BC1509                                                                          | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236240 | PA      | $214806.96    | 0.01%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.8% 02/14/2029                                                                  | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    173000 | PA      | $166057.20    | 0.01%             | 2029-02-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2041#A97673                                                                  | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28966 | PA      | $28845.73     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C21                                                      | WFRBS COML MTG TR 2014-C21 XA CSTR 08/15/47                                                       | CUSIP: 92939FBA6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    826161 | PA      | $11151.85     | 0.00%             | 2047-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2036#MA4228                                                                  | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270867 | PA      | $238218.14    | 0.01%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A                           | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    342000 | PA      | $328032.72    | 0.02%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #724223                                                                           | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23116 | PA      | $22876.63     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#741529                                                                  | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1047 | PA      | $1035.56      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 10/39 #723224                                                                          | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2594 | PA      | $2614.71      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-32A A1                                                                | SYMP 2022-32A A1 TSFR3M+132 04/23/2035 144A                                                       | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1936000 | PA      | $1882535.42   | 0.10%             | 2035-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                  | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5758 | PA      | $5280.12      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 4.1% 10/01/2024                                                    | CUSIP: 105340AN3<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    995000 | PA      | $957558.15    | 0.05%             | 2024-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/24 #313987                                                                          | CUSIP: 31374GXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $24.65        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/49#BR8986                                                                         | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2285 | PA      | $2132.64      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                                  | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                                     | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $843045.12    | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 02/01/2037#AS8773                                                                    | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53201 | PA      | $50203.17     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.75% 03/24/2025                                                                      | CUSIP: 615369AS4<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1044000 | PA      | $1017312.81   | 0.06%             | 2025-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $403.60       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2043#AB9858                                                                  | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111453 | PA      | $102107.20    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                             | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                    | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    857000 | PA      | $833811.18    | 0.05%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $840592.19    | 0.05%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |    897000 | PA      | $641545.12    | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 5.45% 06/15/2023                                                               | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    214000 | PA      | $214125.30    | 0.01%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.05% 7/34 #801635                                                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $525.29       | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCKLAND PARK CLO LTD                                                           | ROCKLAND PARK CLO LTD 3ML+112 04/20/2034 144A                                                     | CUSIP: 773663AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1717000 | PA      | $1671410.22   | 0.09%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/01/2052 #TBA                                                                      | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -5100000 | PA      | $-4731344.97  | -0.26%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2006-104 GI -1ML+688 11/36                                                                    | CUSIP: 31396LMA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      7507 | PA      | $758.54       | 0.00%             | 2036-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                           | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698000 | PA      | $1576072.90   | 0.09%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2047#Q53034                                                                  | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49178 | PA      | $45930.30     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 1/41 #A96413                                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8213 | PA      | $7951.35      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 03/01/2041#MA4286                                                                  | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68221 | PA      | $55925.34     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                  | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53210 | PA      | $48798.54     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                                 | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    290000 | PA      | $263120.18    | 0.01%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                                        | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     50584 | PA      | $51152.52     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/40#AE3576                                                                         | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9320 | PA      | $9011.04      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2018-IND                                                                  | BX TR 2018-EXCL 1ML+262.5 7/19 144A                                                               | CUSIP: 12433WAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201600 | PA      | $174022.78    | 0.01%             | 2037-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.75% 06/24/2044                                                                 | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34082.72     | 0.00%             | 2044-06-24      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LLC                                                              | ARES LVIII CLO LLC SOFR90A+133 01/15/2035 144A                                                    | CUSIP: 04018AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1808000 | PA      | $1733416.38   | 0.10%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 07/01/2033#                                                                          | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113910 | PA      | $108813.27    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 11/27 #256993                                                                     | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1149 | PA      | $1170.22      | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) 5.125% 05/28/2024                                                          | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $987969.24    | 0.05%             | 2024-05-28      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 11/42 #AQ0170                                                                          | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5018 | PA      | $4704.89      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                         | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1531000 | PA      | $1300603.38   | 0.07%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.375% 01/31/2044                                                                | CUSIP: 02209SAR4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $990602.90    | 0.05%             | 2044-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#BO8254                                                                    | CUSIP: 3140K4E48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129710 | PA      | $116502.53    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $509025.29    | 0.03%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 4% 02/01/2025                                                                        | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    489000 | PA      | $475645.09    | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                  | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27559 | PA      | $25167.21     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2045#AZ7335                                                                    | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35486 | PA      | $34398.06     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                                      | CAMB COML MTG TR 2019-LIFE A 1ML+107 12/15/2037 144A                                              | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97867.22     | 0.01%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                    | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6154 | PA      | $5807.21      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                                                    | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     14735 | PA      | $459.39       | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/26 #572166                                                                          | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $19.97        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    170000 | NC      | $2325.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29632 | PA      | $27989.81     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                   | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC 3ML+113 10/25/2034 144A                             | CUSIP: 15033TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    838000 | PA      | $808222.51    | 0.04%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                                   | DISCOVER BANK 4.682%/VAR 08/09/2028                                                               | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    401000 | PA      | $386224.12    | 0.02%             | 2028-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6% 11/35 #AD0687                                                                             | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17036 | PA      | $17688.97     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.592% 05/01/2044#AW2459                                                                 | CUSIP: 3138XRWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.85         | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H13 FA 1ML+50 4/61                                                                       | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    229350 | PA      | $227145.83    | 0.01%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4% 09/01/2039#MA3773                                                                    | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11157 | PA      | $10877.92     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 4.65% 05/15/2050                                                     | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1913000 | PA      | $1381056.97   | 0.08%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/27 #394197                                                                           | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.83        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/27 #313711                                                                           | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.49        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 02/01/2052#CB2842                                                                    | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912473 | PA      | $752610.28    | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/42 #783532                                                                           | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4686 | PA      | $4417.73      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3026000 | PA      | $2860079.61   | 0.16%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                            | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    145789 | PA      | $134625.13    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                           | FIRST CITIZENS BANK and TRUST CO 6.125% 03/09/2028                                                | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    210000 | PA      | $215410.48    | 0.01%             | 2028-03-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.224% 4/41#1B8179                                                                       | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1181 | PA      | $1189.52      | 0.00%             | 2041-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 01/01/2044#V80950                                                                  | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7168 | PA      | $6981.78      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2049#CA2963                                                                  | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3246 | PA      | $3204.97      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                 | MADISON PK FDG XLV LLC 2020-45A AR 3ML+112 07/15/2034 144A                                        | CUSIP: 55820BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    923000 | PA      | $899085.07    | 0.05%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/41 #AH6233                                                                           | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3865 | PA      | $3737.01      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | OVINTIV INC 7.375% 11/01/2031                                                                     | CUSIP: 012873AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $471422.06    | 0.03%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#FM0076                                                                    | CUSIP: 3140X3CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592140 | PA      | $531477.68    | 0.03%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                  | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17221 | PA      | $16708.73     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 6/40 #733726                                                                           | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51005 | PA      | $51462.23     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                                           | COMM 14-CCRE18 MTG TR 3.828% 07/15/2047                                                           | CUSIP: 12632QAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $248418.87    | 0.01%             | 2047-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2011-67 AI IO 4% 7/26                                                                         | CUSIP: 31397U4B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     13004 | PA      | $376.42       | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                             | MAGNETITE XXIII LTD 3ML+113 01/25/2035 144A                                                       | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1132000 | PA      | $1095264.34   | 0.06%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                  | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14108 | PA      | $13374.14     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/35 #A37119                                                                           | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2902 | PA      | $2940.55      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                   | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    334219 | PA      | $282421.69    | 0.02%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 8/32 #582029                                                                           | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        52 | PA      | $54.62        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                           | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     53510 | PA      | $50022.59     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB10                                                                  | CFMT 2022-HB10 3.5% 11/25/2035 144A                                                               | CUSIP: 12529GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1421983.50   | 0.08%             | 2035-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                    | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167108 | PA      | $156742.18    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 3.125% 08/31/2029                                                                       | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29510000 | PA      | $28386083.91  | 1.57%             | 2029-08-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 07/51#QC4163                                                                         | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55023 | PA      | $45589.06     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/28 #460857                                                                           | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69 | PA      | $71.11        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.869% 5/36 #995608                                                                      | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2856 | PA      | $2888.65      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   3042000 | PA      | $2719744.63   | 0.15%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                     | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    400000 | PA      | $355120.00    | 0.02%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                  | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3659 | PA      | $3734.34      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                           | LCH OIS SOFRV2.5% MAC 12/21/29                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    347000 | NC      | $-3186.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 03/01/2033#BK4845                                                                    | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16568 | PA      | $15805.60     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 7/32 #G01433                                                                           | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $49.23        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                                               | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      4902 | PA      | $40.75        | 0.00%             | 2030-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #719262                                                                           | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3508 | PA      | $3541.22      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 12/01/2032#                                                                          | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $134.30       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3123 LO 0% 3/36                                                                               | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      6830 | PA      | $5523.83      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 03/01/2035#CA5428                                                                  | CUSIP: 3140QDA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890869 | PA      | $830624.78    | 0.05%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/40 #711495                                                                           | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46611 | PA      | $45058.57     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHR 2056 Z 6% 5/28                                                                                | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3163 | PA      | $3212.99      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $204634.59    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHR 1686 FA 1ML+90 2/24                                                                           | CUSIP: 3133T4DV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       169 | PA      | $169.50       | 0.00%             | 2024-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    339000 | PA      | $266322.15    | 0.01%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3036                                                                    | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123702 | PA      | $102300.15    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1445488.45   | 0.08%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.93% 05/01/2060                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    720000 | PA      | $668262.37    | 0.04%             | 2060-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 11/01/2039#MA3831                                                                    | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34221 | PA      | $31736.70     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28370                                                                    | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7593 | PA      | $7386.09      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/29 #527286                                                                          | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $129.68       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2005-81 PC 5.5% 9/35                                                                          | CUSIP: 31394FCS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      6198 | PA      | $6358.19      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   1337000 | PA      | $1260829.39   | 0.07%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 2.25% 01/15/2023                                                                   | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    259000 | PA      | $257792.61    | 0.01%             | 2023-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                                                        | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1522000 | PA      | $1505494.46   | 0.08%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 5.017% 06/26/2024 144A                                                        | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $192576.72    | 0.01%             | 2024-06-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                                            | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1520000 | PA      | $1395920.86   | 0.08%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#BD9690                                                                  | CUSIP: 3140FHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27759 | PA      | $26049.35     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 3.95% 11/06/2024                                                           | CUSIP: 254709AK4<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   4380000 | PA      | $4260275.81   | 0.24%             | 2024-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH 1.38% 07/15/2038 144A                                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449048 | PA      | $426532.74    | 0.02%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 05/50#FM3269                                                                         | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111426 | PA      | $100254.79    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-39 FD 1ML+100 3/32                                                                       | CUSIP: 31392DPW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       549 | PA      | $555.58       | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.375% 10/15/2028                                                                      | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    884000 | PA      | $861567.73    | 0.05%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H21 FA 1ML+60 10/61                                                                      | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    346301 | PA      | $343738.33    | 0.02%             | 2061-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 11/01/2036#AS8355                                                                    | CUSIP: 3138WJH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69803 | PA      | $65978.42     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/42#G60517                                                                       | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83613 | PA      | $83265.43     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 10/01/2031#G15963                                                                  | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42845 | PA      | $40558.90     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1850000 | PA      | $-1695062.50  | -0.09%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8172 | PA      | $8600.08      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC DEL                                                           | KINDER MORGAN INC DEL 5.55% 06/01/2045                                                            | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    415000 | PA      | $387288.01    | 0.02%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3433                                                                    | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180503 | PA      | $149330.20    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888544                                                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60403 | PA      | $63411.06     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                  | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125943 | PA      | $125136.61    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                    | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    169000 | PA      | $138365.06    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/40 #746823                                                                          | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1360 | PA      | $1315.55      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.24% 6/33 #847147                                                                       | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4084 | PA      | $4125.39      | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.1% 03/22/2028                                                        | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1151000 | PA      | $1007041.30   | 0.06%             | 2028-03-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96695                                                                           | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2571 | PA      | $2557.05      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/28 #416823                                                                           | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $26.23        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036                                                    | CUSIP: 31396LZK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      5034 | PA      | $687.73       | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6241                                                                    | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871935 | PA      | $1546316.85   | 0.09%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                  | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10364 | PA      | $9583.42      | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/40 #A91937                                                                           | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8656 | PA      | $8821.89      | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                                                      | HASBRO INC 3% 11/19/2024                                                                          | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    890000 | PA      | $851593.23    | 0.05%             | 2024-11-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#CB2048                                                                  | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903995 | PA      | $776250.93    | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3630000 | PA      | $3299334.66   | 0.18%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                       | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1964957 | PA      | $1888562.15   | 0.10%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2121 MG 6% 2/29                                                                               | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1602 | PA      | $1628.09      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2499000 | PA      | $2002289.86   | 0.11%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6% 01/01/2035#787546                                                                    | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22076 | PA      | $23048.25     | 0.00%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457000 | PA      | $429339.48    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                                 | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268000 | PA      | $251667.76    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                                          | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A                                  | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003242 | PA      | $983578.02    | 0.05%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 07/01/2041#AI6050                                                                   | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4404 | PA      | $4455.33      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 06/01/2050#RA2677                                                                    | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766224 | PA      | $637012.19    | 0.04%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 2.636%/VAR 03/03/2026                                                  | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1062000 | PA      | $990363.09    | 0.05%             | 2026-03-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 09/01/2051#CB1549                                                                  | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250328 | PA      | $215697.37    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2424 FM 1ML+100 3/32                                                                          | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       297 | PA      | $300.36       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 06/20/2045#MA2893                                                                    | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103265 | PA      | $100982.09    | 0.01%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2423 FA 1ML+100 3/32                                                                          | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       335 | PA      | $337.80       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                                           | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                                                       | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    204978 | PA      | $189684.88    | 0.01%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5.50% 12/23 #995460                                                                     | CUSIP: 31416BZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $19.56        | 0.00%             | 2023-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/40 #AE6775                                                                          | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20830 | PA      | $20148.60     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/25 #250345                                                                           | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.25         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 12/01/2052 #TBA                                                                      | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -45600000 | PA      | $-37503150.00 | -2.08%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #724220                                                                           | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17458 | PA      | $17276.40     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                         | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                          | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260228.48    | 0.01%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 4.78% 03/25/2038                                                                  | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2092000 | PA      | $1933407.36   | 0.11%             | 2038-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                          | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                      | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2287000 | PA      | $1940355.02   | 0.11%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                  | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140534 | PA      | $132394.34    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40046                                                                  | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54418 | PA      | $51215.49     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                  | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12014 | PA      | $11326.06     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                  | SYNCHRONY BANK 5.625% 08/23/2027                                                                  | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   1253000 | PA      | $1213028.64   | 0.07%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/20/2048#MA5330                                                                      | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283564 | PA      | $273751.75    | 0.02%             | 2048-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6.125% 12/15/2045                                                              | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94710.15     | 0.01%             | 2045-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 09/01/2041#AI9813                                                                   | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3128 | PA      | $3159.50      | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $922000.41    | 0.05%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.3% 03/25/2028                                                                       | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1961000 | PA      | $1699113.78   | 0.09%             | 2028-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #710849                                                                           | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14038 | PA      | $14146.59     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 11/01/2040#A94862                                                                  | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1761 | PA      | $1753.35      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/36 #AH8017                                                                           | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2024 | PA      | $1959.93      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                 | ARES LV CLO LTD 2020-55A A1R 3ML+113 07/15/2034 144A                                              | CUSIP: 04018BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1286000 | PA      | $1250326.36   | 0.07%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/2052#BV1314                                                                    | CUSIP: 3140MEN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34586 | PA      | $30686.04     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1727000 | PA      | $1528250.47   | 0.08%             | 2030-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.8% 04/01/2027                                                                       | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1423000 | PA      | $1298506.60   | 0.07%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/35 #255844                                                                           | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5720 | PA      | $5980.50      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.8% 04/01/2047                                                                         | CUSIP: 42809HAH0<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    874000 | PA      | $848983.19    | 0.05%             | 2047-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/28 #405455                                                                           | CUSIP: 31378QMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1638.07      | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                  | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7594 | PA      | $6964.58      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185813 | PA      | $169113.04    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 3/31 #003053                                                                         | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       162 | PA      | $168.70       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                                         | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                                   | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    471708 | PA      | $452879.60    | 0.03%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 09/01/2052#SD1572                                                                    | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197940 | PA      | $199446.58    | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2135 JE 6% 3/29                                                                               | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       788 | PA      | $802.09       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.125% 09/24/2025 144A                                                               | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $485041.42    | 0.03%             | 2025-09-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2031#J34501                                                                  | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28825 | PA      | $27341.11     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14669 | PA      | $14287.55     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.3% 11/20/2026                                                                     | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6314000 | PA      | $6159338.38   | 0.34%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 03/01/2045#AY1124                                                                       | CUSIP: 3138YEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7628 | PA      | $7408.70      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 08/01/2038#K94337                                                                    | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45362 | PA      | $44491.07     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    681000 | PA      | $577009.07    | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2048#V83994                                                                    | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28026 | PA      | $27007.27     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2050#RA2457                                                                    | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210124 | PA      | $188926.37    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 06/01/2050#SD7518                                                                    | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101027 | PA      | $91024.39     | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                  | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34808 | PA      | $34442.77     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                       | HEALTHPEAK PROPERTIES 3.25% 07/15/2026                                                            | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    113000 | PA      | $106773.97    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/01/2052 #TBA                                                                        | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18850000 | PA      | $16005680.15  | 0.89%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027 144A                                                    | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1551000 | PA      | $1451822.58   | 0.08%             | 2027-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 4.198%/VAR 06/01/2032 144A                                                    | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    242000 | PA      | $178490.90    | 0.01%             | 2032-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2015-70 JC 3% 10/45                                                                           | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     82968 | PA      | $78565.45     | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.50% 11/41 #005232                                                                       | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77481 | PA      | $73121.69     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                                    | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11596 | PA      | $258.60       | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16125 | PA      | $15171.35     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#CB2890                                                                    | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51760 | PA      | $45923.32     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34881000 | PA      | $22938345.20  | 1.27%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/01/2046#BC1130                                                                    | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105056 | PA      | $101998.30    | 0.01%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                            | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $895788.62    | 0.05%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH C 1ML+170 07/15/2038 144A                                          | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330929 | PA      | $314336.34    | 0.02%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1037975.64   | 0.06%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1448 | PA      | $1442.20      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC D 1ML+185 04/15/2034 144A                                                       | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426000 | PA      | $397408.41    | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 10/20/2051#MA7650                                                                      | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1353996 | PA      | $1228635.50   | 0.07%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/46#BC1443                                                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102900 | PA      | $100419.65    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2048#Q55992                                                                    | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176440 | PA      | $170579.42    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1994-42 FK 1MT10Y-50 4/24                                                                     | CUSIP: 31359HYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      2954 | PA      | $2930.52      | 0.00%             | 2024-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 9/41 #AJ0165                                                                           | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3059 | PA      | $2955.72      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 2.875% 03/25/2031                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2460000 | PA      | $2057637.73   | 0.11%             | 2031-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061                                        | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      2869 | PA      | $2832.80      | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2033#                                                                          | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       831 | PA      | $859.64       | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    483000 | PA      | $496257.60    | 0.03%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 11/01/2052#CB5139                                                                  | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149518 | PA      | $1164931.99   | 0.06%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1463000 | PA      | $1384775.12   | 0.08%             | 2032-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                  | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11139 | PA      | $10807.40     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 3.95% 06/01/2025                                                          | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    174000 | PA      | $166605.00    | 0.01%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2032#                                                                          | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $542.93       | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19988                                                                  | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5977 | PA      | $5824.96      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.875% 12/01/2024                                                                         | CUSIP: 55336VAG5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    272000 | PA      | $269652.94    | 0.01%             | 2024-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6434                                                                  | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694905 | PA      | $596489.84    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 3/41 #A97661                                                                           | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12531 | PA      | $12478.62     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2003-118 S -1ML+81 12/33                                                                      | CUSIP: 31393UNH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     10700 | PA      | $1654.10      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2545 | PA      | $2532.68      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/50#RA2141                                                                         | CUSIP: 3133KHLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20658 | PA      | $19754.71     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.80% 7/34 #849923                                                                       | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1611 | PA      | $1642.90      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2052#SD1862                                                                    | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300061 | PA      | $303282.39    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                    | AUTOZONE INC 3.625% 04/15/2025                                                                    | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    239000 | PA      | $232426.24    | 0.01%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 11/25 #415760                                                                          | CUSIP: 36206MZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $13.59        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 03/01/2045#AY9025                                                                       | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8273 | PA      | $8070.62      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2015-H13 HA 2.5% 08/64                                                                        | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1291 | PA      | $1211.94      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                    | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    375698 | PA      | $305893.43    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 08/15/2032                                                                        | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51025000 | PA      | $47261906.25  | 2.62%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 9/41 #772063                                                                           | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10064 | PA      | $9721.15      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    861000 | PA      | $817995.67    | 0.05%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 06/01/2045#Q34467                                                                  | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8157 | PA      | $7960.10      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/39 #704665                                                                           | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2421 | PA      | $2440.42      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 TR                                                                 | AASET 2018-1A A 3.844% 1/38 144A                                                                  | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    320180 | PA      | $193891.44    | 0.01%             | 2038-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                  | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40801 | PA      | $41107.14     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9601338.00   | 0.53%             | 2028-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.6% 02/15/2033 144A                                                                 | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3032000 | PA      | $2291011.67   | 0.13%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AB3872                                                                          | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52853 | PA      | $51088.73     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H010 FA 1ML+33 5/60                                                                      | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     39080 | PA      | $38592.40     | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2049#BN6036                                                                    | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27387 | PA      | $26264.28     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    153000 | PA      | $118925.89    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG3507                                                                      | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11092 | PA      | $10715.27     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 3/41 #783267                                                                           | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23861 | PA      | $23062.72     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP                            | COLUMBIA CENT CLO 32 LTD / COLUMBIA CENT CLO 32 CORP TSFR3M+170 07/24/2034 144A                   | CUSIP: 19737TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1758000 | PA      | $1686799.24   | 0.09%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    700000 | PA      | $660417.87    | 0.04%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 1/31 #781247                                                                           | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.97        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                  | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9832 | PA      | $9299.65      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/26 #323242                                                                          | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.71        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 06/01/2035#310165                                                                  | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19812 | PA      | $19990.87     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3.5% 05/38#MA3360                                                                       | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11036 | PA      | $10560.14     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745138                                                                           | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4612 | PA      | $4566.86      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 6.03% 1/37 #1A1202                                                                       | CUSIP: 3128NFKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2531 | PA      | $2519.99      | 0.00%             | 2037-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    420000 | NC      | $5745.