# EDGAR Filing Document

**Accession Number:** 0001699360
**File Stem:** 0001145549-23-004840
**Filing Date:** 2023-2
**Character Count:** 1250707
**Document Hash:** f09bc27aa31f840e390874f7288ef3d2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-004840.hdr.sgml**: 20230201

**ACCESSION NUMBER**: 0001145549-23-004840

**CONFORMED SUBMISSION TYPE**: NPORT-P/A

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221031

**FILED AS OF DATE**: 20230201

**DATE AS OF CHANGE**: 20230201

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morningstar Funds Trust
- **CENTRAL INDEX KEY:** 0001699360
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P/A
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23235
- **FILM NUMBER:** 23577017

**BUSINESS ADDRESS:**
- **STREET 1:** 22 W. WASHINGTON STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60602
- **BUSINESS PHONE:** 312-696-6000

**MAIL ADDRESS:**
- **STREET 1:** 22 W. WASHINGTON STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60602

## Series and Classes Contracts Data

### Morningstar Total Return Bond Fund (Series ID: S000057730)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000186141 | Institutional | MSTRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Morningstar Funds Trust

- **b. Investment Company Act file number:** 811-23235

- **c. CIK number of Registrant:** 0001699360

- **d. LEI of Registrant:** 254900AE65UZA65M0T82

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

  - **Street Address 1:** 22 W. WASHINGTON STREET

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60602

  - **Telephone number:** 312-696-6000

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

- **a. Name of Series:** Morningstar Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000057730

- **c. LEI of Series:** 2549003ESAHXEQHTHU51

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

- **a. Date of fiscal year-end:** 2023-04-30

- **b. Date as of which information is reported:** 2022-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $880507276.09

**Total Liabilities:** $163939732.19

**Net Assets:** $716567543.90

**Delayed Delivery Securities:** $132018715.23

**Cash Not Reported:** $2099499.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 322.482575953418 | **1-Year:** 8831.676970119804 | **5-Year:** 60088.222338048120 | **10-Year:** 100395.251834417827 | **30-Year:** 77045.807302877393

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

- **3-Month:** 2.135851113967 | **1-Year:** 737.671794394211 | **5-Year:** 2556.612271925993 | **10-Year:** 1889.050211457654 | **30-Year:** 1629.612889291643

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000186141 | -2.94%               | -5.00%               | -1.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-90428.18               | $-22191162.03                              |
| Month 2  | $-8087371.30             | $-28934338.38                              |
| Month 3  | $-8155148.99             | $-4264931.61                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** XIUSA000MC