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                          | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    220258 | PA      | $101218.08    | 0.01%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.12% 7/35 #1L0109                                                                       | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12077 | PA      | $12335.48     | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.638% 03/15/2025 144A                                                             | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    498000 | PA      | $475510.80    | 0.03%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L      | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2028823 | PA      | $1660524.66   | 0.09%             | 2046-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2033#CA2266                                                                  | CUSIP: 3140Q9QU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8610 | PA      | $8079.24      | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2035#FM2518                                                                  | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87136 | PA      | $81270.52     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/46#G60551                                                                         | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227267 | PA      | $221635.66    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2045#AZ4344                                                                  | CUSIP: 3138YVZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8326 | PA      | $8083.88      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2040#V81886                                                                  | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25527 | PA      | $24048.33     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 02/01/2035#QN1578                                                                  | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140991 | PA      | $131456.28    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023                                                    | CUSIP: 31393UQG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      5309 | PA      | $5336.60      | 0.00%             | 2023-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                      | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4950 | PA      | $4620.06      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.55% 01/23/2049                                                   | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1824000 | PA      | $1867460.21   | 0.10%             | 2049-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2412 FK 1ML+80 1/32                                                                           | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       215 | PA      | $216.13       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/28 #437762                                                                           | CUSIP: 31380EJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.98         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.50% 6/24 #AA6863                                                                      | CUSIP: 31416QTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $169.61       | 0.00%             | 2024-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2034#FM0046                                                                    | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171615 | PA      | $163399.42    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRISTOL PARK CLO LTD 2016                                                       | BRISTOL PARK CLO LTD 2016 3ML+99 04/15/2029 144A                                                  | CUSIP: 11014PAJ4<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |   1331358 | PA      | $1309899.60   | 0.07%             | 2029-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/45#AZ3341                                                                         | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15409 | PA      | $14979.73     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.375% 04/15/2040                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    269000 | PA      | $233975.98    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    700000 | PA      | $684229.00    | 0.04%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3244 SG -1ML+666 11/36                                                                        | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     15690 | PA      | $1887.10      | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 3/41 #004977                                                                        | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11262 | PA      | $10904.46     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL C 1ML+130 10/15/2036 144A                                                        | CUSIP: 056054AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672350 | PA      | $653945.29    | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#AS6352                                                                    | CUSIP: 3138WGBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20665 | PA      | $20069.87     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                           | ARGENTINA REPUBLIC OF STEP 07/09/2035                                                             | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1254989 | PA      | $304334.83    | 0.02%             | 2035-07-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2052#FS0605                                                                  | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1058980 | PA      | $910327.62    | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02763                                                                           | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2075 | PA      | $2082.88      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/39 #A88585                                                                           | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9220 | PA      | $9157.26      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | WI 2022-K150 A2 3.71% 11/32                                                                       | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $376926.20    | 0.02%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                       | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2671014.64   | 0.15%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    341000 | PA      | $280532.29    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3120 | PA      | $3159.78      | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 3.125% 09/01/2026                                                            | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   2775000 | PA      | $2504792.56   | 0.14%             | 2026-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 12/01/2051#RA6496                                                                  | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266318 | PA      | $228601.09    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.8% 03/15/2032 144A                                                    | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    917000 | PA      | $811811.88    | 0.04%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.1% 03/15/2052 144A                                                                  | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    288000 | PA      | $235046.32    | 0.01%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                                    | CEDF 2016-6A ARR 3ML+105 04/20/2034 144A                                                          | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1199000 | PA      | $1154108.24   | 0.06%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4226 | PA      | $4208.40      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                         | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953000 | PA      | $898507.56    | 0.05%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                  | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20554 | PA      | $20517.35     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/30 #546336                                                                           | CUSIP: 31385J4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $44.42        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 04/20/2048#BG7744                                                                      | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9024 | PA      | $8717.43      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2526 FC 1ML+40 11/32                                                                          | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3713 | PA      | $3697.83      | 0.00%             | 2032-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 11/01/2052#CB5128                                                                    | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499350 | PA      | $504242.36    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                     | MADISON PK FDG L LTD / MADISON PK FDG L LLC 3ML+114 04/19/2034 144A                               | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1690000 | PA      | $1644817.85   | 0.09%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 6.54% 02/01/2039#                                                                       | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18336 | PA      | $18774.25     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2042#AJ7531                                                                  | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10779 | PA      | $10123.46     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2049#MA3593                                                                  | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8944 | PA      | $8825.47      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 8/42 #AO9892                                                                           | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10583 | PA      | $9934.71      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #738885                                                                          | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6514 | PA      | $6293.35      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 1999-17 PG 6% 4/29                                                                            | CUSIP: 31359VSD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3127 | PA      | $3169.81      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $41.07        | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2033#ZS8703                                                                  | CUSIP: 3132A9U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79471 | PA      | $74569.03     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #Q03090                                                                           | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20651 | PA      | $20731.31     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 11/01/2036#MA2804                                                                    | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11948 | PA      | $11293.26     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    941380 | PA      | $773616.67    | 0.04%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.44% 2/37 #888171                                                                       | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18906 | PA      | $18998.69     | 0.00%             | 2037-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8364 | PA      | $8146.46      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        77 | PA      | $79.87        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 3.705/VAR 04/24/2028                                                  | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    528000 | PA      | $491833.83    | 0.03%             | 2028-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 06/01/2051#FM7507                                                                  | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1692667 | PA      | $1461673.66   | 0.08%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING 2015                                                       | MADISON PARK FUNDING 2015-19A A1R2 3ML+92 01/22/2028 144A                                         | CUSIP: 55819QAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    899477 | PA      | $887566.75    | 0.05%             | 2028-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/26 #339830                                                                           | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $252.92       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                  | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19143 | PA      | $19199.60     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                           | LCH OIS SOFRV2.75% MAC 12/21/27                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    946000 | NC      | $-7803.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                  | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48238 | PA      | $47958.97     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/41 #783501                                                                           | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36914 | PA      | $37226.37     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#J38057                                                                    | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6914 | PA      | $6601.76      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/35 #830779                                                                           | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       302 | PA      | $322.13       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 05/47#BM1277                                                                         | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103307 | PA      | $100106.54    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2048#Q54900                                                                  | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57036 | PA      | $53233.93     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2046#BM4548                                                                  | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97301 | PA      | $96759.96     | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.75% 01/31/2029                                                                        | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29322000 | PA      | $26037019.69  | 1.44%             | 2029-01-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 5.882/VAR 07/08/2031                                               | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4310665.40   | 0.24%             | 2031-07-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Central Investment Portfolios II LLC                                   | Fidelity International Credit Central Fund                                                        | CUSIP: 31607D202<br>LEI: 0VPAEPVECBYQ0ULYZJ60 | Long             | EC               | RF                | US        |    618954 | NS      | $50401457.28  | 2.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                  | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13020 | PA      | $11818.33     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 9/39 #710839                                                                           | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6509 | PA      | $6442.37      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-74 FV 1ML+45 11/32                                                                       | CUSIP: 31392FRJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     17048 | PA      | $17026.79     | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41457 | PA      | $40091.27     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2045#BC0997                                                                    | CUSIP: 3140EVDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4417 | PA      | $4281.37      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.75% 11/20/2025                                                                    | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1539199.66   | 0.09%             | 2025-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2047#AX5831                                                                    | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6295 | PA      | $6070.66      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    340000 | NC      | $4651.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7679 | PA      | $7467.60      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/39 #692706                                                                           | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3942 | PA      | $3899.68      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3832 PE 5% 3/41                                                                               | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     47371 | PA      | $47608.14     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 3/28 #251570                                                                           | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $71.27        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 4/42 #C03856                                                                           | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52541 | PA      | $50834.13     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.75% 02/15/2051 144A                                                                | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $798156.06    | 0.04%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 12/01/2040#MA4204                                                                    | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400888 | PA      | $343932.95    | 0.02%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2.25% 03/15/2026                                                        | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    348000 | PA      | $305646.34    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                  | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290009 | PA      | $268428.92    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 11/01/2049#QA4483                                                                    | CUSIP: 31339U6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125988 | PA      | $113159.56    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.75% 04/15/2058                                                   | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    613000 | PA      | $560245.13    | 0.03%             | 2058-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP5129                                                                           | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11030 | PA      | $10344.71     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                                | FIRSTENERGY CORP 7.375% 11/15/2031                                                                | CUSIP: 337932AC1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1154000 | PA      | $1299416.98   | 0.07%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/28 #464767                                                                           | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        24 | PA      | $25.39        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 05/01/2045#G61807                                                                    | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44867 | PA      | $43421.00     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/35#BO9279                                                                       | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64846 | PA      | $60480.75     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 12/23 #780657                                                                          | CUSIP: 36225AWS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90 | PA      | $90.06        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545759                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20180 | PA      | $21139.22     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                  | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289225 | PA      | $266686.83    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3432                                                                    | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157887 | PA      | $130275.01    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.375% 05/15/2025                                                              | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    176000 | PA      | $169383.96    | 0.01%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 4/1/43 #AB8881                                                                       | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13548 | PA      | $12425.14     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 3.75% 05/15/2030                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    481000 | PA      | $426352.44    | 0.02%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2947 XZ 6% 3/35                                                                               | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     21009 | PA      | $21753.77     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 8/30 #567034                                                                           | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1614 | PA      | $1679.84      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 12/01/2032#SB0030                                                                    | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69922 | PA      | $67033.46     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3119 PO 0 2/36                                                                                | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     12346 | PA      | $9918.31      | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2032#ZS8675                                                                  | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7537 | PA      | $7100.47      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                          | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    168000 | PA      | $155400.00    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2240 | PA      | $2277.81      | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AL2537                                                                           | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21093 | PA      | $19783.33     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                  | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13398 | PA      | $12222.95     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H17 FA 1ML+53 6/61                                                                       | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    317234 | PA      | $314595.02    | 0.02%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/39 #G08368                                                                          | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16913 | PA      | $16823.69     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                  | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9238 | PA      | $9003.70      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#AS8010                                                                  | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31779 | PA      | $30056.87     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 6.29% 3/36 #1G1852                                                                       | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1643 | PA      | $1633.26      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2047000 | PA      | $1901450.21   | 0.11%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 2/44 #AG9361                                                                           | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8101 | PA      | $7674.81      | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                    | HUDSON PAC PPTYS LP 4.65% 04/01/2029                                                              | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   1473000 | PA      | $1282712.48   | 0.07%             | 2029-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                  | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40461 | PA      | $40278.38     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                       | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     61104 | PA      | $55644.91     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/29 #252805                                                                          | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.87        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.5% 11/31 #003161                                                                        | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $127.41       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    989000 | PA      | $623366.70    | 0.03%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 10/01/2031#MA2775                                                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8094 | PA      | $7655.75      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 8/40 #737311                                                                           | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3728 | PA      | $3762.97      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00753                                                                           | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3733 | PA      | $3718.28      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 01/01/2053 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  29900000 | PA      | $24616577.31  | 1.36%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.50% 9/34 #574764                                                                           | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       463 | PA      | $486.67       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/31 #622547                                                                           | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       312 | PA      | $329.60       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                       | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2682000 | PA      | $2519319.24   | 0.14%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                          | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $363989.63    | 0.02%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03358                                                                           | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8396 | PA      | $8124.41      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/41 #AL0913                                                                           | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20246 | PA      | $21280.49     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-75 FA 1ML+100 11/32                                                                      | CUSIP: 31392FMU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1185 | PA      | $1198.73      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6302                                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807878 | PA      | $666592.59    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                | KINDER MORGAN ENERGY PTNRS LP 3.45% 02/15/2023                                                    | CUSIP: 494550BM7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    362000 | PA      | $360695.71    | 0.02%             | 2023-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $899462.80    | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/28 #251822                                                                           | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $69.42        | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                   | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    260000 | PA      | $229735.96    | 0.01%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/51#BQ1010                                                                         | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80089 | PA      | $66232.49     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC C 1ML+160 04/15/34 144A                                                         | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406000 | PA      | $386028.33    | 0.02%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #737007                                                                           | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4315 | PA      | $4267.78      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2015-H13 FL 1ML+28 05/63                                                                      | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3646 | PA      | $3563.61      | 0.00%             | 2063-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2003-21 SK -1ML+810 3/33                                                                      | CUSIP: 31392JY37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       672 | PA      | $84.44        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                  | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21605 | PA      | $19813.27     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                                       | HEALTHPEAK PROPERTIES 3.5% 07/15/2029                                                             | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    129000 | PA      | $115709.33    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2040#V81750                                                                  | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41969 | PA      | $39564.68     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                       | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    450000 | PA      | $423780.36    | 0.02%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+107.21 10/15/2036 144A                                  | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359000 | PA      | $334429.47    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 02/01/2041#                                                                          | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20112 | PA      | $17254.88     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.323/VAR 04/26/2028                                                        | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4791931.15   | 0.27%             | 2028-04-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.7% 02/01/2036                                                      | CUSIP: 035242AM8<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   2133000 | PA      | $2046602.15   | 0.11%             | 2036-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   3349000 | PA      | $3091297.43   | 0.17%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                          | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    138000 | PA      | $134209.83    | 0.01%             | 2026-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/28 #251410                                                                           | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $39.91        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2050#CA6009                                                                  | CUSIP: 3140QDVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35675 | PA      | $32911.31     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385600 | PA      | $373142.01    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                  | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20281 | PA      | $20087.32     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                             | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                    | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    859035 | PA      | $660768.23    | 0.04%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                                         | UBSCM 2017-C7 XA CSTR 12/50                                                                       | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1316212 | PA      | $46800.94     | 0.00%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103000 | PA      | $89743.58     | 0.00%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 09/47#MA4720                                                                           | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5299 | PA      | $5129.03      | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.8% 05/01/2025                                                                     | CUSIP: 02005NBJ8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1072000 | PA      | $1076424.77   | 0.06%             | 2025-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                  | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2210000 | PA      | $2106491.93   | 0.12%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE7376                                                                    | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3597 | PA      | $3476.45      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2046#Q40085                                                                  | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47191 | PA      | $44443.27     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01208                                                                           | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2629 | PA      | $2616.17      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0288                                                                    | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391177 | PA      | $322766.39    | 0.02%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6.5% 08/01/2032#                                                                        | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $708.76       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $2118496.54   | 0.12%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13350000 | PA      | $12231937.50  | 0.68%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE7679                                                                    | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11784 | PA      | $11386.88     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2052#CB4025                                                                  | CUSIP: 3140QPPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540198 | PA      | $531211.67    | 0.03%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #931506                                                                           | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3868 | PA      | $3842.80      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.898% 5/35 #995272                                                                      | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1456 | PA      | $1461.93      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#BE8819                                                                    | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97748 | PA      | $94597.36     | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CMBX AAACDSIGEN 12                                                                    | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   2370000 | NC      | $23535.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    170000 | NC      | $2325.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Central Investment Portfolios LLC                                      | Fidelity Floating Rate Central Fund                                                               | CUSIP: 31606V708<br>LEI: S2V1M15I679NQK6BNY65 | Long             | EC               | RF                | US        |   1238501 | NS      | $118301574.45 | 6.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1217 | PA      | $1227.93      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/40 #A94662                                                                          | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4282 | PA      | $4264.02      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 2017-74 SH 1ML+620 10/25/2047                                      | CUSIP: 3136AX5D3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    333344 | PA      | $39309.32     | 0.00%             | 2047-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BEECHWOOD PARK CLO LTD                                                          | BEECHWOOD PARK CLO LTD 19-1A A1R TSFR3M+130 01/17/2035 144A                                       | CUSIP: 07355TAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1857000 | PA      | $1819102.34   | 0.10%             | 2035-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/28 #413862                                                                           | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $165.65       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H05 FA 1ML+50 12/60                                                                      | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    273295 | PA      | $270912.30    | 0.02%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#G67716                                                                  | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104896 | PA      | $104550.65    | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                    | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4400000 | PA      | $-3845546.32  | -0.21%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 4.25% 08/09/2042                                                                 | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    932000 | PA      | $694921.34    | 0.04%             | 2042-08-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 6.00% 11/31 #003160                                                                       | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       733 | PA      | $757.25       | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-63 FN 1ML+100 10/32                                                                      | CUSIP: 31392ED23<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       765 | PA      | $773.46       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2008-83 FB 1ML+90 9/38                                                                        | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     50109 | PA      | $50699.33     | 0.00%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2051#CB2446                                                                  | CUSIP: 3140QMWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72957 | PA      | $67089.08     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2010-150 ZC 4.75% 01/41                                                                       | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     75916 | PA      | $75427.46     | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    300000 | NC      | $4104.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                    | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      4758 | PA      | $168.80       | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 5/40 #004696                                                                        | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3115 | PA      | $3095.85      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 04/30/2029                                                                       | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5411700 | PA      | $5128431.33   | 0.28%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.705% 05/01/2040                                                                       | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    720000 | PA      | $686066.36    | 0.04%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                | MORGAN STANLEY CAP I TR 2018-BOP 1ML+125 06/15/2035 144A                                          | CUSIP: 61768FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501600 | PA      | $472736.13    | 0.03%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                     | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    321821 | PA      | $258273.21    | 0.01%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                           | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC 3ML+115 10/15/2035 144A                                     | CUSIP: 26246BAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1156000 | PA      | $1118219.61   | 0.06%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.375% 10/31/2024                                                                       | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1399671.87   | 0.08%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2052#                                                                        | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485177 | PA      | $445346.93    | 0.02%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063                                                    | CUSIP: 38375B5Q1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     53131 | PA      | $52967.60     | 0.00%             | 2063-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.84% 01/23/2030                                                              | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   6742000 | PA      | $5535182.00   | 0.31%             | 2030-01-23      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 10/01/2045#Q37045                                                                    | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6999 | PA      | $6797.24      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2049#CA4860                                                                    | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423411 | PA      | $380299.36    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                              | PEACE PARK CLO LTD 3ML+113 10/20/2034 144A                                                        | CUSIP: 70470MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1254000 | PA      | $1218849.13   | 0.07%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 5.55% 03/15/2026                                                        | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    831000 | PA      | $831000.00    | 0.05%             | 2026-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #AE0746                                                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48522 | PA      | $50894.26     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6339 | PA      | $6178.37      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                    | MAGNETITE XXI LTD 2019-21A A 3ML+102 04/20/2034 144A                                              | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1158000 | PA      | $1123322.53   | 0.06%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                                           | REYNOLDS AMERICAN INC 7.25% 06/15/2037                                                            | CUSIP: 761713AT3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     75000 | PA      | $77075.78     | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/41 #734392                                                                           | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4185 | PA      | $4228.40      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2048#CA2631                                                                    | CUSIP: 3140Q94R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36160 | PA      | $34288.28     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/40 #AD0732                                                                           | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9255 | PA      | $9735.74      | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #682568                                                                          | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12943 | PA      | $12512.33     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $263.05       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                    | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25138 | PA      | $22820.59     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC                         | EATON VANCE CLO 2013-1 LTD / EATON VANCE CLO 2013-1 LLC 3ML+125 01/15/2034 144A                   | CUSIP: 27830BBN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $340947.95    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                                    | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11706 | PA      | $11817.18     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 10/15/2040#705890                                                                  | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11100 | PA      | $10729.63     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/01/2052 #TBA                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15600000 | PA      | $13687074.96  | 0.76%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 4/32 #C01343                                                                           | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       174 | PA      | $182.19       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.252% 08/01/2041#                                                                      | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32422 | PA      | $32620.38     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1020000 | NC      | $13954.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.893% 10/35 #847787                                                                     | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3032 | PA      | $3025.36      | 0.00%             | 2035-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 03/01/2041#RB5104                                                                  | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68057 | PA      | $55790.62     | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 3% 12/01/2037 #TBA                                                                      | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $564656.28    | 0.03%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                           | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185500.00    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 09/01/2052#CB4682                                                                    | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545147 | PA      | $549296.38    | 0.03%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035                                                    | CUSIP: 31395MRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     43457 | PA      | $44787.80     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                  | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42970 | PA      | $39406.82     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/36 #745154                                                                           | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       505 | PA      | $527.12       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 10/25 #409616                                                                          | CUSIP: 36206FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33 | PA      | $34.14        | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2031#V61246                                                                  | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43238 | PA      | $41012.19     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2012-H07 FA 1ML+63 3/20/62                                                                    | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    149698 | PA      | $148321.46    | 0.01%             | 2062-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5% 04/48#784805                                                                           | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207022 | PA      | $212410.91    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                       | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                                               | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $563222.98    | 0.03%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                    | CUSIP: 31394EWW4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     41572 | PA      | $42201.91     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H18 AF 1ML+30 9/60                                                                       | CUSIP: 38375BER9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    653590 | PA      | $645191.97    | 0.04%             | 2060-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                  | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10611 | PA      | $10055.70     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.5% 06/01/2050                                                    | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $904115.39    | 0.05%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/28 #251500                                                                           | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.60        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 06/47#BH4269                                                                         | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5505 | PA      | $5331.41      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2048#BJ9357                                                                    | CUSIP: 3140HBMF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15711 | PA      | $15120.73     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#FM2286                                                                    | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309793 | PA      | $294963.31    | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $893752.48    | 0.05%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 7/40 #A93142                                                                           | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5075 | PA      | $5049.04      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.0% 08/45#AS5634                                                                            | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18133 | PA      | $16527.83     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                         | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863446 | PA      | $1605305.00   | 0.09%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 02/01/2033#ZS8686                                                                    | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25344 | PA      | $24178.64     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.417% 12/01/2040#848392                                                                 | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18937 | PA      | $18955.69     | 0.00%             | 2040-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2051#SD8184                                                                    | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278126 | PA      | $246938.61    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2010-139 NI 4.5% 2/40                                                                         | CUSIP: 31398SVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     42355 | PA      | $1172.29      | 0.00%             | 2040-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2018-HART                                                   | GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A                                             | CUSIP: 36259DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457000 | PA      | $430851.69    | 0.02%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/01/2052 #TBA                                                                      | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7421717.60   | 0.41%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    350000 | PA      | $340490.61    | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                       | FNS 339 5 5.5% 8/33                                                                               | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      2651 | PA      | $442.45       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 8/45#AZ5626                                                                             | CUSIP: 3138YXHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21292 | PA      | $20658.63     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 08/15/2051                                                         | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74158000 | PA      | $50398472.40  | 2.79%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2357 ZB 6.5% 9/31                                                                             | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     18625 | PA      | $19126.08     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 05/01/2051#SD7540                                                                  | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452779 | PA      | $391272.71    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                     | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1171248.68   | 0.06%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHR 2101 PD 6% 11/28                                                                              | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1878 | PA      | $1908.24      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/41 #AE6390                                                                           | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56903 | PA      | $55019.08     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                  | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6674 | PA      | $6125.88      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                  | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4017 | PA      | $4019.03      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   1971000 | PA      | $1477936.24   | 0.08%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/48#G61343                                                                         | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82198 | PA      | $79519.28     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #Q00114                                                                           | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4317 | PA      | $4293.95      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                              | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1405834 | PA      | $1062276.15   | 0.06%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 4.25% 02/01/2024                                                                   | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    977000 | PA      | $959689.12    | 0.05%             | 2024-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE9771                                                                    | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9097 | PA      | $8793.07      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC2555                                                                    | CUSIP: 3140EWZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13108 | PA      | $12705.78     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 7/27 #256821                                                                      | CUSIP: 31371NG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3579.15      | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 2.956/VAR 05/13/2031                                                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    880000 | PA      | $733821.18    | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                        | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1283941.41   | 0.07%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 3/28 #456712                                                                           | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       970 | PA      | $1006.18      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.5% 12/01/2052 #TBA                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $587742.12    | 0.03%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/40 #G05898                                                                           | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5741 | PA      | $5850.85      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 11/31 #C01258                                                                          | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       360 | PA      | $371.77       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                  | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3590 | PA      | $3501.21      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                     | IMPERIAL BRANDS FINANCE PLC 6.125% 07/27/2027 144A                                                | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    764000 | PA      | $764171.31    | 0.04%             | 2027-07-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 08/01/2034#C91782                                                                  | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68506 | PA      | $66142.92     | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 12/37 #A69706                                                                          | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4763 | PA      | $5021.55      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    807000 | PA      | $823140.00    | 0.05%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+88 03/15/2036 144A                                                       | CUSIP: 53218CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331261 | PA      | $313812.66    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                  | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88344 | PA      | $83012.81     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 01/01/2039#K94441                                                                    | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10073 | PA      | $9861.17      | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                  | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10736 | PA      | $10134.29     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2011-68 EC 3.5% 4/20/41                                                                       | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     29700 | PA      | $28767.58     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                  | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7242 | PA      | $6997.19      | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/40 #A92350                                                                           | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3839 | PA      | $3912.29      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 1.65% 03/25/2026                                                                      | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1241000 | PA      | $1113906.94   | 0.06%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                  | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16943 | PA      | $16792.51     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.228% 7/41#AI3469                                                                       | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6854 | PA      | $6955.49      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/39 #720064                                                                           | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4315 | PA      | $4267.80      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                   | AIA GROUP LTD 3.375% 04/07/2030 144A                                                              | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   1502000 | PA      | $1325972.91   | 0.07%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 7.00% 9/26 #G30299                                                                      | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $796.60       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                  | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8234 | PA      | $8258.44      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.428% 03/15/2024 144A                                                             | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    909000 | PA      | $882600.49    | 0.05%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2047#AX5857                                                                    | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7177 | PA      | $6920.69      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                  | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337852 | PA      | $310679.84    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   2102000 | PA      | $2310062.60   | 0.13%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2047#AL9776                                                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297535 | PA      | $279207.06    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 9/27 #448957                                                                           | CUSIP: 36208EWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17 | PA      | $17.60        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20537 | PA      | $19360.33     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                  | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9413 | PA      | $9177.04      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                  | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13839 | PA      | $13496.49     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 3.25% 01/30/2031                                                     | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    792000 | PA      | $662017.15    | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    528000 | PA      | $445992.09    | 0.02%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62 | PA      | $63.66        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.5% 09/15/2039#713871                                                                  | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3281 | PA      | $3248.02      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC 1ML+175 06/15/2034 144A                                                  | CUSIP: 162665AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346384 | PA      | $331637.72    | 0.02%             | 2034-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004923                                                                        | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12501 | PA      | $12426.09     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                  | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5273 | PA      | $5139.08      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2050#RA2976                                                                  | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910238 | PA      | $784313.75    | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2018                                                    | DRSLF 2020-78A A 3ML+118 04/17/2033 144A                                                          | CUSIP: 26253LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $877723.20    | 0.05%             | 2033-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/36 #888342                                                                           | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5809 | PA      | $6031.75      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                                               | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                              | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    388214 | PA      | $327963.48    | 0.02%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.8% 06/09/2023                                                              | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1250000 | PA      | $1196823.66   | 0.07%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 5.5% 09/13/2025                                                                     | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    566000 | PA      | $574437.07    | 0.03%             | 2025-09-13      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A                                                | CUSIP: 05492PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1387881.60   | 0.08%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2013-133 IB 3% 04/32                                                                          | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     13988 | PA      | $459.26       | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2052#                                                                        | CUSIP: 3133B3Q42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75734 | PA      | $69642.99     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                  | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2113 | PA      | $2042.10      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 09/01/2033#                                                                          | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3988 | PA      | $4127.99      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3366 FD 1ML+25 5/37                                                                           | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     13165 | PA      | $13094.52     | 0.00%             | 2037-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #778681                                                                          | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5584 | PA      | $5391.72      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2348                                                                    | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211891 | PA      | $175298.31    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71325 | PA      | $74784.20     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                  | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93593 | PA      | $93080.41     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                           | LCH OIS SOFRV3.25% MAC 12/21/24                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   6276000 | NC      | $-57020.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE7382                                                                    | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4172 | PA      | $4040.83      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 01/01/43#AQ1113                                                                      | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15504 | PA      | $14218.46     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 6/41 #005082                                                                        | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72298 | PA      | $71866.89     | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                       | CRPT 2021 1ML+220 07/15/2034 144A                                                                 | CUSIP: 12566BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17006 | PA      | $15803.46     | 0.00%             | 2036-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19690                                                                  | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11169 | PA      | $10885.39     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.543% 01/44#AV5544                                                                      | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1154 | PA      | $1155.00      | 0.00%             | 2044-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 5/27 #256738                                                                      | CUSIP: 31371NEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2931 | PA      | $2975.12      | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                          | IPALCO ENTERPRISES INC 3.7% 09/01/2024                                                            | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    172000 | PA      | $166573.16    | 0.01%             | 2024-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 11/01/2032#C73584                                                                    | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2962 | PA      | $3060.61      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    276000 | PA      | $218277.69    | 0.01%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 3.625% 01/15/2032 144A                         | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    353000 | PA      | $291225.00    | 0.02%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 9/33 #C01622                                                                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1758 | PA      | $1772.21      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 12/23 #780738                                                                          | CUSIP: 36225AZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $20.81        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                         | MNGT SWAP CMBX AAACDSIGEN 12/72                                                                   | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    170000 | NC      | $2325.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 05/01/2051#CB0454                                                                  | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3219970 | PA      | $2770486.90   | 0.15%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 2006-62 KP PO 0% 4/36                                                                         | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      5047 | PA      | $4130.14      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/27 #451362                                                                           | CUSIP: 36208HMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7 | PA      | $7.07         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041                                                    | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    289209 | PA      | $293710.09    | 0.02%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 12/01/2052 #TBA                                                                        | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8200000 | PA      | $7395871.92   | 0.41%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                          | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    246000 | PA      | $233105.49    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 09/01/2031#BD6126                                                                  | CUSIP: 3140FDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72048 | PA      | $68144.17     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                                    | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     43743 | PA      | $42756.44     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2040#V81771                                                                  | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6631 | PA      | $6250.98      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 4/1/43 #AT0648                                                                     | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39831 | PA      | $37589.41     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                      | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    142643 | PA      | $133538.12    | 0.01%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1654573.94   | 0.09%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                  | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15908 | PA      | $15746.44     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#FM2349                                                                    | CUSIP: 3140X5TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845764 | PA      | $804219.53    | 0.04%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 3.352%/VAR 04/24/2025                                                               | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    953000 | PA      | $921574.76    | 0.05%             | 2025-04-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1996-28 PK 6.5% 7/25                                                                          | CUSIP: 31359KKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       282 | PA      | $281.39       | 0.00%             | 2025-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 5.584% 03/18/2024                                                              | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $1100478.75   | 0.06%             | 2024-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.5% 04/04/2025 144A                                                     | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    445000 | PA      | $426140.67    | 0.02%             | 2025-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       218 | PA      | $221.14       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1801                                                                    | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063550 | PA      | $880209.77    | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 9/41 #G06719                                                                           | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14799 | PA      | $14738.30     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2043#AQ7316                                                                  | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17822 | PA      | $15623.51     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 5.95% 02/14/2049                                                                 | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    600000 | PA      | $532905.07    | 0.03%             | 2049-02-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 05/31/2028                                                                        | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35952000 | PA      | $31408846.79  | 1.74%             | 2028-05-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | FORD MTR CR CO LLC 4.063% 11/01/2024                                                              | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   4206000 | PA      | $4060244.01   | 0.22%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 12/20/2039#004592                                                                  | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8723 | PA      | $8597.86      | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.0% 12/20/2042#AA5872                                                                    | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34063 | PA      | $30996.00     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                      | SYSCO CORP 5.95% 04/01/2030                                                                       | CUSIP: 871829BL0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    471000 | PA      | $492506.14    | 0.03%             | 2030-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 11/20/2044#MA2372                                                                    | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230882 | PA      | $225778.85    | 0.01%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #319563                                                                           | CUSIP: 31374N5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $14.56        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                  | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10251 | PA      | $9984.18      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 9/25 #414186                                                                           | CUSIP: 36206LCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        58 | PA      | $58.16        | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2050#CA7323                                                                    | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327903 | PA      | $273119.05    | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/20/2050#MA6657                                                                    | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58385 | PA      | $54792.42     | 0.00%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2040#C03486                                                                  | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2212 | PA      | $2202.80      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 12/41 #552554                                                                          | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11612 | PA      | $11214.25     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                  | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2729 | PA      | $2636.43      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 4.875% 02/15/2024                                                                     | CUSIP: 615369AC9<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8978.53      | 0.00%             | 2024-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                                                | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                             | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460052 | PA      | $415187.31    | 0.02%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H14 FC 1ML+50 5/61                                                                       | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    274577 | PA      | $272011.61    | 0.02%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.875% 08/14/2024                              | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1196000 | PA      | $1131995.39   | 0.06%             | 2024-08-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE8185                                                                    | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3985 | PA      | $3849.90      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.054% 03/15/2029 144A                                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    337000 | PA      | $295121.07    | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2047#BJ4340                                                                    | CUSIP: 3140H5ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16088 | PA      | $15489.42     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                  | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27429 | PA      | $27286.97     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MTG TR                                                         | COMM 2014-CCRE17 XA CSTR 05/10/2047                                                               | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1381460 | PA      | $13321.14     | 0.00%             | 2047-05-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    494000 | PA      | $477864.31    | 0.03%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AB2079                                                                           | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64710 | PA      | $62565.98     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 7/32 #545762                                                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4046 | PA      | $4236.55      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.625% 03/15/2032 144A                                                                    | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    195000 | PA      | $166694.73    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2010-135 LS -1ML+605 12/40                                                                    | CUSIP: 31398SD91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     18050 | PA      | $1538.93      | 0.00%             | 2040-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+140 03/15/2026 144A                                                      | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289976 | PA      | $272521.31    | 0.02%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                  | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5680 | PA      | $5539.06      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2012-H01 FA 1ML+70 11/61                                                                      | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    339633 | PA      | $337504.84    | 0.02%             | 2061-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4645                                                                          | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4259 | PA      | $4119.93      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                  | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58111 | PA      | $55089.51     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 02/20/2051#MA7192                                                                      | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    873928 | PA      | $746596.66    | 0.04%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.66% 4/36 #868559                                                                       | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9858 | PA      | $9895.69      | 0.00%             | 2036-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/36 #A79236                                                                           | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10336 | PA      | $10465.55     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025                                                    | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   3937000 | PA      | $3847735.89   | 0.21%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                                         | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   3209000 | PA      | $3111954.67   | 0.17%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                  | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28434 | PA      | $27502.40     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2823 | PA      | $2798.90      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 6.00% 6/36 #782394                                                                           | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204230 | PA      | $212755.70    | 0.01%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.375% 08/01/2023                                                  | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    343000 | PA      | $338515.60    | 0.02%             | 2023-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                              | STORE CAP CORP 2.75% 11/18/2030                                                                   | CUSIP: 862121AC4<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    424000 | PA      | $330637.03    | 0.02%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 04/01/2043#AT2008                                                                  | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28203 | PA      | $24724.53     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD                                                                | FLATIRON CLO LTD 3ML+109 11/16/2034 144A                                                          | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1216068.75   | 0.07%             | 2034-11-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4113                                                                          | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18602 | PA      | $17998.23     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2499000 | PA      | $2007978.44   | 0.11%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/41 #Q01393                                                                           | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4087 | PA      | $4067.45      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK9701                                                                           | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4793 | PA      | $4629.24      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1523000 | PA      | $1333386.50   | 0.07%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#Q39975                                                                    | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6791 | PA      | $6599.04      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 5.125% 09/30/2024                                                                   | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    465000 | PA      | $461327.34    | 0.03%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                  | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21206 | PA      | $21590.53     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ4047                                                                          | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85459 | PA      | $82595.78     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                  | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1296 | PA      | $1309.38      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2045#Q32823                                                                  | CUSIP: 3132QPD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5412 | PA      | $5261.20      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2320                                                                  | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334914 | PA      | $288110.11    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 12/24 #436781                                                                          | CUSIP: 31380DFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $14.87        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                               | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                                         | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   1037000 | PA      | $1008677.46   | 0.06%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063                                                     | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        35 | PA      | $30.49        | 0.00%             | 2063-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2933 ZM 5.75% 02/15/2035                                                                      | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     53259 | PA      | $54896.74     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H14 FB 1ML+50 5/61                                                                       | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    371105 | PA      | $367782.49    | 0.02%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                               | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                         | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $846895.88    | 0.05%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#SD7512                                                                    | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372311 | PA      | $335565.47    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                                        | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1652000 | PA      | $1523168.14   | 0.08%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2090000 | PA      | $1422663.00   | 0.08%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                  | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11187 | PA      | $10259.25     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 02/01/2041#                                                                        | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2576 | PA      | $2565.43      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    172000 | PA      | $147511.08    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601500.00    | 0.03%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/47#Q47942                                                                       | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23195 | PA      | $23075.65     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/2041#G06800                                                                  | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6280 | PA      | $6078.07      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTINA REPUBLIC OF                                                           | ARGENTINA REPUBLIC OF 1% 07/09/2029                                                               | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     75245 | PA      | $19563.70     | 0.00%             | 2029-07-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044                                     | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     11100 | PA      | $1209.49      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 10/41 #Q04113                                                                          | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8592 | PA      | $8309.78      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/29 #357040                                                                           | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $80.14        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726956                                                                           | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1336 | PA      | $1321.32      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX C VAR 01/15/2039 144A                                            | CUSIP: 05530SAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136000 | PA      | $128166.69    | 0.01%             | 2039-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.81% 1/36 #1J1262                                                                       | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3849 | PA      | $3795.39      | 0.00%             | 2036-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                  | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7582 | PA      | $7544.78      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.16% 9/35 #850124                                                                       | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $317.92       | 0.00%             | 2035-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 04/01/2031#                                                                          | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       231 | PA      | $238.39       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                            | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036000 | PA      | $964265.18    | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 4.35% 06/01/2040                                                   | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    720000 | PA      | $649937.32    | 0.04%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6416                                                                    | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3223993 | PA      | $2897740.13   | 0.16%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |    950000 | PA      | $866391.01    | 0.05%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                        | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    235000 | PA      | $177561.14    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AJ5385                                                                          | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23757 | PA      | $22958.84     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2006-12 BO 0% 10/35                                                                           | CUSIP: 31394VS43<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      8628 | PA      | $7407.23      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 4.75% 06/09/2027                                                                    | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2353834.68   | 0.13%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.61% 3/35 #1L0297                                                                       | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7914 | PA      | $8062.47      | 0.00%             | 2035-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/44#Q28495                                                                    | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4641 | PA      | $4514.64      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 2011-83 DI 6% 9/26                                                                            | CUSIP: 3136A0U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        16 | PA      | $0.17         | 0.00%             | 2026-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.293% 3/35 #815586                                                                      | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       624 | PA      | $633.66       | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                        | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534650 | PA      | $521866.19    | 0.03%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9300000 | PA      | $7954769.88   | 0.44%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/23 #352217                                                                           | CUSIP: 36203LG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $1.47         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 10/40 #004834                                                                       | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2670 | PA      | $2653.46      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9817000 | PA      | $9477514.69   | 0.52%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#MA4305                                                                    | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2512997 | PA      | $2075082.47   | 0.11%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 3/1/43#AR6743                                                                      | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17465 | PA      | $16482.21     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3300000 | PA      | $3337640.46   | 0.18%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                  | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359080 | PA      | $332696.90    | 0.02%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 6/42 #AB5423                                                                           | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44678 | PA      | $41936.71     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    981000 | PA      | $987643.97    | 0.05%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 05/43 #MA1012                                                                        | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188711 | PA      | $179324.87    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 12/33 #G03583                                                                          | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1885 | PA      | $2023.25      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    723000 | PA      | $705381.20    | 0.04%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.47% 3/40 #AD0820                                                                       | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5660 | PA      | $5695.82      | 0.00%             | 2040-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2.5% 04/01/2037#BM1257                                                                  | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462486 | PA      | $428133.11    | 0.02%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 6/23 #353125                                                                           | CUSIP: 36203MHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $4.46         | 0.00%             | 2023-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-3 LTD / VOYA CLO 2020-3 LLC                                       | VOYA CLO 2020-3 LTD / LLC 3ML+115 10/20/2034 144A                                                 | CUSIP: 92918NAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1736000 | PA      | $1676732.96   | 0.09%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP 1ML+132.9 11/15/2038 144A                                                       | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $570128.04    | 0.03%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                      | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    110458 | PA      | $101912.82    | 0.01%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                                 | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    380000 | PA      | $361891.36    | 0.02%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                  | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22161 | PA      | $20891.49     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                          | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665763 | PA      | $630713.87    | 0.03%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                  | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2559 | PA      | $2473.42      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                  | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    419000 | PA      | $391681.98    | 0.02%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                  | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8366 | PA      | $7586.31      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 6/33 #003401                                                                        | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       607 | PA      | $599.60       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063                                                    | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     20188 | PA      | $20071.58     | 0.00%             | 2063-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                  | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3640 | PA      | $3608.39      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                            | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    545000 | PA      | $529665.12    | 0.03%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.125% 05/15/2040                                                     | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8834000 | PA      | $5653069.89   | 0.31%             | 2040-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                  | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34878 | PA      | $32914.75     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 4/42 #MA0023                                                                        | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35494 | PA      | $34345.40     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15871                                                                           | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12761 | PA      | $12053.97     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 2/27 #356391                                                                           | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61 | PA      | $63.07        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                     | COLUMBIA PIPELINE GROUP INC 5.8% 06/01/2045                                                       | CUSIP: 198280AH2<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9898.60      | 0.00%             | 2045-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/44#MA1760                                                                      | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2779 | PA      | $2640.93      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2089000 | PA      | $1721649.14   | 0.10%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                                 | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                                     | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943000 | PA      | $938863.91    | 0.05%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.50% 8/29 #781078                                                                           | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        38 | PA      | $39.07        | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                         | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.1% 02/15/2030                                           | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    260000 | PA      | $218202.64    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                | AIMCO CLO 11 LTD 3ML+113 10/17/2034 144A                                                          | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    869000 | PA      | $842110.53    | 0.05%             | 2034-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                         | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814000 | PA      | $792240.97    | 0.04%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 03/01/2052#SD0931                                                                  | CUSIP: 3132DNA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1599419 | PA      | $1374902.68   | 0.08%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#FM3897                                                                    | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150997 | PA      | $125533.35    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3489 | PA      | $3375.91      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 05/01/2041#MA4333                                                                    | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21428 | PA      | $18309.67     | 0.00%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    549000 | PA      | $588947.58    | 0.03%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                  | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25132 | PA      | $24849.59     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP B 1ML+107.98 11/15/2038 144A                                                    | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974000 | PA      | $922739.65    | 0.05%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 06/01/2038#K94293                                                                    | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7819 | PA      | $7669.27      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                  | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69181 | PA      | $63379.90     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/33 #734922                                                                           | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       994 | PA      | $982.78       | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                  | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30686 | PA      | $29945.03     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FNR 2010-39 FG 1ML+92 3/36                                                                        | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    148310 | PA      | $150040.79    | 0.01%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                     | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718111 | PA      | $671515.07    | 0.04%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                                                | EXXON MOBIL CORP 3.482% 03/19/2030                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $2964593.05   | 0.16%             | 2030-03-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 5.47% 8/59 #725598                                                                        | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       169 | PA      | $157.49       | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MILOS CLO LTD                                                                   | MILOS CLO LTD 3ML+107 10/20/2030 144A                                                             | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |   1391000 | PA      | $1368127.79   | 0.08%             | 2030-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.48% 6/47 #939994                                                                       | CUSIP: 31413AXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7647 | PA      | $7737.02      | 0.00%             | 2047-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 9/40 #004801                                                                        | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27486 | PA      | $27320.01     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2040#A90709                                                                  | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3163 | PA      | $3145.34      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1928713.86   | 0.11%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-LC14                                                     | WFRBS COML MTG TR 2014-LC14 VAR 03/15/2047                                                        | CUSIP: 96221TAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043795 | PA      | $9835.16      | 0.00%             | 2047-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    935000 | PA      | $733318.25    | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                         | BARINGS CLO LTD 2020-IV 3ML+122 01/20/2032 144A                                                   | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1649140.08   | 0.09%             | 2032-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 05/01/2033#G18687                                                                  | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6189 | PA      | $5824.26      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2006-72 CY 6% 8/26                                                                            | CUSIP: 31396KHM7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     22382 | PA      | $22979.16     | 0.00%             | 2026-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2346                                                                    | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227087 | PA      | $188153.50    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/35 #824358                                                                           | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       183 | PA      | $190.80       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO LTD                                                                 | INVESCO CLO LTD 3ML+113 10/22/2034 144A                                                           | CUSIP: 46146JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $924887.04    | 0.05%             | 2034-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3% 10/29/2028                                  | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    909000 | PA      | $768004.46    | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/39 #713471                                                                           | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3988 | PA      | $3944.88      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                  | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11617 | PA      | $10654.16     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2035#                                                                          | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2944 | PA      | $2982.24      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                       | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     65714 | PA      | $59452.25     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 3% 03/22/2027                                                          | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    263000 | PA      | $246637.52    | 0.01%             | 2027-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9500000 | PA      | $8342128.60   | 0.46%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    250473 | PA      | $226665.23    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2032#BM5345                                                                    | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121528 | PA      | $116394.12    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/37 #995073                                                                          | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8911 | PA      | $9341.17      | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                         | MAGNETITE CLO LTD 2021-29A A 3ML+100 01/15/2034 144A                                              | CUSIP: 55955KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1448091.20   | 0.08%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2802 OB 6% 5/34                                                                               | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11731 | PA      | $11960.00     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                       | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                    | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   1051000 | PA      | $980722.20    | 0.05%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/47#AL9779                                                                         | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17157 | PA      | $16694.93     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/45#Q31029                                                                         | CUSIP: 3132QMEB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73619 | PA      | $71564.88     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2048#BM3532                                                                    | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31633 | PA      | $30455.68     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2020-27A AR                                                               | MAGNE 2020-27A AR 3ML+114 10/20/2034 144A                                                         | CUSIP: 55955EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    305000 | PA      | $295672.80    | 0.02%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2046#AS7822                                                                  | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45893 | PA      | $43123.90     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3667 | PA      | $3540.70      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 10/01/2052#FS3047                                                                    | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599634 | PA      | $602511.42    | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2376                                                                  | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263493 | PA      | $226505.30    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SAPPHIRE AVIATION FINANCE                                                       | SAPPHIRE AVIATION FINANCE 4.335% 03/15/2040 144A                                                  | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    233783 | PA      | $136674.49    | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H18 PL 5.01% 9/60                                                                        | CUSIP: 38375BEV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      7803 | PA      | $7749.58      | 0.00%             | 2060-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                               | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                   | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3387000 | PA      | $3295736.61   | 0.18%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 6/27 #780580                                                                           | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       132 | PA      | $136.10       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.25% 03/15/2023                                                               | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    195000 | PA      | $194379.43    | 0.01%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.5% 10/01/2052#CB4843                                                                  | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592377 | PA      | $600134.67    | 0.03%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                   | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    800000 | PA      | $817897.45    | 0.05%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 5% 9/33 #003442                                                                           | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24973 | PA      | $25110.64     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FNR 2010-118 PB 4.5% 10/40                                                                        | CUSIP: 31398NUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    175024 | PA      | $173432.41    | 0.01%             | 2040-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 4/27 #780545                                                                           | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $82.09        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2046#BC4754                                                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67137 | PA      | $65476.90     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 02/15/2042#778869                                                                  | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3043 | PA      | $2939.21      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2050#CA7616                                                                    | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262737 | PA      | $217445.36    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4767000 | PA      | $4154229.42   | 0.23%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 01/01/2035#CA5039                                                                    | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21681 | PA      | $20622.35     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 3/32 #254240                                                                           | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       706 | PA      | $750.11       | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.8% 08/15/2038                                                                        | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    550000 | PA      | $518919.11    | 0.03%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 10/01/2032#                                                                          | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $256.72       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 01/01/2046#G08687                                                                  | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22949 | PA      | $21591.18     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                            | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    361000 | PA      | $367245.81    | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                              | REALTY INCOME CORP 2.85% 12/15/2032                                                               | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    211000 | PA      | $173129.03    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 10/01/2051#CB1799                                                                    | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806214 | PA      | $668494.80    | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 06/01/2044#AL5512                                                                  | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25413 | PA      | $25417.15     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2051#MA4281                                                                    | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2574352 | PA      | $2126550.40   | 0.12%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                  | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66838 | PA      | $54790.99     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                       | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    927000 | PA      | $1005795.00   | 0.06%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3002 NE 5% 7/35                                                                               | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     12498 | PA      | $12558.18     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                  | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8668 | PA      | $7908.56      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/37 #G02667                                                                           | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $791.28       | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        69 | NC      | $39411.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                       | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005000 | PA      | $968079.11    | 0.05%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                             | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 21-14A A 3ML+99 04/20/2034 144A                               | CUSIP: 00144GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1972000 | PA      | $1905788.13   | 0.11%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 1.5% 01/01/2037#FS2747                                                                  | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582138 | PA      | $510696.96    | 0.03%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/27 #313644                                                                           | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $179.34       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #727160                                                                           | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       480 | PA      | $474.26       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2011-H07 FA 1ML+50 3/61                                                                       | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    242906 | PA      | $240573.06    | 0.01%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 9/35 #A47784                                                                           | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3065 | PA      | $3266.10      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1404433.59   | 0.08%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745088                                                                           | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3900 | PA      | $3860.99      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.00% 4/34 #781481                                                                       | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4369 | PA      | $4429.23      | 0.00%             | 2034-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                             | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594000 | PA      | $563383.40    | 0.03%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.691% 02/01/2042#AK2344                                                                 | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16228 | PA      | $16323.34     | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#G61047                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50839 | PA      | $50617.25     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                          | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    105662 | PA      | $103442.47    | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                  | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6988 | PA      | $6599.32      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/29 #323961                                                                          | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78 | PA      | $81.35        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% #BM4385 08/48                                                                      | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112123 | PA      | $111514.17    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #713740                                                                           | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6687 | PA      | $6621.96      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                         | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $68902.97     | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 6% 12/01/2052 #TBA                                                                      | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1227562.56   | 0.07%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#CB3005                                                                    | CUSIP: 3140QNKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25781 | PA      | $22890.26     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 01/20/2043#MA0698                                                                    | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184232 | PA      | $169780.28    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2012-H06 FA 1ML+63 1/62                                                                       | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    307812 | PA      | $305494.28    | 0.02%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                  | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10750 | PA      | $10477.29     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 12/01/2052 #TBA                                                                      | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15000000 | PA      | $13278516.00  | 0.74%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                             | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                         | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    757989 | PA      | $694288.72    | 0.04%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 07/01/2024#                                                                          | CUSIP: 31292GL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.06         | 0.00%             | 2024-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2221000 | PA      | $2064434.69   | 0.11%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC                                     | SYMPHONY CLO XIX LTD / SYMPHONY CLO XIX LLC 3ML+96 04/16/2031 144A                                | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    777000 | PA      | $762210.58    | 0.04%             | 2031-04-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFILIATED MANAGERS GROUP INC                                                   | AFFILIATED MANAGERS GROUP INC 4.25% 02/15/2024                                                    | CUSIP: 008252AM0<br>LEI: 2JE75BUE3T1BLCYYGK54 | Long             | DBT              | CORP              | US        |    390000 | PA      | $385701.83    | 0.02%             | 2024-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 4.7% 04/02/2027                                                                  | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1252000 | PA      | $1207142.05   | 0.07%             | 2027-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3510000 | PA      | $2624778.00   | 0.15%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 7/42 #AA8273                                                                           | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3037 | PA      | $2861.41      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 05/15/2042#779220                                                                  | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4330 | PA      | $3982.18      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 3.75% 02/15/2052                                                               | CUSIP: 15135UAX7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    210000 | PA      | $151302.28    | 0.01%             | 2052-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                                          | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                                   | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2537000 | PA      | $2420167.09   | 0.13%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2011-94 SA 1ML+610 07/41                                                                      | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     12451 | PA      | $1250.36      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/25 #303450                                                                           | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $67.13        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3839 | PA      | $3885.83      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 1/39 #701582                                                                           | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2167 | PA      | $2241.54      | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.50% 4/42 #C03811                                                                           | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221815 | PA      | $208603.64    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                     | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20953600 | PA      | $17417680.00  | 0.96%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 12/01/2036#BU1384                                                                    | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81991 | PA      | $73831.13     | 0.00%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 10/01/2043#BM1167                                                                    | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24717 | PA      | $23875.62     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 8/29 #479545                                                                           | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $20.73        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2996 ZD 5.5% 06/35                                                                            | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     36114 | PA      | $37142.59     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                  | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                      | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $321334.64    | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 12/27 #257025                                                                     | CUSIP: 31371NPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       501 | PA      | $510.47       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#SD7541                                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3422652 | PA      | $2845473.54   | 0.16%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 4/28 #251615                                                                           | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $51.81        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2711 FC 1ML+90 2/33                                                                           | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     59325 | PA      | $59868.38     | 0.00%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LII LTD / MADISON PK FDG LII LLC                                 | MADISON PK FDG LII LTD / MADISON PK FDG LII LLC 3ML+110 01/22/2035 144A                           | CUSIP: 55822BAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1540000 | PA      | $1485034.32   | 0.08%             | 2035-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 11/31 #554171                                                                          | CUSIP: 36213GT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        99 | PA      | $103.89       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.78% 10/35 #1N0063                                                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1681 | PA      | $1729.87      | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2008-73 FA 1ML+86 8/38                                                                        | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     68755 | PA      | $69460.60     | 0.00%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/26 #349356                                                                           | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $56.94        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36888 | PA      | $35672.85     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 01/01/2037#MA2866                                                                    | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103197 | PA      | $97542.97     | 0.01%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2051#                                                                        | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621569 | PA      | $573181.55    | 0.03%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.20% 12/35 #1A0053                                                                      | CUSIP: 3128NEBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $43.15        | 0.00%             | 2035-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2770 FH 1ML+40 3/34                                                                           | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     85467 | PA      | $85016.78     | 0.00%             | 2034-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 11/41 #AL1193                                                                          | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28101 | PA      | $27158.62     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 3/42 #Q06886                                                                           | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6484 | PA      | $6273.64      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    459000 | PA      | $418108.33    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A96731                                                                           | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12130 | PA      | $12079.49     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                  | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6153 | PA      | $5979.88      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNMA 2017-H06 FA 12ML+35 08/66                                                                    | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1024091 | PA      | $1018737.31   | 0.06%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE8603                                                                    | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5721 | PA      | $5529.12      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 5.15% 11/15/2046                                                                     | CUSIP: 00206RHA3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $923249.58    | 0.05%             | 2046-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                             | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25663 | PA      | $24756.13     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/35 #787578                                                                           | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       720 | PA      | $752.90       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 06/01/2041#MA4364                                                                    | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21707 | PA      | $18548.47     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 3.85% 07/15/2029                                                                     | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    246000 | PA      | $220823.58    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/28 #331338                                                                           | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61 | PA      | $63.05        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                    | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1622000 | PA      | $1532591.32   | 0.08%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                        | RR 7 LTD 3ML+134 01/15/2037 144A                                                                  | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1862000 | PA      | $1809148.99   | 0.10%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 11/01/2052#SD1863                                                                    | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $907130.97    | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/40#AE7364                                                                         | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4889 | PA      | $4727.95      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                 | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1199181 | PA      | $953320.52    | 0.05%             | 2041-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                          | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                                 | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1721000 | PA      | $1653352.65   | 0.09%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 4.03% 01/25/2024                                                                         | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    216000 | PA      | $213118.09    | 0.01%             | 2024-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    365000 | PA      | $344358.14    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2043#AU2854                                                                    | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5938 | PA      | $5781.79      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                     | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    998980 | PA      | $781726.82    | 0.04%             | 2051-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 4.017%/VAR 10/31/2038                                               | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $843313.39    | 0.05%             | 2038-10-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 01/01/2042#AJ8357                                                                   | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27395 | PA      | $27578.05     | 0.00%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 06/01/2031#                                                                          | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $96.46        | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                 | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134000 | PA      | $115650.55    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 04/51#MA7311                                                                           | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110070 | PA      | $93963.84     | 0.01%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 08/01/2032#MA3090                                                                    | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195292 | PA      | $186554.02    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 2.593%/VAR 09/11/2025 144A                                                   | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2086000 | PA      | $1847963.91   | 0.10%             | 2025-09-11      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 05/01/2044#AW2449                                                                        | CUSIP: 3138XRWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       775 | PA      | $780.44       | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/34 #725703                                                                           | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22634 | PA      | $23522.98     | 0.00%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3007 EW 5.5 7/25                                                                              | CUSIP: 31395WEK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      8668 | PA      | $8856.17      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+30 03/01/2061                                                    | CUSIP: 38375UVP2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       437 | PA      | $431.33       | 0.00%             | 2065-03-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 07/01/2043#Q19597                                                                  | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13656 | PA      | $13309.27     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                        | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151000 | PA      | $143045.37    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AQ1181                                                                          | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7017 | PA      | $6578.48      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.45% 04/03/2026                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    561000 | PA      | $538230.20    | 0.03%             | 2026-04-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                  | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15679 | PA      | $14364.40     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                  | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83219 | PA      | $82967.23     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/32 #569328                                                                           | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47 | PA      | $49.54        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#BC0286                                                                    | CUSIP: 3140EUJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146964 | PA      | $142778.87    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                              | AUTONATION INC DEL 4.75% 06/01/2030                                                               | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    156000 | PA      | $140478.70    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    815000 | PA      | $694227.64    | 0.04%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 2.406%/VAR 10/30/2025                                                      | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    927000 | PA      | $873621.45    | 0.05%             | 2025-10-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                           | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    194000 | PA      | $179164.82    | 0.01%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2043#MA1225                                                                    | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13271 | PA      | $12998.03     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/29 #494945                                                                           | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       400 | PA      | $419.31       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 12/38 #970918                                                                          | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3256 | PA      | $3419.95      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                              | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    951000 | PA      | $841906.21    | 0.05%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 10/01/44#Q28991                                                                    | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10091 | PA      | $9815.82      | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#AS7844                                                                    | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189783 | PA      | $172327.79    | 0.01%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                                  | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54563 | PA      | $54760.15     | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 03/01/2052#CB3038                                                                    | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103565 | PA      | $85420.60     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                      | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                                | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1578000 | PA      | $1531196.52   | 0.08%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 7/29 #505740                                                                           | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       143 | PA      | $148.54       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 04/01/2041#                                                                          | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20881 | PA      | $17843.01     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.50% 7/30 #781205                                                                           | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $31.96        | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/41 #004978                                                                        | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2955 | PA      | $2936.90      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034                                                    | CUSIP: 31394AEQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     85307 | PA      | $85999.53     | 0.00%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 09/42#G07184                                                                         | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43964 | PA      | $42524.16     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 10/32 #G01766                                                                          | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1579 | PA      | $1659.01      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 01/01/2033#ZS8682                                                                    | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39523 | PA      | $37705.10     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3548000 | PA      | $2146540.00   | 0.12%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2010-31 BP 5% 3/20/40                                                                         | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    276862 | PA      | $278282.44    | 0.02%             | 2040-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/47#Q52377                                                                         | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74006 | PA      | $71362.79     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/23 #765384                                                                          | CUSIP: 31404DJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       269 | PA      | $269.73       | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 11/34 #A45143                                                                          | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1159 | PA      | $1237.66      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/01/2040#AE9804                                                                    | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21914 | PA      | $21181.40     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.5% 03/31/2027                                                                         | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $37773437.60  | 2.09%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2321                                                                  | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299420 | PA      | $257014.73    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2218 ZB 6% 3/30                                                                               | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      2213 | PA      | $2248.12      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+ 01/20/2064                                                      | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     24530 | PA      | $24351.15     | 0.00%             | 2064-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Central Investment Portfolios LLC                                      | Fidelity Specialized High Income Central Fund                                                     | CUSIP: 31606V807<br>LEI: S2V1M15I679NQK6BNY65 | Long             | EC               | RF                | US        |   1536201 | NS      | $128349610.93 | 7.11%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                  | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17666 | PA      | $16101.81     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 5.282% 04/02/2050                                                                | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1194240.30   | 0.07%             | 2050-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LUCALI CLO LTD                                                                  | LUCALI CLO LTD 2020-1A A 3ML+121 01/15/2033 144A                                                  | CUSIP: 54929JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $802647.16    | 0.04%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 9/39 #710869                                                                           | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6384 | PA      | $6612.87      | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    418000 | PA      | $429839.71    | 0.02%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                     | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9239.96      | 0.00%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3200000 | PA      | $3115001.60   | 0.17%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                                | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    972000 | PA      | $774654.53    | 0.04%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 11/36 #995606                                                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2541 | PA      | $2553.64      | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                                                       | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3855 | PA      | $48.28        | 0.00%             | 2041-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2031#V61273                                                                  | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72663 | PA      | $68922.04     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                        | MOLSON COORS BEVERAGE CO 5% 05/01/2042                                                            | CUSIP: 60871RAD2<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2651529.78   | 0.15%             | 2042-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.2% 05/12/2026                                                              | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1318000 | PA      | $1277919.30   | 0.07%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 5/42 #Q08167                                                                           | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9512 | PA      | $9208.06      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5214 | PA      | $5305.65      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 6.537%/VAR 08/12/2033 144A                                                   | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5000000 | PA      | $4380215.60   | 0.24%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.753% 10/33 #746320                                                                     | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1205 | PA      | $1227.72      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 01/01/2036#G30933                                                                    | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115926 | PA      | $114171.81    | 0.01%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                             | PRUDENTIAL FINL INC 5.375% 05/15/2045                                                             | CUSIP: 744320AV4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $979792.00    | 0.05%             | 2045-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                                         | DRYDEN SENIOR LOAN FUND 3ML+113 02/20/2035 144A                                                   | CUSIP: 262484AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    707000 | PA      | $682792.32    | 0.04%             | 2035-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHR 2095 PE 6% 11/28                                                                              | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3951 | PA      | $4016.18      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/20/2043#MA0852                                                                    | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18243 | PA      | $17335.80     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 4.5% 04/22/2060 144A                                                      | CUSIP: 80413TAU3<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    390000 | PA      | $342712.50    | 0.02%             | 2060-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 5.0% 05/15/2039#783724                                                                  | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5159 | PA      | $5200.55      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Hanover Street Trust                                                   | Fidelity Emerging Markets Debt Central Fund                                                       | CUSIP: 315808600<br>LEI: 13LNM41WRMGAYS9Y7N22 | Long             | EC               | RF                | US        |   5286135 | NS      | $39857456.97  | 2.21%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745083                                                                           | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7877 | PA      | $7801.36      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 10/26 #313182                                                                          | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.14        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.89% 3/33 #725130                                                                       | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5112 | PA      | $5097.14      | 0.00%             | 2033-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2046#BC2817                                                                    | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563434 | PA      | $511611.28    | 0.03%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 12/20/2049#BR8985                                                                    | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12353 | PA      | $11530.37     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+132.21 10/15/2036 144A                                  | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349000 | PA      | $320860.20    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031 144A                                                                | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3421000 | PA      | $2699047.21   | 0.15%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03295                                                                           | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2608 | PA      | $2523.49      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 02/52#RA6820                                                                         | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1702989 | PA      | $1404629.50   | 0.08%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3% 02/01/2037#C91917                                                                    | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36410 | PA      | $34389.25     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/47#BE3749                                                                       | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109135 | PA      | $108402.44    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    387000 | PA      | $309670.59    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2049#CA4536                                                                    | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475667 | PA      | $427234.22    | 0.02%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                  | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12407 | PA      | $12262.44     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.2% 09/15/2023                                                                | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    145000 | PA      | $143940.97    | 0.01%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    525000 | PA      | $471675.02    | 0.03%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 4.5% 01/30/2026                                                            | CUSIP: 254709AP3<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    803000 | PA      | $773000.03    | 0.04%             | 2026-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/34 #725228                                                                           | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4958 | PA      | $5143.45      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2047#AX5815                                                                    | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5770 | PA      | $5564.65      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18390 | PA      | $18392.66     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-16447.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67639 | PA      | $65438.69     | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#                                                                          | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465767 | PA      | $417468.80    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035                                                    | CUSIP: 31394EFK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     20113 | PA      | $20479.92     | 0.00%             | 2035-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#FS0631                                                                    | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575496 | PA      | $511323.89    | 0.03%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 05/51#QC1514                                                                         | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91788 | PA      | $76051.03     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.088%/VAR 06/20/2030                                                        | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1421000 | PA      | $1279905.91   | 0.07%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                   | BABSON CLO LTD/CAYMAN ISLANDS 2020-1A AR 3ML+115 10/15/2036 144A                                  | CUSIP: 06762LAM0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $833002.88    | 0.05%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP 2.9% 03/30/2023                                                          | CUSIP: 89236TGW9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1619000 | PA      | $1609575.38   | 0.09%             | 2023-03-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                  | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5097 | PA      | $5106.14      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                             | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1448000 | PA      | $1435355.75   | 0.08%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 10/28 #434034                                                                          | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       176 | PA      | $181.68       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                  | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92231 | PA      | $84583.40     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 2.836% 01/15/2050 144A                                                               | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1211000 | PA      | $1139629.11   | 0.06%             | 2050-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/20/2049#MA5986                                                                      | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53163 | PA      | $51144.65     | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2051#CB1157                                                                  | CUSIP: 3140QLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792256 | PA      | $735780.11    | 0.04%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.349% 12/34 #843013                                                                     | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $560.58       | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#RA6308                                                                    | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83463 | PA      | $69075.31     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE8186                                                                    | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8329 | PA      | $8056.64      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    701000 | PA      | $547910.78    | 0.03%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 5.37% 6/36 #916726                                                                       | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1742 | PA      | $1777.23      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 07/01/2046#BC1216                                                                  | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148802 | PA      | $139821.97    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                  | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31660 | PA      | $31516.83     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#BT9493                                                                    | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167422 | PA      | $138508.95    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                  | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46974 | PA      | $46730.93     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 5/46#Q40310                                                                          | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29869 | PA      | $27184.24     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2045#G07949                                                                    | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93533 | PA      | $91391.14     | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 05/01/2031#BC0919                                                                  | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31652 | PA      | $29995.91     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH CAPITAL SERVICES , INC.                                           | MLCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: GDWTXX036O1TB7DW3U69       | N/A              | DCR              | CORP              | US        |    580000 | NC      | $7934.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT CAPITAL CORP 4.906% 04/02/2030                                                                | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1384885.85   | 0.08%             | 2030-04-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/34 #A19922                                                                           | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $678.92       | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                          | PRIMA CAPITAL LTD 2021-9A A 1ML+145 12/15/2037 144A                                               | CUSIP: 74167CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88682 | PA      | $88023.02     | 0.00%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2051#MA4347                                                                  | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288691 | PA      | $266307.63    | 0.01%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                  | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271827 | PA      | $255762.55    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-60 FV 1ML+100 4/32                                                                       | CUSIP: 31392EVD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1210 | PA      | $1224.00      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/20/2051#MA7135                                                                      | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83949 | PA      | $71744.00     | 0.00%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3% 12/01/2052 #TBA                                                                      | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2100000 | PA      | $-1858992.24  | -0.10%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1993-165SH -2.81ML+2K 9/23                                                                    | CUSIP: 31359D5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        28 | PA      | $27.79        | 0.00%             | 2023-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4400000 | PA      | $3851561.56   | 0.21%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/41 #AJ8098                                                                          | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10125 | PA      | $9783.68      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6.25% 04/15/2049                                                               | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    241000 | PA      | $227907.37    | 0.01%             | 2049-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                         | MNGT SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    170000 | NC      | $2325.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2005-117 JN 4.5% 1/36                                                                         | CUSIP: 31394VDE7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     19808 | PA      | $19656.42     | 0.00%             | 2036-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                  | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18578 | PA      | $17037.67     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#BK2255                                                                    | CUSIP: 3140HFQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296271 | PA      | $266382.75    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                       | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2844344.55   | 0.16%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                    | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730894 | PA      | $1681542.02   | 0.09%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 06/01/2031#G18604                                                                  | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24423 | PA      | $23165.36     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.04% 05/01/2027                                                                        | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    723000 | PA      | $715985.17    | 0.04%             | 2027-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 12/01/2037 #TBA                                                                      | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14600000 | PA      | $13115363.96  | 0.73%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/01/2041#                                                                        | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3415 | PA      | $3400.59      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.428% 7/36 #555923                                                                      | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1426 | PA      | $1440.51      | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                | AASET 2022-1 LTD 6% 05/16/2047 144A                                                               | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1539399 | PA      | $1426055.75   | 0.08%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                  | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7845 | PA      | $7580.37      | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 09/32#MA3125                                                                         | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18222 | PA      | $17406.59     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.05% 03/15/2042 144A                                                              | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    738000 | PA      | $590804.59    | 0.03%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                  | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36524 | PA      | $34468.67     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.375% 07/01/2025                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1294000 | PA      | $1221121.27   | 0.07%             | 2025-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    270000 | NC      | $3693.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/29 #793986                                                                           | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1290 | PA      | $1323.09      | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                         | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                                | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   1188000 | PA      | $1151642.45   | 0.06%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3949 MK 4.5% 10/34                                                                            | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      8770 | PA      | $8710.74      | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132000 | PA      | $116467.63    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 3.8% 12/01/2057                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4105000 | PA      | $2980098.60   | 0.17%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC                                 | VALLEY STREAM PK CLO LTD / VY STREAM PK CLO LLC 1A A TSFR3M+240 10/20/2034 144A                   | CUSIP: 92013AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1578000 | PA      | $1572503.83   | 0.09%             | 2034-10-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                        | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    877000 | PA      | $819404.95    | 0.05%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                  | SYNCHRONY BANK 5.4% 08/22/2025                                                                    | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   1384000 | PA      | $1355608.06   | 0.08%             | 2025-08-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRIMA CAPITAL LTD 2021                                                          | PRIMA CAPITAL LTD 2021 1ML+180 12/15/2037 144A                                                    | CUSIP: 74167CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444000 | PA      | $433551.44    | 0.02%             | 2037-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.02% 06/15/2026                                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    258000 | PA      | $263483.86    | 0.01%             | 2026-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    201000 | PA      | $219818.90    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023                              | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    512000 | PA      | $507399.26    | 0.03%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2046#G60440                                                                  | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243290 | PA      | $229654.97    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.75% 05/22/2025                                                    | CUSIP: 38148LAE6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    525000 | PA      | $510018.00    | 0.03%             | 2025-05-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | OVINTIV INC 8.125% 09/15/2030                                                                     | CUSIP: 012873AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1203819.58   | 0.07%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                  | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6237 | PA      | $6171.33      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 5.15% 03/19/2029                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1958000 | PA      | $1866448.83   | 0.10%             | 2029-03-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 1/41 #004946                                                                        | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44242 | PA      | $43975.97     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 12/20/2040#004880                                                                  | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5037 | PA      | $4966.06      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/01/2046#AL9489                                                                  | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44560 | PA      | $41815.39     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 6.0% 01/01/2024#G14293                                                                  | CUSIP: 3128MC7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5539 | PA      | $5543.57      | 0.00%             | 2024-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                          | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031                            | CUSIP: 3137BAMN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    223435 | PA      | $215750.24    | 0.01%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/45#BM1415                                                                       | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20852 | PA      | $20740.18     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 07/01/2042#Q09230                                                                    | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109792 | PA      | $106164.78    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/46#BC1776                                                                         | CUSIP: 3140EV6N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8125 | PA      | $7888.15      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2047#BE6108                                                                    | CUSIP: 3140FRYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4834 | PA      | $4669.61      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                    | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2010000 | PA      | $1523803.45   | 0.08%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 5.012% 04/15/2049                                                      | CUSIP: 92343VDS0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     16000 | PA      | $14902.80     | 0.00%             | 2049-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 1.488%/VAR 12/14/2026 144A                                                | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1953000 | PA      | $1688902.02   | 0.09%             | 2026-12-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 11/01/2051#BQ6772                                                                    | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277574 | PA      | $229116.86    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4% 09/01/2039#CA4213                                                                    | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59367 | PA      | $57954.00     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP9735                                                                          | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86108 | PA      | $80813.20     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 04/01/2048#BM3700                                                                    | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95216 | PA      | $92206.50     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2519 ZD 5.50% 11/32                                                                           | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3280 | PA      | $3353.65      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                                       | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7826336 | PA      | $331201.93    | 0.02%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2042#AJ6217                                                                    | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6988 | PA      | $6754.26      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/34 #735061                                                                          | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16296 | PA      | $16971.78     | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                                 | FOX CORP 4.709% 01/25/2029                                                                        | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    312000 | PA      | $301518.59    | 0.02%             | 2029-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                  | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46853 | PA      | $46599.16     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    798000 | PA      | $776416.55    | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                  | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10465 | PA      | $10173.21     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                  | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19512 | PA      | $19313.82     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                               | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |    455295 | PA      | $411666.81    | 0.02%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2041#MA4473                                                                  | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432696 | PA      | $1166411.96   | 0.06%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/35 #G06928                                                                           | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16846 | PA      | $16995.25     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                                       | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                                                | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192454.50    | 0.01%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                  | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231012 | PA      | $217631.99    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                    | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398000 | PA      | $374062.45    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/01/2051#FM9210                                                                    | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3292883 | PA      | $2933933.51   | 0.16%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 07/01/2030#                                                                          | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        51 | PA      | $54.37        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                  | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330416 | PA      | $310683.06    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                  | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75260 | PA      | $71322.63     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                             | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1056000 | PA      | $1037121.01   | 0.06%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 1/45#Q30720                                                                          | CUSIP: 3132QLYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6359 | PA      | $6181.41      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220368 | PA      | $219179.52    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP NEW                                                                | ENTERGY CORP NEW 2.8% 06/15/2030                                                                  | CUSIP: 29364GAL7<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    580000 | PA      | $489885.39    | 0.03%             | 2030-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/41 #783295                                                                           | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34865 | PA      | $34533.67     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 11/01/2051#FM9501                                                                  | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1329818 | PA      | $1143978.03   | 0.06%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 2003-28 KG 5.5% 4/23                                                                          | CUSIP: 31393ADJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       265 | PA      | $265.50       | 0.00%             | 2023-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/35 #A32122                                                                           | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1324 | PA      | $1342.24      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | DOMINICAN REPUBLIC 6% 07/19/2028 144A                                                             | CUSIP: 25714PDZ8<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    550000 | PA      | $529375.00    | 0.03%             | 2028-07-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 3.375% 03/25/2027                                                                    | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   1279000 | PA      | $1237992.23   | 0.07%             | 2027-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 01/01/2033#MA3246                                                                  | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11577 | PA      | $10884.11     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $129.82       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/41 #AH6075                                                                           | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1669 | PA      | $1613.57      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 7.00% 4/32 #781432                                                                        | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3178 | PA      | $3329.07      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #313835                                                                          | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $67.32        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 4.927/VAR 05/10/2028                                                   | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2786000 | PA      | $2672636.18   | 0.15%             | 2028-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                             | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    510000 | NC      | $6977.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                  | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9976 | PA      | $9971.32      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CREDIT SUISSE MORTGAGE TRUST 2017-RPL3 4.5349% 04/15/2036 144A                                    | CUSIP: 12690CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107000 | PA      | $100591.17    | 0.01%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 7/35 #357843                                                                           | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1398 | PA      | $1461.50      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 03/01/2037#AS9292                                                                    | CUSIP: 3138WKKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126480 | PA      | $119352.23    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 09/01/2033#AL7521                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99996 | PA      | $100744.81    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/32 #611797                                                                           | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $629.22       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                     | BAMLL COML MTG SECS TR 2019-BPR CNM CSTR 11/05/2032 144A                                          | CUSIP: 05492PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83491.65     | 0.00%             | 2032-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 3.875% 03/15/2023                                                           | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    520000 | PA      | $517296.00    | 0.03%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                       | FNS 351 13 6% 3/34                                                                                | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1547 | PA      | $290.39       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 5/40 #AL2129                                                                           | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11504 | PA      | $12093.18     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 4.50% 7/25 #G13844                                                                      | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4796 | PA      | $4753.31      | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 2006-45 OP 0 6/36                                                                             | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      3236 | PA      | $2570.41      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                  | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22644 | PA      | $22555.15     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNR 1997-41 J 7.5% 6/27                                                                           | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       614 | PA      | $627.92       | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | DOMINICAN REPUBLIC 4.5% 01/30/2030 144A                                                           | CUSIP: 25714PED6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   1200000 | PA      | $1018725.00   | 0.06%             | 2030-01-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745232                                                                           | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7099 | PA      | $7032.00      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/32 #646736                                                                           | CUSIP: 31390HPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $127.85       | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                                   | CSMC 2020-NET 2.2569% 08/15/2037 144A                                                             | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403633 | PA      | $360268.28    | 0.02%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 9/39 #723339                                                                           | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1908 | PA      | $1923.79      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    275000 | PA      | $254992.36    | 0.01%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1310297.40   | 0.07%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 1/36 #G03506                                                                           | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19546 | PA      | $20445.78     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 07/20/2043#635118                                                                    | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14978 | PA      | $14139.07     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 09/01/2046#G61420                                                                  | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574831 | PA      | $541537.50    | 0.03%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 1.5% 03/01/2051#SD8133                                                                  | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1279485 | PA      | $997294.60    | 0.06%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1922000 | PA      | $1518162.10   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                  | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27225 | PA      | $26948.68     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 05/01/2038#C91994                                                                    | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155479 | PA      | $152494.44    | 0.01%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7.5% 01/01/2027#                                                                        | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.42        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 145047692 | NS      | $145076701.80 | 8.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2274 ZM 6.5% 1/31                                                                             | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1149 | PA      | $1164.95      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1054000 | PA      | $1050684.95   | 0.06%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                       | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5227588.69   | 0.29%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 1/32 #C62372                                                                           | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2270 | PA      | $2383.77      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2001-20 Z 6% 5/31                                                                             | CUSIP: 31359SXB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3487 | PA      | $3548.39      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 3/42 #AL1521                                                                           | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28896 | PA      | $27915.00     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 07/20/2051#MA7472                                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731458 | PA      | $1526959.89   | 0.08%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                 | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812000 | PA      | $773334.67    | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                                   | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794000 | PA      | $1711937.96   | 0.09%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 3.5% 02/01/2025                                                       | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1213709.75   | 0.07%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 01/01/2038 #TBA                                                                      | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9500000 | PA      | $8544731.30   | 0.47%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FNR 2010-15 FJ 1ML+93 6/36                                                                        | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    221236 | PA      | $222519.75    | 0.01%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/40 #737559                                                                          | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11499 | PA      | $11113.24     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/40 #004833                                                                       | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10939 | PA      | $10592.76     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035                                                    | CUSIP: 31394D4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     14809 | PA      | $1288.14      | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.501% 04/01/2044#AV5913                                                                 | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $828.41       | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 10/42 #AP7882                                                                          | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30739 | PA      | $28841.63     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2520 BE 6% 11/32                                                                              | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      5298 | PA      | $5467.15      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39                                               | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1020901 | PA      | $1035391.68   | 0.06%             | 2039-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7169 | PA      | $7506.65      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 1.45% 10/02/2023                                                                    | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    462000 | PA      | $446141.71    | 0.02%             | 2023-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3168                                                                    | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133297 | PA      | $110276.92    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 7.00% 3/32 #003216                                                                        | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       435 | PA      | $456.47       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 4% 06/01/2038#K94286                                                                    | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5731 | PA      | $5621.45      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H16 BA 3.55% 07/60                                                                       | CUSIP: 38375BDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     62483 | PA      | $60814.49     | 0.00%             | 2060-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                    | CUSIP: 31394E3H9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    245922 | PA      | $249882.79    | 0.01%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 5.013%/VAR 04/04/2051                                                      | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2705198.05   | 0.15%             | 2051-04-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/39 #AB0043                                                                           | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42019 | PA      | $41556.79     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 10/39#004553                                                                       | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2304 | PA      | $2271.20      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2011-136 WI 4.5% 5/40                                                                         | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     20158 | PA      | $1463.34      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE D CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245000 | PA      | $225183.93    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    861000 | PA      | $740712.07    | 0.04%             | 2048-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                  | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9029 | PA      | $8287.72      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2039#G05645                                                                  | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1623 | PA      | $1613.99      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                                  | CSMC 2018-SITE C CSTR 04/15/2036 144A                                                             | CUSIP: 12690CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $115161.62    | 0.01%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2049#BM5577                                                                    | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153808 | PA      | $156617.64    | 0.01%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.60% 2/35 #779905                                                                       | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2006 | PA      | $2009.61      | 0.00%             | 2035-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024                              | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    843000 | PA      | $831079.69    | 0.05%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                               | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                        | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246000 | PA      | $222050.30    | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4372000 | PA      | $4210850.83   | 0.23%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #677235                                                                           | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3230 | PA      | $3199.31      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7566 | PA      | $7329.05      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25323 | PA      | $23919.57     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP 2.45% 09/13/2029                                                          | CUSIP: 828807DF1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    333000 | PA      | $279955.63    | 0.02%             | 2029-09-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                         | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    218000 | PA      | $203257.41    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                                | ALTRIA GROUP INC 3.875% 09/16/2046                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1521000 | PA      | $1035944.08   | 0.06%             | 2046-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    149000 | PA      | $141396.02    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                  | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3908 | PA      | $3811.27      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                       | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1701000 | PA      | $1625330.50   | 0.09%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55720                                                                    | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6072 | PA      | $5868.66      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 3.05% 10/15/2027                                                                       | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    500000 | PA      | $461548.28    | 0.03%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3297 BI 1ML+676 4/37                                                                          | CUSIP: 31397GRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     33299 | PA      | $4183.70      | 0.00%             | 2037-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/26 #256507                                                                          | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       339 | PA      | $344.72       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                  | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                          | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1550000 | PA      | $1675180.17   | 0.09%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 10/41 #005280                                                                       | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9960 | PA      | $9639.28      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/01/2052 #TBA                                                                      | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -14400000 | PA      | $-12634223.04 | -0.70%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2474677.12   | 0.14%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1473026.36   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 12/20/2042#MA0624                                                                    | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16128 | PA      | $14862.75     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FGLMC 30YR 3.5% 09/46#Q43176                                                                      | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61806 | PA      | $58091.27     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 12/01/2040#RB5089                                                                  | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40292 | PA      | $33029.74     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 1.