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Bank of America Corporation                                                          | BAC V3.824 01/20/28 MTN                                             | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     398000 | PA      | $363341.15    | 0.05%             | 2028-01-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 2013-1, Ltd.                                                   | ANCHC 2013-1A A1R                                                   | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $490521.00    | 0.07%             | 2030-10-15      | Floating      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3333                                                           | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11142 | PA      | $10357.99     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL5597                                                           | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115245 | PA      | $111526.17    | 0.02%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 7.55 04/15/38                                                   | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10722.27     | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 5.625 11/18/50                                                 | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     110000 | PA      | $100631.37    | 0.01%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                               | MSI 5.5 09/01/44                                                    | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     105000 | PA      | $86854.00     | 0.01%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                                  | BHMS 2018-ATLS A                                                    | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190000 | PA      | $182730.30    | 0.03%             | 2035-07-16      | Floating      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS7844                                                           | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91689 | PA      | $79744.57     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Cleveland Electric Illuminating Company                                          | FE 3.5 04/01/28 144A                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $89306.97     | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.95 12/01/47                                                   | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     101000 | PA      | $65128.95     | 0.01%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G67715                                                           | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121074 | PA      | $116223.99    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3663                                                           | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325069 | PA      | $296614.81    | 0.04%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 4 05/10/46                                                   | CUSIP: 822582BQ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |      80000 | PA      | $62824.88     | 0.01%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 3.65 04/15/29                                                | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     203000 | PA      | $185244.25    | 0.03%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5235                                                           | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40263 | PA      | $39333.47     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS0038                                                           | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107712 | PA      | $94466.77     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank 2017 - Bnk7                                                                     | BANK 2017-BNK7 A5                                                   | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $90069.16     | 0.01%             | 2060-09-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 3.6 02/01/23                                                     | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     653000 | PA      | $650523.33    | 0.09%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 3.1 05/01/27                                                 | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32241.86     | 0.00%             | 2027-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 4.5 03/20/42                                                     | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      60000 | PA      | $43845.61     | 0.01%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BC1509                                                           | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70860 | PA      | $61624.57     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCP VOYAGER MASTER FUNDS SPC LTD                                                     | VOOML 2009-1 SAA7                                                   | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     172833 | PA      | $47751.66     | 0.01%             | 2038-02-26      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.95 08/15/59                                                   | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     104000 | PA      | $75554.34     | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4452                                                           | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26429 | PA      | $24755.30     | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                              | RSG 3.95 05/15/28                                                   | CUSIP: 760759AT7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      80000 | PA      | $74351.65     | 0.01%             | 2028-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 4.25 10/22/26 MTN                                               | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     680000 | PA      | $642317.66    | 0.09%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.862 08/21/46                                                   | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33383.00     | 0.00%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2014-17 AM                                                      | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       8286 | PA      | $7909.03      | 0.00%             | 2048-06-16      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 3.65 04/15/29                                                | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     340000 | PA      | $310261.31    | 0.04%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 3.75 11/30/26                                                   | CUSIP: 002824BF6<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |     390000 | PA      | $374533.73    | 0.05%             | 2026-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCM XXVII LTD/LCM XXVII LLC                                                          | LCM 27A A1                                                          | CUSIP: 50200JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242777.98    | 0.03%             | 2031-07-16      | Floating      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Biogen Inc                                                                           | BIIB 3.15 05/01/50                                                  | CUSIP: 09062XAG8<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     111000 | PA      | $68478.54     | 0.01%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6328                                                           | CUSIP: 3140QEA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12336 | PA      | $10233.38     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4384                                                           | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127741 | PA      | $123853.11    | 0.02%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3027                                                           | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117940 | PA      | $110492.86    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.271 07/23/29 MTN                                             | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     394000 | PA      | $357587.56    | 0.05%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP/Targa Resources Finance Corp.                            | TRGP 5 01/15/28                                                     | CUSIP: 87612BBG6<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |     343000 | PA      | $316281.80    | 0.04%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 3.25 01/15/28                                                   | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     450000 | PA      | $406757.84    | 0.06%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4.25 10/15/30                                                 | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     620000 | PA      | $569054.09    | 0.08%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4181                                                           | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219247 | PA      | $163567.92    | 0.02%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2020-1A                                           | UAL 5.875 10/15/27 20-1                                             | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     351721 | PA      | $339367.29    | 0.05%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 1.45 08/01/39                                                    | CUSIP: 718172CM9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     200000 | PA      | $108054.66    | 0.02%             | 2039-08-01      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| Agilent Technologies Inc.                                                            | A 2.75 09/15/29                                                     | CUSIP: 00846UAL5<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |      43000 | PA      | $36055.34     | 0.01%             | 2029-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4940 PI                                                         | CUSIP: 3137FQMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      34005 | PA      | $5337.04      | 0.00%             | 2049-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.764 11/19/31                                                 | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      73000 | PA      | $53120.65     | 0.01%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust 2019-LIFE                                             | CAMB 2019-LIFE D                                                    | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $95498.28     | 0.01%             | 2037-12-15      | Floating      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 4 01/15/31                                                     | CUSIP: 361841AQ2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     200000 | PA      | $160371.61    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8387                                                           | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414479 | PA      | $374830.28    | 0.05%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7419                                                           | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397003 | PA      | $347333.72    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7828                                                           | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55606 | PA      | $48568.53     | 0.01%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7549                                                           | CUSIP: 3132DVL60<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    1067983 | PA      | $852225.48    | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Limited                                                                | VALEBZ 6.25 08/10/26                                                | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     760000 | PA      | $771400.00    | 0.11%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 MA4261                                                           | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22605 | PA      | $19910.39     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA3313                                                           | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      80453 | PA      | $68852.31     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-185 MI                                                     | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      80191 | PA      | $10912.73     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 2.8 02/08/61                                                   | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      79000 | PA      | $46846.31     | 0.01%             | 2061-02-08      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1426                                                           | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56520 | PA      | $51933.62     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1133                                                           | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371093 | PA      | $1259205.44   | 0.18%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7552                                                           | CUSIP: 3132DVL94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    3292252 | PA      | $2716286.49   | 0.38%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                                                  | BHMS 2018-ATLS A                                                    | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $961738.40    | 0.13%             | 2035-07-16      | Floating      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5520                                                           | CUSIP: 3140JAD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294664 | PA      | $265153.28    | 0.04%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 1.75 01/20/31                                                    | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     260000 | PA      | $192839.38    | 0.03%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PECO Energy Company                                                                  | EXC 2.85 09/15/51                                                   | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |       7000 | PA      | $4295.69      | 0.00%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 8.25 08/01/23                                                   | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      52000 | PA      | $53029.07     | 0.01%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB2296                                                           | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      45279 | PA      | $36046.39     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8592                                                           | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49308 | PA      | $40774.03     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V7.39 11/03/28                                                 | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $200170.42    | 0.03%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0208                                                           | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327057 | PA      | $270266.59    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2633                                                           | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153991 | PA      | $128113.20    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V4.478 04/04/31 MTN                                             | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $271423.66    | 0.04%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Kimberly-Clark Corporation                                                           | KMB 3.1 03/26/30                                                    | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26275.86     | 0.00%             | 2030-03-26      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oi SA                                                                                | OIBRBZ 10 07/27/25                                                  | CUSIP: P7354PAA2<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |      26000 | PA      | $6761.38      | 0.00%             | 2025-07-27      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 3.1 11/15/29                                                    | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     366000 | PA      | $304763.82    | 0.04%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Air Lease Corporation                                                                | AL 3.375 07/01/25                                                   | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      70000 | PA      | $64792.49     | 0.01%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.3 08/01/40                                                    | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      20000 | PA      | $12987.55     | 0.00%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM2 TRUST                                                                 | CSMC 2021-NQM2 A3                                                   | CUSIP: 12662EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      89744 | PA      | $75608.36     | 0.01%             | 2066-02-25      | Floating      | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 2.15 02/03/32                                                   | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      