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6800000 | PA      | $5282248.16   | 0.29%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 5% 11/24/2025                                                                      | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5722000 | PA      | $5735365.45   | 0.32%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3110 OP PO 0% 9/35                                                                            | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3252 | PA      | $2962.57      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 2.75% 03/15/2027 144A                                                                 | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    320000 | PA      | $294956.19    | 0.02%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 29 LTD / COLUMBIA CENT CLO 29 CORP                            | CENT CLO 20 LTD / CENT CLO 20-29A AR 3ML+117 10/20/2034 144A                                      | CUSIP: 197363AU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1364000 | PA      | $1314683.22   | 0.07%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 01/01/2043#AQ9316                                                                  | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61211 | PA      | $53661.42     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3882 | PA      | $3861.91      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                           | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                       | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $220969.72    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                 | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1018115 | PA      | $723963.69    | 0.04%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                     | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    498000 | PA      | $400277.25    | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 02/01/2035#FM2502                                                                  | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190447 | PA      | $177567.84    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                             | ARES XLI CLO LTD / ARES XLI CLO LLC 1ML+107 04/15/2034 144A                                       | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   1398000 | PA      | $1350862.24   | 0.07%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 01/01/2041#MA4231                                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65661 | PA      | $53826.46     | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                 | ALLEGRO CLO LTD 3ML+114 07/20/2034 144A                                                           | CUSIP: 01750WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    992000 | PA      | $957764.10    | 0.05%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 12/20/44#MA2446                                                                      | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6184 | PA      | $6047.24      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2007-59 FC 1ML+50 7/37                                                                        | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     47549 | PA      | $47331.13     | 0.00%             | 2037-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882063 | PA      | $843243.57    | 0.05%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                  | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31742 | PA      | $29898.72     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 7/40 #004746                                                                        | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5128 | PA      | $5096.83      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.10        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62692 | PA      | $51392.63     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2586 MJ 5.5 3/23                                                                              | CUSIP: 31393MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        70 | PA      | $70.49        | 0.00%             | 2023-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/01/2034#CA4890                                                                    | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23016 | PA      | $21921.32     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 12/01/2032#MA3217                                                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6364 | PA      | $5983.20      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/33 #C01614                                                                           | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       794 | PA      | $785.44       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2043#MA0934                                                                    | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19912 | PA      | $18921.51     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.5% 04/15/2043#783836                                                                  | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68477 | PA      | $64597.43     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                                         | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    635237 | PA      | $612466.86    | 0.03%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 12/46#BC9077                                                                       | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92163 | PA      | $86485.85     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                               | BERKSHIRE HATHAWAY ENERGY COMPANY 4.05% 04/15/2025                                                | CUSIP: 084659AT8<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |   2556000 | PA      | $2531449.13   | 0.14%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 07/01/2033#                                                                          | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $834.10       | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727139                                                                  | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6086 | PA      | $6017.85      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/28 #457547                                                                          | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $112.61       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/46#AS7533                                                                         | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545456 | PA      | $495968.75    | 0.03%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STRATUS STATIC CLO 2022-1 LTD                                                   | STRATUS STATIC CLO 2022-1 LTD TSFR3M+175 07/20/2030 144A                                          | CUSIP: 86317WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    278803 | PA      | $274620.83    | 0.02%             | 2030-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                  | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8267 | PA      | $8175.07      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2% 10/01/2035#BK5705                                                                    | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576735 | PA      | $520598.70    | 0.03%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    400000 | NC      | $5472.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 08/01/2031#BC2778                                                                  | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45377 | PA      | $42918.15     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.5% 03/43 #AR8173                                                                           | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16441 | PA      | $15515.29     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#RA6510                                                                    | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294637 | PA      | $243754.35    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2350                                                                    | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305723 | PA      | $252447.49    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.5% 07/15/2023                                                                           | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    274000 | PA      | $272348.82    | 0.02%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 06/47#Q48876                                                                       | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29157 | PA      | $29051.89     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $956988.32    | 0.05%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 6.75% 11/15/2039                                                               | CUSIP: 15135UAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    200000 | PA      | $210421.10    | 0.01%             | 2039-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.141% 03/15/2052 144A                                                             | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1091000 | PA      | $845373.37    | 0.05%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 2.45% 06/01/2030                                                             | CUSIP: 26441CBH7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    565000 | PA      | $474796.62    | 0.03%             | 2030-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                  | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11348 | PA      | $10407.43     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 1.038/VAR 06/18/2025 144A                                                 | CUSIP: 83368RBE1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3800000 | PA      | $3467290.96   | 0.19%             | 2025-06-18      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 11/01/2032#G18665                                                                  | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8430 | PA      | $7948.88      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745228                                                                           | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13762 | PA      | $13631.06     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2% 11/15/2041                                                         | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11460200 | PA      | $8346696.42   | 0.46%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 09/01/2051#QC7496                                                                    | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201028 | PA      | $178675.04    | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | TRANSCONTINENTAL GAS LINE LLC 3.25% 05/15/2030                                                    | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    207000 | PA      | $181824.53    | 0.01%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                                     | BOSTON PPTYS LTD PARTNERSHIP 4.5% 12/01/2028                                                      | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    605000 | PA      | $563390.83    | 0.03%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                  | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10739 | PA      | $10466.40     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.947% 07/01/2043#AL5652                                                                 | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13429 | PA      | $13539.62     | 0.00%             | 2043-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 3/38 #889219                                                                           | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3257 | PA      | $3426.41      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    624000 | PA      | $594119.09    | 0.03%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 4.1% 02/09/2027                                                            | CUSIP: 254709AM0<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |    284000 | PA      | $266841.64    | 0.01%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 12/01/2047#G61305                                                                    | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131116 | PA      | $126433.38    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 06/20/2046#AS4297                                                                    | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19975 | PA      | $18775.96     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 8/23 #352113                                                                           | CUSIP: 36203LDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $1.58         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 8/39 #698474                                                                           | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34586 | PA      | $34229.87     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 5.5% 08/01/2025#AL0517                                                                  | CUSIP: 3138EGSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       927 | PA      | $924.67       | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1739 | PA      | $1728.34      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 3.7% 04/06/2023                                                                       | CUSIP: 718546AU8<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     97000 | PA      | $96764.16     | 0.01%             | 2023-04-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/39 #G05457                                                                           | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10781 | PA      | $10717.50     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                   | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    421000 | PA      | $368489.96    | 0.02%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 9/25 #405143                                                                           | CUSIP: 36206ABL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        72 | PA      | $73.10        | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 12/01/2052 #TBA                                                                      | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  52150000 | PA      | $42890115.63  | 2.38%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                  | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15543 | PA      | $15472.50     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK2525                                                                           | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2280 | PA      | $2204.96      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC 3.691/VAR 06/05/2028                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4660000 | PA      | $4358201.20   | 0.24%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#CB2164                                                                    | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899984 | PA      | $803566.60    | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7175000 | PA      | $6984417.65   | 0.39%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                                   | VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A                                              | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1017000 | PA      | $1007576.46   | 0.06%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2011-4 PZ 5% 2/41                                                                             | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     23592 | PA      | $22787.36     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                  | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13859 | PA      | $12815.11     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AJ3485                                                                          | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2770 | PA      | $2675.13      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                 | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                                  | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    365000 | PA      | $357814.98    | 0.02%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 3.75% 03/26/2025                                                             | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1200000 | PA      | $1063715.32   | 0.06%             | 2025-03-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/46#BC0287                                                                       | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7511 | PA      | $7474.18      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                  | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2574 | PA      | $2625.77      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2010-170 B 4% 12/40                                                                           | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     29879 | PA      | $29136.64     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                                                | MORGAN STANLEY CAP I TR 2018-BOP C 1ML+150 06/15/2035 144A                                        | CUSIP: 61768FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208000 | PA      | $1136975.04   | 0.06%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3336 LI 1ML+658 6/37                                                                          | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     10780 | PA      | $1197.90      | 0.00%             | 2037-06-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 11/40 #004854                                                                       | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2624 | PA      | $2608.66      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 9/27 #313687                                                                           | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.38        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                  | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       989 | PA      | $983.37       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 8/32 #C70220                                                                           | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       381 | PA      | $400.34       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 06/01/2035#                                                                          | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       380 | PA      | $384.03       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 06/47#MA4511                                                                           | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86980 | PA      | $84269.51     | 0.00%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2432 FE 1ML+90 6/31                                                                           | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       564 | PA      | $568.28       | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 5/39 #713327                                                                           | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2815 | PA      | $2836.79      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 7/29 #C47273                                                                           | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2572 | PA      | $2695.24      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNMA 13-149 MA 2.5% 5/20/40                                                                       | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    109700 | PA      | $104736.11    | 0.01%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2996 MK 5.5% 6/35                                                                             | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3515 | PA      | $3572.62      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 1.75% 08/15/2041                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11769000 | PA      | $8210716.41   | 0.45%             | 2041-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 2.55% 03/21/2031                                                       | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $887880.41    | 0.05%             | 2031-03-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2045#MA3035                                                                    | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341551 | PA      | $333681.20    | 0.02%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/40#AE6588                                                                         | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5345 | PA      | $5170.80      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 8/37 #G06089                                                                           | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4505 | PA      | $4725.43      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 07/01/2033#709470                                                                    | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7355 | PA      | $7406.33      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#G07345                                                                  | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106492 | PA      | $104286.46    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                    | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -6400000 | PA      | $-5911000.32  | -0.33%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC29                                                 | CITIGROUP COML MTG TR 2015-GC29 XA CSTR 04/10/2048                                                | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2729617 | PA      | $51215.26     | 0.00%             | 2048-04-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.80% 5/37 #1N1474                                                                       | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2971 | PA      | $3047.92      | 0.00%             | 2037-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 10/46#AL9397                                                                         | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34484 | PA      | $31312.16     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 02/01/2045#AX6813                                                                       | CUSIP: 3138Y8SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7942 | PA      | $7713.46      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.1% 01/13/2026                                                    | CUSIP: 251526BZ1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1049349.38   | 0.06%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                  | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7839 | PA      | $7800.47      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/41 #489862                                                                          | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20103 | PA      | $19417.54     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                                 | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                                     | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1686000 | PA      | $1669099.20   | 0.09%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/47#Q48877                                                                         | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35404 | PA      | $34416.27     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 07/01/2040#FM7867                                                                    | CUSIP: 3140XBW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73182 | PA      | $67640.42     | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | DOMINICAN REPUBLIC 5.95% 01/25/2027 144A                                                          | CUSIP: 25714PDT2<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   2850000 | PA      | $2771268.75   | 0.15%             | 2027-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 5/40 #736729                                                                           | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8243 | PA      | $8164.73      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 4/26 #313275                                                                           | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $36.89        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    340000 | NC      | $4651.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745196                                                                           | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5490 | PA      | $5437.61      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                                     | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1556249 | PA      | $1525887.74   | 0.08%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA INC 3.5% 09/01/2030                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    709000 | PA      | $609364.23    | 0.03%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 02/01/2043#AR2626                                                                  | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35093 | PA      | $30764.13     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18683                                                                  | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23509 | PA      | $22121.83     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.814%/VAR 04/23/2029                                               | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $943087.56    | 0.05%             | 2029-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    852000 | PA      | $772930.05    | 0.04%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 1/29 #323500                                                                           | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.40        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.797%/VAR 07/23/2024                                                       | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34630.32     | 0.00%             | 2024-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                  | KKR CLO 41 LTD 22-41A A1 TSFR3M+133 04/15/2035 144A                                               | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2253000 | PA      | $2154131.60   | 0.12%             | 2035-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 12/41 #AJ4198                                                                          | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8468 | PA      | $8185.84      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMIRATE OF ABU DHABI                                                            | EMIRATE OF ABU DHABI 3.875% 04/16/2050 144A                                                       | CUSIP: 29135LAJ9<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    915000 | PA      | $759335.63    | 0.04%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.50% 6/25 #MA0442                                                                      | CUSIP: 31417YP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       563 | PA      | $557.65       | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2014-LC17 MTG TR                                                           | COMM 2014-LC17 XA CSTR 10/47                                                                      | CUSIP: 12592MBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2243061 | PA      | $21004.02     | 0.00%             | 2047-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                  | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8779 | PA      | $8708.88      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 03/01/2033#ZS8690                                                                    | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48680 | PA      | $46440.61     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3.625% 04/01/2027                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    375000 | PA      | $359640.44    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/33 #A12833                                                                           | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       448 | PA      | $451.89       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                                             | GSCOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     10000 | NC      | $136.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 01/01/2052#RA6622                                                                  | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1612719 | PA      | $1386336.21   | 0.08%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 02/20/2041#004948                                                                  | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       574 | PA      | $566.21       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                             | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    147510 | PA      | $135951.91    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 11/01/2051#QD0399                                                                    | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54366 | PA      | $44994.31     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE8135                                                                    | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2793 | PA      | $2698.88      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                 | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    829049 | PA      | $826379.47    | 0.05%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/27 #368817                                                                           | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123 | PA      | $126.72       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 04/48#CA1564                                                                       | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10951 | PA      | $10833.35     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 12/01/2052 #TBA                                                                      | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4900000 | PA      | $4878560.05   | 0.27%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788763 | PA      | $758605.74    | 0.04%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       821 | PA      | $863.00       | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                               | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     20000 | PA      | $18032.00     | 0.00%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2046#BE2414                                                                    | CUSIP: 3140FMVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4973 | PA      | $4825.40      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-18 FD 1ML+80 2/32                                                                        | CUSIP: 31392CHM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       292 | PA      | $293.41       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM LLC 5.85%/VAR 05/21/2043 144A                                                       | CUSIP: 23311RAH9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   2820000 | PA      | $2758812.29   | 0.15%             | 2043-05-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 6% 05/01/2029#                                                                          | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        57 | PA      | $58.53        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 4/41 #A97942                                                                           | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37577 | PA      | $37421.30     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55141                                                                    | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1156 | PA      | $1117.47      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727060                                                                  | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2417 | PA      | $2389.97      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9684 | PA      | $8813.27      | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                                      | FNS 384 6 5% 7/37                                                                                 | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     10453 | PA      | $1807.57      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#FM9633                                                                    | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342405 | PA      | $305079.86    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+ 06/20/2064                                                      | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     82804 | PA      | $82066.04     | 0.00%             | 2064-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 0.0% 10/01/2041#AI6819                                                                   | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3066 | PA      | $3039.87      | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2043#AL7626                                                                    | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14609 | PA      | $14115.03     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                  | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7479 | PA      | $6816.44      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 7.00% 1/36 #A54473                                                                           | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1386 | PA      | $1474.94      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 4.95% 03/31/2030                                                                | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    298000 | PA      | $285597.06    | 0.02%             | 2030-03-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                            | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    270947 | PA      | $249561.44    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                             | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     10292 | PA      | $10048.34     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 04/01/2041#                                                                          | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21140 | PA      | $18063.68     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AASET 2019-1 TRUST                                                              | AASET 2019-1 TRUST 3.844% 05/15/2039 144A                                                         | CUSIP: 00256DAA0<br>LEI: 549300TXM3PCKZJKD061 | Long             | ABS-CBDO         | CORP              | US        |    403798 | PA      | $268218.63    | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                     | EXELON CORP 3.35% 03/15/2032 144A                                                                 | CUSIP: 30161NBC4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    389000 | PA      | $341771.23    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #745094                                                                           | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15699 | PA      | $15547.46     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FGLMC 3871 KB 5.5% 06/41                                                                          | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     62482 | PA      | $64994.52     | 0.00%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2.5% 12/01/2037 #TBA                                                                    | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6400000 | PA      | $5911000.32   | 0.33%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1525 | PA      | $1515.64      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 31 LTD                                                        | COLUMBIA CENT CLO 31A A1 LTD 3ML+120 04/20/2034 144A                                              | CUSIP: 19737LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $1564098.66   | 0.09%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 6.36% 7/36 #1B7105                                                                       | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10513 | PA      | $10639.03     | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 5% 12/01/2052 #TBA                                                                      | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3900000 | PA      | $-3882935.55  | -0.22%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 2.45% 10/29/2026                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    868000 | PA      | $763228.41    | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    800000 | PA      | $628976.00    | 0.03%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                                        | COOPERATIEVE RABOBANK UA 4.375% 08/04/2025                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $485896.64    | 0.03%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2004-91 Z 5 12/34                                                                             | CUSIP: 31394BZJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    189066 | PA      | $188180.92    | 0.01%             | 2034-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034                                         | CUSIP: 38374GDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     80721 | PA      | $86588.41     | 0.00%             | 2034-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                       | FNS 348 14 6.5% 8/34                                                                              | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1694 | PA      | $340.39       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 3.882%/VAR 07/24/2038                                                       | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $840568.27    | 0.05%             | 2038-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 08/01/2033#729380                                                                  | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2865 | PA      | $2833.55      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 2.7% 06/22/2030                                                                       | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1003000 | PA      | $800041.29    | 0.04%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                          | EQUITABLE HOLDINGS INC 3.9% 04/20/2023                                                            | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     72000 | PA      | $71698.06     | 0.00%             | 2023-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/34 #357634                                                                          | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3254 | PA      | $3384.66      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 01/01/2052#SD8190                                                                    | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37430 | PA      | $33202.15     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 9/24 #403965                                                                           | CUSIP: 36205XW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        10 | PA      | $10.42        | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                  | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6434 | PA      | $5870.18      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                             | MAGNETITE IX LTD /LLC 3ML+113 10/25/2034 144A                                                     | CUSIP: 55953UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1565000 | PA      | $1516920.07   | 0.08%             | 2034-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.87% 10/35 #1M1052                                                                      | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9480 | PA      | $9502.55      | 0.00%             | 2035-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 4/42 #AK6572                                                                           | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6172 | PA      | $5792.22      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 10/41 #Q03643                                                                          | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18378 | PA      | $18449.69     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/42#AB6934                                                                       | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8607 | PA      | $8075.15      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2003-70 BJ 5% 7/33                                                                            | CUSIP: 31393DAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     17237 | PA      | $17153.25     | 0.00%             | 2033-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 1.65% 06/22/2025                                                                      | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    197000 | PA      | $178332.58    | 0.01%             | 2025-06-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2154 PT 6% 5/29                                                                               | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3077 | PA      | $3130.29      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/41 #AB3687                                                                          | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55350 | PA      | $53481.56     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15321 | PA      | $15237.65     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 4/35 #A54855                                                                           | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4958 | PA      | $5002.23      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    310000 | NC      | $4240.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 04/30/2027                                                                        | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $667843.75    | 0.04%             | 2027-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    559000 | PA      | $531103.91    | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 7/40#V81831                                                                        | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6900 | PA      | $6500.06      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55504                                                                    | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15562 | PA      | $15040.37     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 3.5% 06/01/2032#C91456                                                                  | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176165 | PA      | $170473.62    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                         | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     24130 | PA      | $24486.24     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US LONG BOND(CBT) FUT MAR23 USH3                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -114 | NC      | $-153880.45   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 10/25 #303555                                                                          | CUSIP: 31373UE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $16.43        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 4.5% 11/01/2025#AL8242                                                                  | CUSIP: 3138ETEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24719 | PA      | $24519.44     | 0.00%             | 2025-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                             | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    517000 | PA      | $424624.91    | 0.02%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 04/01/2035#                                                                          | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1170.38      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4% 12/01/2052 #TBA                                                                      | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10500000 | PA      | $9935625.00   | 0.55%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC                             | MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+120 01/22/2031 144A                       | CUSIP: 55817AAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    364000 | PA      | $352665.04    | 0.02%             | 2031-01-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2050#SD7521                                                                  | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111232 | PA      | $96643.06     | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 07/01/2051#RA5574                                                                  | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666508 | PA      | $574093.61    | 0.03%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1568720.15   | 0.09%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2007-37 TS -1ML+669 6/37                                                                      | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      6575 | PA      | $742.28       | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                 | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426000 | PA      | $3322955.17   | 0.18%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/45#AZ9583                                                                         | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15244 | PA      | $14776.55     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XI LTD                                                                 | AMMC CLO XI LTD 3ML+101 04/30/2031 144A                                                           | CUSIP: 00176AAX3<br>LEI: 5493004OOK6VXHQ8DQ60 | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1666630.70   | 0.09%             | 2031-04-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                  | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1395.75      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 10/40 #AE3832                                                                          | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2249 | PA      | $2236.55      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    125000 | PA      | $117503.06    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                     | PHILLIPS 66 3.85% 04/09/2025                                                                      | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    125000 | PA      | $122233.86    | 0.01%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3% 02/15/2047                                                         | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24645000 | PA      | $20702762.63  | 1.15%             | 2047-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/47#V84700                                                                       | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36505 | PA      | $34322.00     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                  | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    721917 | PA      | $545501.92    | 0.03%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 09/01/2041#G60405                                                                  | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36049 | PA      | $35867.53     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                        | ARES CLO 2019-54A A 3ML+132 10/15/2032 144A                                                       | CUSIP: 04017WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1101000 | PA      | $1076465.32   | 0.06%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PINE STR TR I                                                                   | PINE STR TR I 4.572% 02/15/2029 144A                                                              | CUSIP: 722844AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030000 | PA      | $957357.50    | 0.05%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54604 | PA      | $50263.77     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $53.77        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 0.0% 07/01/2041#1B8505                                                                   | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4297 | PA      | $4328.01      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 1ML+595 02/16/2040                                                 | CUSIP: 38376WKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     25466 | PA      | $1688.84      | 0.00%             | 2040-02-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 3% 02/01/2037#MA2897                                                                    | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97470 | PA      | $91977.64     | 0.01%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 8% 08/01/2030#                                                                          | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $135.64       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 3/40 #711223                                                                           | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15208 | PA      | $15057.99     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0286                                                                    | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903047 | PA      | $747093.12    | 0.04%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 6/28 #432548                                                                           | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       199 | PA      | $206.77       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 4% 05/20/2049#BN2615                                                                      | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18567 | PA      | $17878.06     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                      | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                          | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $596727.01    | 0.03%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/20/2051#MA7767                                                                    | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32559 | PA      | $28642.68     | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  34050000 | PA      | $29096787.36  | 1.61%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27472 | PA      | $28507.15     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 7/39 #931504                                                                           | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21056 | PA      | $20916.63     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#FM6944                                                                    | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438005 | PA      | $363321.04    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H17 FA 1ML+33 7/60                                                                       | CUSIP: 38375BDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    517895 | PA      | $510885.63    | 0.03%             | 2060-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                                       | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                                               | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4543735 | PA      | $146969.38    | 0.01%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 1/32 #579242                                                                           | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       227 | PA      | $238.00       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2349                                                                    | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706581 | PA      | $584555.94    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.875% 09/30/2026                                                                       | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50421700 | PA      | $44916674.42  | 2.49%             | 2026-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                   | CA ST BUILD AMERICA BONDS                                                                         | CUSIP: 13063BBU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     90000 | PA      | $111527.66    | 0.01%             | 2039-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    880000 | PA      | $684689.95    | 0.04%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 1999-33 PK 6% 7/29                                                                            | CUSIP: 31359WKN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      2708 | PA      | $2748.22      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#AS9968                                                                    | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54064 | PA      | $52321.11     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 07/47#MA4587                                                                           | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98726 | PA      | $95649.45     | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2051#QD0109                                                                    | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57541 | PA      | $47621.96     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.3% 07/15/2025 144A                                                                     | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3303816.56   | 0.18%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                          | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    165000 | PA      | $149036.03    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 04/01/2034#G16829                                                                    | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58613 | PA      | $55892.75     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 6.50% 6/27 #256789                                                                      | CUSIP: 31371NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1033 | PA      | $1049.08      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2045#Q33791                                                                  | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21994 | PA      | $20733.72     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.0% 07/20/2043#MA1374                                                                    | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14641 | PA      | $13492.72     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 8/34 #G02758                                                                           | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6940 | PA      | $7007.14      | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                    | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1708000 | PA      | $1497504.88   | 0.08%             | 2029-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2040#                                                                        | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3663 | PA      | $3648.49      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                     | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    741000 | PA      | $653418.40    | 0.04%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.5% 04/15/2024                                                                | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    215000 | PA      | $212301.19    | 0.01%             | 2024-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       492 | PA      | $496.70       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 04/01/2033#ZS8087                                                                  | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46888 | PA      | $44083.89     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 1999-32 PL 6% 7/29                                                                            | CUSIP: 31359WHX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3676 | PA      | $3732.21      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                     | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                      | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1980394.54   | 0.11%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040                                    | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     65476 | PA      | $56737.15     | 0.00%             | 2040-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 2/41 #A97151                                                                           | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1677 | PA      | $1669.71      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 07/01/2047#MA3058                                                                    | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    614383 | PA      | $592661.42    | 0.03%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                             | MSCS SWAP CY451600 12/16/72 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $1094.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.224% 03/15/2032                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   1329000 | PA      | $1185746.23   | 0.07%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/27 #399824                                                                           | CUSIP: 31378JD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $11.16        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1791 | PA      | $1807.56      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 10/01/2049#QA3907                                                                    | CUSIP: 31339UKU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85282 | PA      | $76598.85     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9554 | PA      | $9000.77      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/27 #251298                                                                          | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $44.54        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 11/40 #749953                                                                          | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3284 | PA      | $3175.24      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 04/01/2046#Q40165                                                                    | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12989 | PA      | $11821.73     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2042#G07368                                                                    | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112012 | PA      | $108366.55    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 04/20/2040#004673                                                                  | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4075 | PA      | $4017.16      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 08/01/2051#CB1384                                                                  | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011274 | PA      | $870740.14    | 0.05%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                                | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                       | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $181053.85    | 0.01%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539860 | PA      | $458436.60    | 0.03%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                              | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4447000 | PA      | $4241986.50   | 0.23%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5.0% 07/01/2035#843431                                                                  | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40406 | PA      | $40784.04     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                     | ILLINOIS ST TXBL                                                                                  | CUSIP: 452151LF8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2525000 | PA      | $2434015.92   | 0.13%             | 2033-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| QATAR ST                                                                        | QATAR ST 4.4% 04/16/2050 144A                                                                     | CUSIP: 74727PBE0<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   1390000 | PA      | $1263162.50   | 0.07%             | 2050-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   1242000 | PA      | $910685.40    | 0.05%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 3/36 #003828                                                                        | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       853 | PA      | $844.48       | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 2/29 #323542                                                                           | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       214 | PA      | $221.48       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 02/01/2052#                                                                          | CUSIP: 3140XFW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158494 | PA      | $140523.50    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                                 | BRASS NO 10 PLC VAR 04/16/2069 144A                                                               | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |    466750 | PA      | $443427.28    | 0.02%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                                       | MILLICOM INTL CELLULAR SA 6.25% 03/25/2029 144A                                                   | CUSIP: 600814AQ0<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |   1440000 | PA      | $1364558.40   | 0.08%             | 2029-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    585000 | PA      | $538710.00    | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2049#CA4557                                                                  | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226135 | PA      | $210950.86    | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 6/38 #G05299                                                                           | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1812 | PA      | $1796.41      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 3.5% 06/01/2030                                                    | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    900000 | PA      | $831160.60    | 0.05%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/45#AZ0560                                                                         | CUSIP: 3138YRTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6669 | PA      | $6464.72      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AD8812                                                                      | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9606 | PA      | $8813.42      | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                     | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    138939 | PA      | $59843.92     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 5/34 #A21977                                                                           | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       936 | PA      | $945.06       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                                  | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37153 | PA      | $34945.85     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 1/27 #368821                                                                           | CUSIP: 31376XVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $98.85        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 9/41 #Q03210                                                                           | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2374 | PA      | $2297.74      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                  | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67908 | PA      | $63894.33     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE4058                                                                    | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6942 | PA      | $6710.43      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE7386                                                                    | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5969 | PA      | $5767.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/40#AE8996                                                                         | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8551 | PA      | $8265.12      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024                                                    | CUSIP: 31395FLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     10122 | PA      | $10174.17     | 0.00%             | 2024-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 11/32#BJ6650                                                                         | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9021 | PA      | $8617.53      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 6/31 #564650                                                                           | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       424 | PA      | $442.75       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.54% 4/37 #918912                                                                       | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       712 | PA      | $709.16       | 0.00%             | 2037-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.4% 06/10/2025                                                                     | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2266000 | PA      | $2228551.22   | 0.12%             | 2025-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.49% 01/23/2027                                                              | CUSIP: 71654QDB5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    570000 | PA      | $515736.00    | 0.03%             | 2027-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.00% 4/40 #737177                                                                           | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16116 | PA      | $16254.55     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9963 | PA      | $9715.71      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 6/46#V82414                                                                          | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183048 | PA      | $166595.96    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 11/20/2047#784391                                                                    | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180748 | PA      | $169893.76    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2039#A89270                                                                  | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3961 | PA      | $3940.44      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2009-116 KF 1ML+53 12/39                                                                      | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     38280 | PA      | $38120.48     | 0.00%             | 2039-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                                | ARES LIX CLO LTD 2021-59A A 3ML+103 04/25/2034 144A                                               | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    657000 | PA      | $635207.97    | 0.04%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 9/40 #004800                                                                        | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49630 | PA      | $48061.93     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                  | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102504 | PA      | $96631.11     | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2.5% 01/01/2038 #TBA                                                                    | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $739500.00    | 0.04%             | 2038-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 08/01/2047#CA0181                                                                    | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253747 | PA      | $244775.64    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/01/2053 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13700000 | PA      | $11643477.93  | 0.64%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 04/20/2050#MA6600                                                                    | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350403 | PA      | $328814.08    | 0.02%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -18500000 | PA      | $-15808827.20 | -0.88%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2502 ZC 6 9/32                                                                                | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      2149 | PA      | $2216.70      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                  | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9277 | PA      | $9223.51      | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 10/27 #256946                                                                          | CUSIP: 31371NL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $514.30       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                     | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1117385 | PA      | $969153.82    | 0.05%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 2% 12/01/2037 #TBA                                                                      | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -10100000 | PA      | $-9072957.26  | -0.50%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2009-59 HB 5% 8/25/39                                                                         | CUSIP: 31396QRH4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    103487 | PA      | $103713.26    | 0.01%             | 2039-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2052#SD1924                                                                    | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699864 | PA      | $705409.23    | 0.04%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041                                                     | CUSIP: 3137AAL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    302596 | PA      | $307948.13    | 0.02%             | 2041-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 6.34% 9/36 #893580                                                                       | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       492 | PA      | $494.75       | 0.00%             | 2036-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2048#BM4426                                                                  | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363045 | PA      | $340455.69    | 0.02%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 12/01/2049#QA5521                                                                    | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137777 | PA      | $123748.83    | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34653                                                                    | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25122 | PA      | $24105.15     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2033#727221                                                                  | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2209 | PA      | $2183.63      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 4.375% 01/12/2026                                                            | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $865581.76    | 0.05%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 02/20/2043#MA0783                                                                    | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14682 | PA      | $13951.75     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                    | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199390 | PA      | $188458.10    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                      | SYSCO CORP 6.6% 04/01/2050                                                                        | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    710000 | PA      | $792075.09    | 0.04%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1273873.95   | 0.07%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS BARCLAYS COML MTG TR 2013-C6                                                | UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A                                      | CUSIP: 90349GAC9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    186673 | PA      | $186410.67    | 0.01%             | 2046-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 5.25% 05/15/2024 144A                                                 | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    730000 | PA      | $712138.29    | 0.04%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 3.875% 01/15/2026                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   2603000 | PA      | $2393600.81   | 0.13%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 3.464% 5/1/41#1B8304                                                                     | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9744 | PA      | $9838.10      | 0.00%             | 2041-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 11/35 #843132                                                                          | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3650 | PA      | $3809.78      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                                  | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                            | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    728600 | PA      | $686241.36    | 0.04%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LTD                                                     | PARK AEROSPACE HOLDINGS LTD 5.5% 02/15/2024 144A                                                  | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   5175000 | PA      | $5098881.39   | 0.28%             | 2024-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 07/01/2045#AZ1783                                                                  | CUSIP: 3138YS6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22472 | PA      | $21803.64     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | ELANCO ANIMAL HEALTH INC STEP 08/28/2023                                                          | CUSIP: 28414HAE3<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    459000 | PA      | $457131.04    | 0.03%             | 2023-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.0% 04/01/2045#AY7471                                                                       | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14118 | PA      | $13711.18     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 03/01/2050#BP2187                                                                    | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110846 | PA      | $99732.80     | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 3.50% 9/42 #AP4410                                                                           | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17308 | PA      | $16242.16     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/01/2045#Q38812                                                                    | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4975 | PA      | $4826.39      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2757585 | PA      | $2645366.48   | 0.15%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2432 FG 1ML+90 3/32                                                                           | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       182 | PA      | $183.34       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 02/20/2043#AD1755                                                                    | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18734 | PA      | $17656.05     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.273%/VAR 03/01/2030                                                  | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1358000 | PA      | $1162737.08   | 0.06%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.00% 4/28 #433685                                                                           | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        47 | PA      | $48.91        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 03/15/2042#733816                                                                    | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11154 | PA      | $10770.59     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 06/20/2040#004709                                                                  | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4017 | PA      | $3958.83      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                  | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67790 | PA      | $65491.43     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 2/40 #737015                                                                           | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6035 | PA      | $5975.44      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2145 MZ 6.5% 4/29                                                                             | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11516 | PA      | $11706.74     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR0015                                                                  | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11943 | PA      | $10952.84     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                  | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12147 | PA      | $12024.62     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 12/01/2051#BT9503                                                                    | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171582 | PA      | $152341.94    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 3.9% 02/01/2025                                                       | CUSIP: 136385AV3<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $513791.05    | 0.03%             | 2025-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                                        | CHC COML MTG TR 2019-CHC B 1ML+140 06/15/2034 144A                                                | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306684 | PA      | $296616.40    | 0.02%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    245000 | PA      | $240971.15    | 0.01%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC TR 2017-PFHP                                                               | CSMC TR 2017-PFHP D 1ML+225 12/15/2020 144A                                                       | CUSIP: 12595KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296000 | PA      | $1230672.40   | 0.07%             | 2030-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3.5% 03/20/2043#AA6141                                                                    | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8920 | PA      | $8420.62      | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2010-160 DY 4% 12/20/2040                                                                     | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    134467 | PA      | $131126.75    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                    | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3200000 | PA      | $-3115001.60  | -0.17%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.50% 9/39 #G06670                                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18396 | PA      | $19792.55     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 03/01/2033#G18680                                                                  | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54548 | PA      | $51330.53     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.58% 7/35 #995273                                                                       | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4113 | PA      | $4119.71      | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                  | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133262 | PA      | $122794.21    | 0.01%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2032#C91403                                                                  | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257933 | PA      | $249599.66    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040659 | PA      | $902220.78    | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 5.50% 10/35 #612663                                                                          | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1531 | PA      | $1575.83      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 1.5% 11/01/2040#MA4175                                                                  | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62640 | PA      | $51349.57     | 0.00%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-74 SV -1ML+755 11/32                                                                     | CUSIP: 31392FRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3552 | PA      | $147.50       | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.45% 04/01/2062                                                                    | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2116000 | PA      | $1710406.58   | 0.09%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MTG TR                                                          | COMM MTG TR 2013-CC7 AM 3.314% 03/10/2046                                                         | CUSIP: 12625FAS5<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    273000 | PA      | $270461.15    | 0.01%             | 2046-03-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 07/01/2033#729327                                                                  | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $438.31       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 1929 EZ 7.5 2/2027                                                                            | CUSIP: 3133T9A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      4662 | PA      | $4822.62      | 0.00%             | 2027-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.25% 04/01/2052                                                                    | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1526397.99   | 0.08%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 02/01/2043#Q15400                                                                  | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6757 | PA      | $6589.77      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | OVINTIV INC 5.15% 11/15/2041                                                                      | CUSIP: 292505AK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1916000 | PA      | $1733276.41   | 0.10%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/40 #A93505                                                                           | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1984 | PA      | $1975.31      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9446 | PA      | $9556.80      | 0.00%             | 2042-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.0% 04/01/2043#Q17518                                                                  | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4780 | PA      | $4658.31      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 02/01/2042#MA4540                                                                    | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195200 | PA      | $165332.17    | 0.01%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 5% 02/01/2035#AB0067                                                                    | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122681 | PA      | $123520.54    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                  | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7606 | PA      | $6975.15      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/24 #284385                                                                           | CUSIP: 31372V2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $41.00        | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                    | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6100000 | PA      | $5331325.58   | 0.30%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 9/40#V81958                                                                        | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17360 | PA      | $16354.33     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 4/40 #739091                                                                           | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5590 | PA      | $5532.94      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 09/01/2049#                                                                          | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27413 | PA      | $24613.28     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 12/37 #A69815                                                                          | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1819 | PA      | $1912.34      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 6.00% 5/33 #G01785                                                                           | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6706 | PA      | $6908.72      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2047#Q52086                                                                  | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12536 | PA      | $11715.91     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 3% 12/34#FM0045                                                                         | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50334 | PA      | $47924.70     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2156 TC 6.25% 5/29                                                                            | CUSIP: 3133TKZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1486 | PA      | $1527.28      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 2/41 #004945                                                                        | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2940 | PA      | $2846.73      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRST CITIZENS BANK and TRUST COMPANY                                           | FIRST CITIZENS BANK and TRUST CO 3.929/VAR 06/19/2024                                             | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266477.04    | 0.01%             | 2024-06-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.908% 07/23/2025 | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    945000 | PA      | $930155.54    | 0.05%             | 2025-07-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 11/35 #A47571                                                                          | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1071 | PA      | $1083.65      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 01/01/2031#ZS8593                                                                  | CUSIP: 3132A9RN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7620 | PA      | $7240.01      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | NATWEST MARKETS PLC 2.375% 05/21/2023 144A                                                        | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   1767000 | PA      | $1737344.03   | 0.10%             | 2023-05-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 03/01/2052#RA6988                                                                    | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    981467 | PA      | $869879.00    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 1999-25 Z 6% 6/29                                                                             | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      3051 | PA      | $3064.82      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/20/2041#005258                                                                    | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33289 | PA      | $31416.37     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4% 05/46#MA3664                                                                           | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32433 | PA      | $31615.12     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                  | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55906 | PA      | $51271.04     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 12/01/2051#CB2347                                                                    | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241941 | PA      | $200384.93    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOYA 2020                                                                       | VOYA 2020 3ML+115 07/16/2034 144A                                                                 | CUSIP: 92918EAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    860000 | PA      | $832406.90    | 0.05%             | 2034-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21708 | PA      | $18549.13     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                         | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3773000 | PA      | $3645273.88   | 0.20%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 03/41#A97555                                                                       | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3851 | PA      | $3834.65      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 12/01/2052 #TBA                                                                        | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -5350000 | PA      | $-4825355.46  | -0.27%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2009-108 CF 1ML+60 11/39                                                                      | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     60836 | PA      | $60725.40     | 0.00%             | 2039-11-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2051#QC9114                                                                    | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210049 | PA      | $173839.60    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 05/01/2034#                                                                          | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       471 | PA      | $475.55       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE TRUST OF AMERICA HOLDINGS LP                                         | HEALTHCARE TRUST OF AMERICA HOLDINGS LP 3.5% 08/01/2026                                           | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    270000 | PA      | $252763.46    | 0.01%             | 2026-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 1/34 #255070                                                                           | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13538 | PA      | $14056.89     | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.65% 05/11/2027                                                       | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2746000 | PA      | $2586306.73   | 0.14%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP                            | COLUMBIA CENT CLO 30 LTD / COLUMBIA CENT CLO 30 CORP 3ML+131 01/20/2034 144A                      | CUSIP: 19736WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2220000 | PA      | $2159118.72   | 0.12%             | 2034-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.207%/VAR 06/12/2024 144A                                                   | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $485169.93    | 0.03%             | 2024-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67035 | PA      | $54952.94     | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 03/20/2043 #MA1090                                                                   | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37118 | PA      | $35272.03     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GNR 2010-H19 FG 1ML+30 8/60                                                                       | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    505730 | PA      | $499154.00    | 0.03%             | 2060-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 8/35 #357953                                                                           | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       777 | PA      | $810.08       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 1ML+ 12/20/2063                                                      | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    119784 | PA      | $119121.06    | 0.01%             | 2063-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 5% 12/01/2033#                                                                          | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       729 | PA      | $735.18       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/45#G60179                                                                         | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169551 | PA      | $164820.61    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2001-31 ZC 6.5% 7/31                                                                          | CUSIP: 313920CW8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1866 | PA      | $1893.64      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 01/01/2049#BN4472                                                                    | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6820 | PA      | $6546.56      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 6/40 #783008                                                                           | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26633 | PA      | $26380.13     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                                                        | BAE SYSTEMS HOLDINGS INC 3.8% 10/07/2024 144A                                                     | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1013834.56   | 0.06%             | 2024-10-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 07/01/2050#CA6399                                                                  | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3552220 | PA      | $3076338.80   | 0.17%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 2/42 #AK3455                                                                           | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4786 | PA      | $4624.78      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2032                                                                       | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51215400 | PA      | $48006435.09  | 2.66%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #713686                                                                           | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1236 | PA      | $1222.05      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.00% 10/41 #Q04092                                                                          | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64833 | PA      | $62742.30     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL CORP                                                              | STORE CAP CORP 4.625% 03/15/2029                                                                  | CUSIP: 862121AB6<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              | CORP              | US        |    315000 | PA      | $288469.05    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    683000 | PA      | $613612.91    | 0.03%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 12/45#BA6404                                                                         | CUSIP: 3140EBDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29476 | PA      | $28572.35     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 9/27 #449474                                                                           | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       180 | PA      | $186.34       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.60% 8/35 #735810                                                                       | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9651 | PA      | $9738.69      | 0.00%             | 2035-08-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 4/1/43 #AT1745                                                                     | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32453 | PA      | $30626.68     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNMA 2004-24 ZM 5% 04/34                                                                          | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     18525 | PA      | $18311.39     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 12ML+187.9 10/42#849255                                                                  | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22416 | PA      | $22550.81     | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 12/41 #711616                                                                          | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11322 | PA      | $10667.44     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                  | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65508 | PA      | $60076.50     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2002-16 ZD 6.50% 4/32                                                                         | CUSIP: 31392CVK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1354 | PA      | $1400.67      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14064 | PA      | $13921.01     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.64% 1/35 #813730                                                                       | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2224 | PA      | $2225.33      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                  | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68862 | PA      | $64916.44     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 09/46#BC2843                                                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112557 | PA      | $109772.98    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 8/41 #Q02592                                                                           | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14044 | PA      | $13985.06     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP CAREY INC 4.6% 04/01/2024                                                                      | CUSIP: 92936UAA7<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1242452.29   | 0.07%             | 2024-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                       | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   2173000 | PA      | $1855020.04   | 0.10%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1472000 | PA      | $1222516.49   | 0.07%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $1368.