50000 | PA      | $37612.11     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN FM9730                                                           | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94408 | PA      | $75130.53     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0783                                                           | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      55704 | PA      | $44329.90     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0546                                                           | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1101672 | PA      | $880806.34    | 0.12%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1866                                                           | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99053 | PA      | $87290.89     | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic of)                                                                | URUGUA 5.1 06/18/50                                                 | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     107641 | PA      | $96147.05     | 0.01%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 4.5 07/08/44                                                   | CUSIP: 68389XAW5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      24000 | PA      | $17565.80     | 0.00%             | 2044-07-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0734                                                           | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192211 | PA      | $152544.63    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KLA Corporation                                                                      | KLAC 4.65 07/15/32                                                  | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     130000 | PA      | $123479.99    | 0.02%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FNR 2020-77 HI                                                      | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     296481 | PA      | $58396.54     | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0243                                                           | CUSIP: 3140XFHV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93217 | PA      | $80061.97     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.65 02/15/29 AA                                                | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      19078 | PA      | $16922.86     | 0.00%             | 2030-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3448                                                           | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15578 | PA      | $15276.38     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida, LLC                                                             | DUK 2.5 12/01/29                                                    | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     325000 | PA      | $270062.42    | 0.04%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 2.1 06/15/30                                                    | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      99000 | PA      | $75391.85     | 0.01%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1178                                                           | CUSIP: 3140XGJY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62072 | PA      | $55107.38     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Prologis, L.P.                                                                       | PLD 1.75 02/01/31                                                   | CUSIP: 74340XCA7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     198000 | PA      | $149459.23    | 0.02%             | 2031-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NGPL Pipe Co LLC                                                                     | NGPLCO 4.875 08/15/27 144A                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     168000 | PA      | $156100.10    | 0.02%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6818                                                           | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     802100 | PA      | $663167.30    | 0.09%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4577                                                           | CUSIP: 3140X8CP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126489 | PA      | $105315.98    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Klabin Austria GmbH                                                                  | KLAB 3.2 01/12/31 144A                                              | CUSIP: 49836AAC8<br>LEI: 984500578YEA8DD41B09 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $150895.06    | 0.02%             | 2031-01-12      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FG G61047                                                           | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87015 | PA      | $83261.35     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust 2006-6                                                | LBMLT 2006-6 2A3                                                    | CUSIP: 54251RAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     747987 | PA      | $298079.27    | 0.04%             | 2036-07-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| SAN ANTONIO TEX                                                                      | TX SANUTL 5.81 02/01/2041                                           | CUSIP: 796253Y30<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      75000 | PA      | $76627.52     | 0.01%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4351                                                           | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52070 | PA      | $49809.69     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS4751                                                           | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      74733 | PA      | $67173.03     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR ZT1857                                                           | CUSIP: 3132AEB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     881361 | PA      | $850183.89    | 0.12%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.15 02/15/32 AA                                                | CUSIP: 02377LAA2<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |      64832 | PA      | $53050.38     | 0.01%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7312                                                           | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     662198 | PA      | $563717.50    | 0.08%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Grupo Posadas, S.A.B. de C.V.                                                        | POSADA 4 12/30/27 REGS                                              | CUSIP: P4983GAS9<br>LEI: 529900NRFIXN5G8NUX35 | Long             | DBT              | CORP              | MX        |      13234 | PA      | $9563.01      | 0.00%             | 2027-12-30      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CM5272                                                           | CUSIP: 3617YQ2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88502 | PA      | $79188.49     | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                                                | MSFT 3.3 02/06/27                                                   | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1064518.53   | 0.15%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.25 11/21/49                                                  | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     155000 | PA      | $120250.32    | 0.02%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 2.45 12/02/27 144A                                              | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     340000 | PA      | $279386.37    | 0.04%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-215 LI                                                     | CUSIP: 38383D3D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      89791 | PA      | $11119.48     | 0.00%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9925                                                           | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169149 | PA      | $134839.12    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0520                                                           | CUSIP: 3132DMSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     225565 | PA      | $207204.64    | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NGPL Pipe Co LLC                                                                     | NGPLCO 3.25 07/15/31 144A                                           | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     368000 | PA      | $287325.16    | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.64 02/24/28                                                   | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     621000 | PA      | $536744.92    | 0.07%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4570                                                           | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755526 | PA      | $618840.31    | 0.09%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7550                                                           | CUSIP: 3132DVL78<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     433174 | PA      | $374521.20    | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6388                                                           | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     625535 | PA      | $516921.40    | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.07 02/24/28 VAR                                                | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     610000 | PA      | $537782.39    | 0.08%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9428                                                           | CUSIP: 3140XDPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93911 | PA      | $89086.59     | 0.01%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1425                                                           | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65759 | PA      | $60574.06     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.15 04/15/32 144A                                             | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     104000 | PA      | $87045.87     | 0.01%             | 2032-04-15      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS7313                                                           | CUSIP: 3138WHDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215761 | PA      | $194150.80    | 0.03%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG Q41209                                                           | CUSIP: 3132WEKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25256 | PA      | $22753.75     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2418                                                           | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119349 | PA      | $102031.77    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7554                                                           | CUSIP: 3132DVMB8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     254180 | PA      | $209990.34    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB1193                                                           | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      49332 | PA      | $40958.71     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Company                                              | FE 3.85 06/01/25 144A                                               | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     299000 | PA      | $286318.97    | 0.04%             | 2025-06-01      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Florida Power & Light Company                                                        | NEE 5.25 02/01/41                                                   | CUSIP: 341081FD4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4644.67      | 0.00%             | 2041-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 6.875 08/04/26                                                | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      11000 | PA      | $10177.63     | 0.00%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                                        | WBD 1.9 03/19/27                                                    | CUSIP: U25478AB1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     240000 | PA      | $203827.23    | 0.03%             | 2027-03-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: —       |
| United Air Lines, Inc.                                                               | UAL 2.875 10/07/28 AA                                               | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16185 | PA      | $13532.88     | 0.00%             | 2030-04-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7070                                                           | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53413 | PA      | $49038.43     | 0.01%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6994                                                           | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     614237 | PA      | $507843.44    | 0.07%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V3.591 07/22/28                                                  | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     405000 | PA      | $362991.50    | 0.05%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas & Electric Company                                                     | EXC 3.75 08/15/47 *                                                 | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     118000 | PA      | $86025.72     | 0.01%             | 2047-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.794 02/13/32 MTN                                              | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     113000 | PA      | $81488.42     | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                               | WM 1.15 03/15/28                                                    | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     139000 | PA      | $112676.08    | 0.02%             | 2028-03-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG Q57853                                                           | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60235 | PA      | $57721.15     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 4.125 11/16/28                                                  | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     187000 | PA      | $174079.45    | 0.02%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Generate CLO 3 Ltd                                                                   | GNRT 3A BR                                                          | CUSIP: 98625UAW2<br>LEI: 549300TKWX739FHPEQ97 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $475743.80    | 0.07%             | 2029-10-22      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2469                                                           | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26612 | PA      | $24643.70     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0496                                                           | CUSIP: 3132DMRR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     839068 | PA      | $729845.47    | 0.10%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ballys (fka Twin River Management Group)                                             | Ballys (fka Twin River Management Group) Term Loan B 325 2028-07-24 | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     161778 | PA      | $150110.11    | 0.02%             | 2028-07-24      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| 245 Park Avenue Trust 2017                                                           | PRKAV 2017-245P E                                                   | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     740000 | PA      | $562043.25    | 0.08%             | 2037-06-05      | Floating      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress Inc                                                             | DUK 3.45 03/15/29                                                   | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     233000 | PA      | $208977.08    | 0.03%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 4.1 11/15/48                                                 | CUSIP: 68233JBG8<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |      51000 | PA      | $39966.79     | 0.01%             | 2048-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 2.15 07/15/30                                                  | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     126000 | PA      | $95917.42     | 0.01%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2019-SMRT                                        | CGCMT 2019-SMRT D                                                   | CUSIP: 29429MAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $477820.60    | 0.07%             | 2036-01-11      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.85 02/15/28 B                                                 | CUSIP: 02379DAA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |      61002 | PA      | $49494.25     | 0.01%             | 2029-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 2.659 05/24/31                                                  | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     368000 | PA      | $284883.87    | 0.04%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 2.7 06/10/31                                                     | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     218000 | PA      | $162212.85    | 0.02%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1427                                                           | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89973 | PA      | $82603.59     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                                   | EXC 4.1 03/15/52 144A                                               | CUSIP: 30161NBF7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      55000 | PA      | $40460.55     | 0.01%             | 2052-03-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: —       |
| Takeda Pharmaceutical Co Ltd.                                                        | TACHEM 2 07/09/40                                                   | CUSIP: 874060BE5<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     110000 | PA      | $77910.12     | 0.01%             | 2040-07-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7135                                                           | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1268519 | PA      | $1048775.29   | 0.15%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5820                                                           | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37171 | PA      | $34166.13     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 6.7 02/16/32                                                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      31000 | PA      | $23443.75     | 0.00%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 3.9 04/15/32                                                   | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     465000 | PA      | $391277.38    | 0.05%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2165                                                           | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268174 | PA      | $229129.31    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                                     | NNN 3 04/15/52                                                      | CUSIP: 637417AR7<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |      19000 | PA      | $10639.78     | 0.00%             | 2052-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU5917                                                           | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169970 | PA      | $140218.97    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 4.95 02/15/30                                                  | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     438000 | PA      | $395865.35    | 0.06%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| CSX Corporation                                                                      | CSX 4.5 11/15/52                                                    | CUSIP: 126408HV8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      13000 | PA      | $10593.38     | 0.00%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.452 12/05/29                                                 | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     840000 | PA      | $766114.74    | 0.11%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.33 03/15/50 MTN                                              | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      30000 | PA      | $23332.01     | 0.00%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.928 04/28/32 MTN                                              | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      63000 | PA      | $45672.74     | 0.01%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.4 02/04/41                                                     | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     254000 | PA      | $155401.31    | 0.02%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 5.95 08/15/52                                                   | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     103000 | PA      | $89105.64     | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6592                                                           | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455436 | PA      | $377818.33    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 7.19 09/12/24 13-2                                            | CUSIP: P7S08VAE1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     403000 | PA      | $18535.34     | 0.00%             | 2024-09-12      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| Firstenergy Transmission Llc                                                         | FE 4.35 01/15/25 144A                                               | CUSIP: 33767BAB5<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     285000 | PA      | $275101.73    | 0.04%             | 2025-01-15      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3665                                                           | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244841 | PA      | $226731.12    | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5176                                                           | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220948 | PA      | $176102.77    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO 2018-2 Ltd                                                         | PLMRS 2018-2A A1A                                                   | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $487881.65    | 0.07%             | 2031-07-16      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3094                                                           | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356812 | PA      | $345702.58    | 0.05%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4614                                                           | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33310 | PA      | $31326.92     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                        | CMLTI 2007-WFH4 M3A                                                 | CUSIP: 17313JAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $451144.50    | 0.06%             | 2037-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.014 01/25/26                                                   | CUSIP: 17327CAN3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     237000 | PA      | $216520.31    | 0.03%             | 2026-01-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR7241                                                           | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67795 | PA      | $54232.96     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 2.8 01/31/30                                                    | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     550000 | PA      | $458728.29    | 0.06%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.7 01/31/51                                                    | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $201927.47    | 0.03%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2836                                                           | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99524 | PA      | $79395.99     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2855                                                           | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261090 | PA      | $216218.20    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V3.052 01/13/31 144A                                            | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $155540.03    | 0.02%             | 2031-01-13      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BS1742                                                           | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36363 | PA      | $34496.91     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AU6873                                                           | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83437 | PA      | $80024.53     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BH9243                                                           | CUSIP: 3140GYHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141658 | PA      | $130744.82    | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9050                                                           | CUSIP: 3140XDBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105025 | PA      | $89789.73     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0297                                                           | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     321469 | PA      | $300235.14    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BH5764                                                           | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28161 | PA      | $26865.12     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.5 01/31/50                                                    | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     420000 | PA      | $297803.61    | 0.04%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0306B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1325271 | PA      | $1153503.46   | 0.16%             | 2052-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 08/15/43                                                    | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198000 | PA      | $175608.98    | 0.02%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9538                                                           | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225057 | PA      | $179405.59    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Avianca Midco 2 Limited                                                              | AVIAGP 9 12/01/28 144A                                              | CUSIP: 05368PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |      19000 | PA      | $14202.50     | 0.00%             | 2028-12-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Wyeth                                                                                | PFE 6.5 02/01/34                                                    | CUSIP: 983024AG5<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |      26000 | PA      | $28070.38     | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.85 07/15/36                                                  | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     170000 | PA      | $127214.39    | 0.02%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4465                                                           | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1022203 | PA      | $806952.19    | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.95 06/30/62                                                  | CUSIP: 161175CG7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     142000 | PA      | $83129.61     | 0.01%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 3.2 08/15/29                                                    | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     286000 | PA      | $237721.33    | 0.03%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V1.734 07/22/27                                                 | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      80000 | PA      | $68410.96     | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.4 12/01/61                                                   | CUSIP: 161175CC6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     146000 | PA      | $92574.80     | 0.01%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Philippines (Republic Of)                                                            | PHILIP 3.2 07/06/46                                                 | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     267000 | PA      | $176185.13    | 0.02%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Moodys Corp                                                                          | MCO 2 08/19/31                                                      | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     105000 | PA      | $79375.85     | 0.01%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V5.015 07/22/33                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     409000 | PA      | $375078.32    | 0.05%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Ministerio de Hacienda y Credito Publico                                             | COLTES 7.25 10/18/34 B                                              | CUSIP: P6S32JS68<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  137000000 | PA      | $17373.48     | 0.00%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW4229                                                           | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29904 | PA      | $28272.34     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.875 11/20/50                                                   | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     229000 | PA      | $135138.04    | 0.02%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 2.45 02/15/31 144A                                             | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     147000 | PA      | $110311.76    | 0.02%             | 2031-02-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0636                                                           | CUSIP: 3132DMV51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      68274 | PA      | $58380.26     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BO6291                                                           | CUSIP: 3140K17D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12210 | PA      | $11630.04     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.992 01/27/32                                                  | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     265000 | PA      | $193362.88    | 0.03%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-50 IO                                                      | CUSIP: 3136BGHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     287839 | PA      | $54997.80     | 0.01%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                     | DUK 4.3 03/15/28                                                    | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28199.06     | 0.00%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                       | BCRED 3.25 03/15/27                                                 | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     217000 | PA      | $180034.76    | 0.03%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                              | BAYC 2007-4A A1                                                     | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     277698 | PA      | $249525.60    | 0.03%             | 2037-09-25      | Floating      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass Through Trust 2017-1                                                 | ACACN 3.3 01/15/30 144A                                             | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      14314 | PA      | $11912.82     | 0.00%             | 2031-07-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding XIII Ltd.                                                       | MDPK 2014-13A AR2                                                   | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     471871 | PA      | $463534.69    | 0.06%             | 2030-04-19      | Floating      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| State Street Corporation                                                             | STT V5.625 PERP H                                                   | CUSIP: 857477BA0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     292000 | PA      | $267180.00    | 0.04%             | 2049-12-31      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN0691                                                           | CUSIP: 3140JGXV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35019 | PA      | $33639.08     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3022                                                           | CUSIP: 3140QALC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88977 | PA      | $84133.14     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4540                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684035 | PA      | $562825.15    | 0.08%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0732                                                           | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     165759 | PA      | $131698.66    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS7488                                                           | CUSIP: 3138WHKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700514 | PA      | $609785.67    | 0.09%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.125 06/15/31                                                   | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     205000 | PA      | $166374.88    | 0.02%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6768                                                           | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      58256 | PA      | $46031.09     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HP Inc                                                                               | HPQ 2.65 06/17/31                                                   | CUSIP: 40434LAJ4<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |      39000 | PA      | $28576.89     | 0.00%             | 2031-06-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9475                                                           | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46730 | PA      | $45223.10     | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G67721                                                           | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33449 | PA      | $32004.98     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-214 AI                                                     | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     105093 | PA      | $17214.59     | 0.00%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.102 02/24/33                                                  | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1574000 | PA      | $1232741.96   | 0.17%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.884 10/22/30 MTN                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     440000 | PA      | $358284.79    | 0.05%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.25 12/01/26                                                  | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     565000 | PA      | $518140.35    | 0.07%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 5.95 02/01/41                                                   | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      49000 | PA      | $46415.18     | 0.01%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 4.75 05/15/42                                                   | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     104000 | PA      | $84951.69     | 0.01%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 3.6 03/01/35                                                    | CUSIP: 539830BC2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     222000 | PA      | $190440.00    | 0.03%             | 2035-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Chase Coml Mtg Sec Tst 17                                                  | JPMCC 2017-JP6 A5                                                   | CUSIP: 48128KAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     235000 | PA      | $213602.57    | 0.03%             | 2050-07-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BO7302                                                           | CUSIP: 3140K3DG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67484 | PA      | $63889.16     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3 11/20/60                                                       | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     132000 | PA      | $73681.03     | 0.01%             | 2060-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6704                                                           | CUSIP: 3133KNNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     459928 | PA      | $392783.13    | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0894                                                           | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     261296 | PA      | $209210.96    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS8380                                                           | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37908 | PA      | $35435.30     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7632                                                           | CUSIP: 3140XBPS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141644 | PA      | $132069.25    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5019                                                           | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38682 | PA      | $35203.04     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.55 03/05/24                                                  | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      55000 | PA      | $54544.40     | 0.01%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Dell International L.L.C. and EMC Corporation                                        | DELL 8.35 07/15/46                                                  | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      10000 | PA      | $10615.81     | 0.00%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc                                                                       | CRM 3.05 07/15/61                                                   | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |      65000 | PA      | $39606.25     | 0.01%             | 2061-07-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5771                                                           | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5855 | PA      | $5388.10      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9452                                                           | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71727 | PA      | $57244.87     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.734 12/08/47                                                 | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     183000 | PA      | $126905.01    | 0.02%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                                                        | AEP 3.95 06/01/28                                                   | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     212000 | PA      | $192030.67    | 0.03%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                                  | SUZANO 3.125 01/15/32 DM3N                                          | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      45000 | PA      | $33187.50     | 0.00%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6359                                                           | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241988 | PA      | $202452.88    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| I/O DBGS 2019-1735 MO VAR                                                            | I/O DBGS 2019-1735 MO VAR                                           | CUSIP: 23307EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13942489 | PA      | $190823.87    | 0.03%             | 2037-04-10      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.402 01/15/38 144A                                          | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     225000 | PA      | $175007.23    | 0.02%             | 2038-01-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 4.95 01/15/23                                                   | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23199 | PA      | $22962.57     | 0.00%             | 2024-07-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Lstar Commercial Mortgage Trust 2015-3                                               | LNSTR 2015-3 AS                                                     | CUSIP: 54910JAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      50090 | PA      | $47799.31     | 0.01%             | 2048-04-22      | Floating      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 5.9 11/15/63                                                    | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      45000 | PA      | $45763.04     | 0.01%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 4.65 04/15/42                                                   | CUSIP: 548661CX3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      54000 | PA      | $44168.86     | 0.01%             | 2042-04-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Textron Inc.                                                                         | TXT 3.65 03/15/27                                                   | CUSIP: 883203BX8<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |      38000 | PA      | $34682.52     | 0.00%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust 2005-FF4                                          | FFML 2003-FF4 M1                                                    | CUSIP: 32027NDU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     270126 | PA      | $251667.29    | 0.04%             | 2033-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0206B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2139009 | PA      | $1685138.03   | 0.24%             | 2052-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 4.6 04/01/2038                                               | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     215000 | PA      | $193651.70    | 0.03%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                    | MASTR 2007-2 A2                                                     | CUSIP: 57646NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     344706 | PA      | $189809.92    | 0.03%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Company                                                        | NEE 3.99 03/01/49                                                   | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     224000 | PA      | $174110.07    | 0.02%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3210                                                           | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123719 | PA      | $110864.57    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana, LLC                                                               | ETR 4.2 09/01/48                                                    | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     148000 | PA      | $114343.88    | 0.02%             | 2048-09-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 3.95 03/15/29                                                   | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      53000 | PA      | $46900.52     | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