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA KINGDOM OF                                                         | SAUDI ARABIA KINGDOM OF 3.25% 10/22/2030 144A                                                     | CUSIP: 80413TAT6<br>LEI: 54930044PULMORCKB765 | Long             | DBT              | NUSS              | SA        |    595000 | PA      | $543681.25    | 0.03%             | 2030-10-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55725                                                                    | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33402 | PA      | $32292.72     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                 | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718111 | PA      | $663910.91    | 0.04%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 11/23 #352026                                                                          | CUSIP: 36203LA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $4.09         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                             | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    472253 | PA      | $428758.49    | 0.02%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                            | EDISON INTERNATIONAL 5.75% 06/15/2027                                                             | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $3016585.33   | 0.17%             | 2027-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 12/39 #AC6795                                                                          | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17088 | PA      | $16981.14     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                | COMCAST CORP NEW 6.45% 03/15/2037                                                                 | CUSIP: 20030NAM3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    365000 | PA      | $407531.73    | 0.02%             | 2037-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 4683 LM 3% 05/15/2047                                                                         | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    108056 | PA      | $102356.46    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                        | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    488890 | PA      | $361788.22    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                                      | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     75277 | PA      | $13320.16     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 08/01/2042#AL2266                                                                  | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32719 | PA      | $30707.28     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 10/40 #AE4428                                                                          | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3571 | PA      | $3453.17      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2008-2 FD 1ML+48 1/38                                                                         | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     12358 | PA      | $12288.82     | 0.00%             | 2038-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.55% 06/24/2024                                                                 | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69276.06     | 0.00%             | 2024-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 2/34 #725162                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5170 | PA      | $5363.12      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV FIN INC                                                    | ANHEUSER-BUSCH INBEV FIN INC 4.9% 02/01/2046                                                      | CUSIP: 035242AN6<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4209674.67   | 0.23%             | 2046-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 11/42#G60488                                                                         | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136972 | PA      | $132537.86    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    144276 | PA      | $132814.44    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                                      | J P MORGAN CHASE COML MTG SECS TR 2018-WPT EFX 5.5422% 07/05/2033 144A                            | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218000 | PA      | $185899.91    | 0.01%             | 2033-07-05      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                  | BRANDYWINE OPER PARTNERSHIP LP 3.95% 02/15/2023                                                   | CUSIP: 105340AM5<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |    560000 | PA      | $556869.03    | 0.03%             | 2023-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CRPT 2021                                                                       | CRPT 2021-RETL D 1ML+295 07/15/2034 144A                                                          | CUSIP: 12566BAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234000 | PA      | $214808.00    | 0.01%             | 2036-08-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 7/27 #190284                                                                           | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $38.82        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.625% 07/31/2029                                                                       | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    504000 | PA      | $470216.25    | 0.03%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                  | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102996 | PA      | $99587.31     | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 5/27 #379801                                                                           | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116 | PA      | $120.02       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 08/01/2032#G18654                                                                  | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5940 | PA      | $5600.92      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 2% 10/01/2041#                                                                          | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22711 | PA      | $19285.83     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 12/39 #704808                                                                          | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3247 | PA      | $3211.41      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 04/01/2050#MA3991                                                                    | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50644 | PA      | $45360.69     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 11/28 #572167                                                                          | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26 | PA      | $27.34        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 06/01/2040#V81792                                                                  | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47128 | PA      | $44398.63     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.472% 12/01/2040#AE0653                                                                 | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44393 | PA      | $44811.41     | 0.00%             | 2040-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                               | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    718111 | PA      | $677667.63    | 0.04%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 4.56% 6/33 #780605                                                                       | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14179 | PA      | $14280.78     | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                      | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10703600 | PA      | $9614843.19   | 0.53%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 10/23 #352051                                                                          | CUSIP: 36203LBU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $5.70         | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD                                                                | SYMPHONY CLO LTD 3ML+129 04/18/2033 144A                                                          | CUSIP: 87167GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2939433.00   | 0.16%             | 2033-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1337561.80   | 0.07%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 4.801% 2/33 #695019                                                                      | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       196 | PA      | $199.38       | 0.00%             | 2033-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #719216                                                                           | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8274 | PA      | $8191.46      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.755% 03/15/2027 144A                                                             | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    973000 | PA      | $886678.18    | 0.05%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 3.85% 06/01/2027                                                      | CUSIP: 136385AX9<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   2700000 | PA      | $2559423.42   | 0.14%             | 2027-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                  | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106375 | PA      | $102813.19    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHR 2162 PH 6 6/29                                                                                | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       619 | PA      | $628.33       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                   | SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A                                         | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1903000 | PA      | $1845152.61   | 0.10%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 2998 LY 5.5 7/25                                                                              | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3471 | PA      | $3551.89      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2012-76 GS -1ML+670 6/42                                                                      | CUSIP: 38375C5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     14467 | PA      | $1499.44      | 0.00%             | 2042-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| INDONESIA REPUBLIC OF                                                           | INDONESIA REPUBLIC OF 4.2% 10/15/2050                                                             | CUSIP: 455780CT1<br>LEI: 254900G208H6Q0L5B953 | Long             | DBT              | NUSS              | ID        |   2100000 | PA      | $1730106.00   | 0.10%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2046#V82292                                                                    | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29223 | PA      | $28398.95     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 28YR 6.00% 6/36 #889046                                                                      | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54341 | PA      | $56613.65     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 7/27 #451326                                                                           | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $21.81        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                  | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8461 | PA      | $8185.60      | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                                | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    731000 | PA      | $738500.11    | 0.04%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 4.2% 06/10/2024                                                                 | CUSIP: 04010LAX1<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   1716000 | PA      | $1663513.98   | 0.09%             | 2024-06-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2005-14 ZB 5% 3/35                                                                            | CUSIP: 31394CXY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     58199 | PA      | $57932.41     | 0.00%             | 2035-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                                | AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025                                                    | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   1934000 | PA      | $1826124.32   | 0.10%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3258 PM 5.5 12/36                                                                             | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      4630 | PA      | $4744.44      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                              | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1778537.33   | 0.10%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                               | DRYDEN 98 CLO LTD TSFR3M+130 04/20/2035 144A                                                      | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    969000 | PA      | $933875.69    | 0.05%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/01/2053 #TBA                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5100000 | PA      | $4733735.85   | 0.26%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3287 SD -1ML+675 3/37                                                                         | CUSIP: 31397G6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     23766 | PA      | $3265.46      | 0.00%             | 2037-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065                                           | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     15533 | PA      | $14886.93     | 0.00%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                  | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20998 | PA      | $19754.45     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE GROUP INC                                                     | COLUMBIA PIPELINE GROUP INC 4.5% 06/01/2025                                                       | CUSIP: 198280AF6<br>LEI: 549300SRP1TQM9JJBG80 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24620.61     | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                       | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                                 | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1956000 | PA      | $1903606.58   | 0.11%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| COCA COLA CO                                                                    | COCA COLA CO 3.45% 03/25/2030                                                                     | CUSIP: 191216CT5<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    713000 | PA      | $664001.78    | 0.04%             | 2030-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 4% 01/15/2047#AX5855                                                                    | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2192 | PA      | $2113.45      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS LLC                                                    | DISCOVERY COMMUNICATIONS LLC 3.625% 05/15/2030                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    708000 | PA      | $596460.14    | 0.03%             | 2030-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 3.50% 12/41 #739352                                                                          | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9680 | PA      | $9117.54      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 07/01/2050#CA6275                                                                    | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234202 | PA      | $194048.31    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.8% 01/23/2059                                                    | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1933000 | PA      | $2048845.39   | 0.11%             | 2059-01-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.55% 04/17/2026                                                             | CUSIP: 225433AR2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    388000 | PA      | $337208.29    | 0.02%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 11/28 #457257                                                                          | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       119 | PA      | $121.84       | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 4/39 #AB0042                                                                           | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136163 | PA      | $134682.85    | 0.01%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.00% 5/30 #590851                                                                           | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1614 | PA      | $1683.10      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE4056                                                                    | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9354 | PA      | $9039.96      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                         | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735000 | PA      | $700883.36    | 0.04%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                         | ALABAMA POWER CO 3.05% 03/15/2032                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   1447000 | PA      | $1259339.86   | 0.07%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA II 3% 03/20/2043#AA6146                                                                      | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22140 | PA      | $20312.90     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                | SBLOFI SWAP CY451600 12/16/72 B                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    560000 | NC      | $7661.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                               | GNR 2014-25 HC 3% 2/44                                                                            | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    169805 | PA      | $156583.43    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726923                                                                           | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2448 | PA      | $2419.60      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 1/41 #AH1256                                                                           | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6975 | PA      | $6741.16      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4763 SC 1ML+620 08/15/2047                                         | CUSIP: 3137F3MN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    168556 | PA      | $19192.91     | 0.00%             | 2047-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                              | CENOVUS ENERGY INC 5.4% 06/15/2047                                                                | CUSIP: 15135UAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    244000 | PA      | $225383.74    | 0.01%             | 2047-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                                  | CSMC 2019-ICE4 B 1ML+123 05/15/2036 144A                                                          | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863000 | PA      | $846854.82    | 0.05%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/01/2046#G60824                                                                    | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33170 | PA      | $32265.09     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064                                                     | CUSIP: 38375UJP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     21137 | PA      | $21072.93     | 0.00%             | 2064-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 1ML+110 03/15/2036 144A                                                      | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208390 | PA      | $196368.21    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 4/35 #735503                                                                           | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34026 | PA      | $35362.53     | 0.00%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 9/33 #727147                                                                           | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2475 | PA      | $2447.31      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 7/35 #G01838                                                                           | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28344 | PA      | $28638.83     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3178 | PA      | $3161.36      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 3.622/VAR 04/01/2031                                                               | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2099000 | PA      | $1870540.58   | 0.10%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 09/20/2043#MA1285                                                                    | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219684 | PA      | $208757.27    | 0.01%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#G61896                                                                  | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25198 | PA      | $23533.66     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2046#Q38296                                                                    | CUSIP: 3132QVGE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18141 | PA      | $17601.18     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 5.85% 07/15/2025                                                               | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    263000 | PA      | $267132.90    | 0.01%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                                      | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     37935 | PA      | $1758.67      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.87% 7/36 #1B7380                                                                       | CUSIP: 3128QPSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10474 | PA      | $10400.14     | 0.00%             | 2036-07-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 5/35 #G01818                                                                           | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4398 | PA      | $4449.27      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.875% 07/03/2023                                                                  | CUSIP: 00912XBC7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    877000 | PA      | $868080.16    | 0.05%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595638 | PA      | $531825.86    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 12/01/2032#G18669                                                                  | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251373 | PA      | $237016.12    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 4.862% 08/21/2046                                                      | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1141165.71   | 0.06%             | 2046-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048                                                      | CUSIP: 3136B2EX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    456999 | PA      | $85855.75     | 0.00%             | 2048-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NUVEEN FINANCE LLC                                                              | NUVEEN FINANCE LLC 4.125% 11/01/2024 144A                                                         | CUSIP: 87246YAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $77791.69     | 0.00%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 10/01/2051#RA6076                                                                    | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1096671 | PA      | $905907.71    | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 08/01/2051#FM9973                                                                    | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354019 | PA      | $316811.11    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    880000 | PA      | $799929.21    | 0.04%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.50% 7/40 #745231                                                                           | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10260 | PA      | $10161.93     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 2.967% 8/41#AI8879                                                                       | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2167 | PA      | $2188.59      | 0.00%             | 2041-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024                               | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2378000 | PA      | $2188154.06   | 0.12%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 02/01/2046#BC0214                                                                    | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58049 | PA      | $56268.81     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 6% 06/15/2048                                                                  | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1279000 | PA      | $1174738.44   | 0.07%             | 2048-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 01/01/2048#V83906                                                                    | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35582 | PA      | $34289.26     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                         | FHLM ARM 5.12% 10/36 #1A1201                                                                      | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18691 | PA      | $18681.09     | 0.00%             | 2036-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3189 PD 6% 7/36                                                                               | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     10394 | PA      | $10800.12     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12612 | PA      | $12183.53     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                  | FHR 2043 ZH 6% 4/28                                                                               | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      1306 | PA      | $1324.43      | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/40#AE7390                                                                         | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11141 | PA      | $10779.26     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                             | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18974 | PA      | $18303.00     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                  | PLAINS ALL AM PIPELN/PAA FIN C 3.6% 11/01/2024                                                    | CUSIP: 72650RBF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    266000 | PA      | $256595.88    | 0.01%             | 2024-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 20YR 1.5% 04/01/2041#RB5107                                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67969 | PA      | $55548.58     | 0.00%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2001-52 YZ 6.5% 10/31                                                                         | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       486 | PA      | $501.71       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    381000 | PA      | $317870.89    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3% 07/01/2050#CA6312                                                                    | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673937 | PA      | $605737.46    | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12090 | PA      | $12647.50     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 4.50% 5/41 #Q00736                                                                           | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3633 | PA      | $3614.10      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.0% 08/20/2044#MA2149                                                                    | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14974 | PA      | $14642.79     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                  | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8184 | PA      | $7911.80      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 8.00% 7/25 #780195                                                                           | CUSIP: 36225AGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $12.80        | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       191 | PA      | $203.80       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 06/01/2047#Q48754                                                                    | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485071 | PA      | $470172.04    | 0.03%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 4/42 #AK8237                                                                           | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24850 | PA      | $24010.15     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 10/01/2040#A94586                                                                  | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8962 | PA      | $8924.85      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63                                             | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5373 | PA      | $5272.94      | 0.00%             | 2063-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                               | DRYDEN 83 CLO LTD 3ML+122 01/18/2032 144A                                                         | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   1259000 | PA      | $1235708.50   | 0.07%             | 2032-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       649 | PA      | $686.31       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.50% 4/41 #005017                                                                        | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27650 | PA      | $27484.59     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 2.5% 01/15/2027 144A                           | CUSIP: 46590XAR7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1945000 | PA      | $1695300.90   | 0.09%             | 2027-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 11/01/2040#AE7374                                                                    | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8525 | PA      | $8241.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 6/30 #538847                                                                           | CUSIP: 31385ATC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $11.56        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35343 | PA      | $32602.73     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                                   | BX TRUST 2019 1ML+185 10/15/2036 144A                                                             | CUSIP: 056054AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4313750 | PA      | $4159047.71   | 0.23%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 2.5% 07/01/2033#G16661                                                                  | CUSIP: 3128MFTS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201206 | PA      | $189714.59    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 7.50% 12/23 #780863                                                                          | CUSIP: 36225A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8 | PA      | $7.70         | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 4% 03/01/2046#AL8321                                                                    | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109939 | PA      | $107117.57    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    880000 | PA      | $825862.40    | 0.05%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA ARM 3.54% 12/39 #AC8301                                                                      | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1216 | PA      | $1223.40      | 0.00%             | 2039-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                  | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36092 | PA      | $34060.85     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 5.4% 10/01/2047                                                                | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1023000 | PA      | $882212.15    | 0.05%             | 2047-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 05/01/2035#A38837                                                                  | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1458 | PA      | $1445.63      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 20YR 2% 11/01/2040#                                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18263 | PA      | $15668.48     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW 4.897%/VAR 07/25/2033                                                      | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4711000 | PA      | $4539348.26   | 0.25%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                              | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1382000 | PA      | $1074162.96   | 0.06%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                            | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132000 | PA      | $120972.90    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   2092000 | PA      | $1977678.60   | 0.11%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 01/01/2053 #TBA                                                                        | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5350000 | PA      | $4828699.21   | 0.27%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 15YR 2.5% 11/01/2031#AS8387                                                                  | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8952 | PA      | $8467.13      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 4.00% 11/41 #005233                                                                       | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5998 | PA      | $5805.33      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 04/01/2048#Q55661                                                                    | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20088 | PA      | $19414.06     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.00% 6/41 #AB3143                                                                           | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11044 | PA      | $10684.83     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 3.875% 11/05/2025                                                                      | CUSIP: 91529YAL0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47976.71     | 0.00%             | 2025-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                     | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57655 | PA      | $52820.87     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                  | FNR 2008-12 SG -1ML+635 3/38                                                                      | CUSIP: 31396YMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     17602 | PA      | $1874.15      | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2.5% 12/01/2051#CB2289                                                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900379 | PA      | $772864.43    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 12/01/2046#Q45023                                                                  | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41774 | PA      | $39236.81     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                    | SBA TOWER TR 1.884% 07/15/2050 144A                                                               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    498000 | PA      | $437968.94    | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/35 #G01839                                                                           | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       811 | PA      | $819.28       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 3.5% 02/15/2041 144A                                                                 | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $1743243.21   | 0.10%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                              | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    913000 | PA      | $876388.24    | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.3% 03/04/2024                                                                  | CUSIP: 96950FAM6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1976439.30   | 0.11%             | 2024-03-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 11/40 #AE3874                                                                          | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7252 | PA      | $7212.24      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 05/01/2046#G60553                                                                  | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478562 | PA      | $451592.14    | 0.03%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 07/20/2040#004737                                                                  | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       353 | PA      | $348.14       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                                     | IMPERIAL BRANDS FINANCE PLC 4.25% 07/21/2025 144A                                                 | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1564000 | PA      | $1492907.18   | 0.08%             | 2025-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII 30YR 4.5% 11/20/2040#004850                                                                  | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9053 | PA      | $8925.46      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                          | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.666% 09/05/2048 144A                                     | CUSIP: 72703PAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1918080 | PA      | $1790965.00   | 0.10%             | 2048-09-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 02/01/2048#Q54334                                                                  | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150100 | PA      | $140092.70    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726928                                                                           | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1641 | PA      | $1623.09      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                                  | CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025                                                      | CUSIP: 136385AZ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   5400000 | PA      | $5040073.53   | 0.28%             | 2025-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2% 12/01/2051#QD3434                                                                    | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159386 | PA      | $131611.42    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 9/26 #358464                                                                           | CUSIP: 31376LFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $95.88        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 6/41 #G06596                                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150203 | PA      | $153147.79    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                                           | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     48086 | PA      | $43762.11     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 30YR 3.0% 06/15/2043#AD2454                                                                  | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4433 | PA      | $4106.98      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                           | FHR 3806 UP 4.5% 2/41                                                                             | CUSIP: 3137A6ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     23471 | PA      | $23332.22     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 15YR 3% 06/01/2031#J34571                                                                    | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8530 | PA      | $8184.41      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4% 02/46#Q38783                                                                         | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13720 | PA      | $13311.50     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 7.50% 12/28 #323424                                                                          | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $87.04        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                  | GNMA 4.00% 8/39 #698479                                                                           | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1892 | PA      | $1830.54      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21780 | PA      | $20504.84     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1146000 | PA      | $1101551.97   | 0.06%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 4.5% 12/01/2040#A95413                                                                  | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2294 | PA      | $2285.15      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1550000 | PA      | $1420914.14   | 0.08%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 4.50% 8/33 #726949                                                                           | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6056 | PA      | $5985.39      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                           | GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062                                                   | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1959 | PA      | $1918.61      | 0.00%             | 2062-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 6.00% 10/34 #AL2130                                                                          | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7763 | PA      | $8062.89      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                      | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                                               | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    179830 | PA      | $182092.37    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7573 | PA      | $7709.06      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3.5% 04/01/2043#Q17578                                                                  | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12537 | PA      | $11842.47     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer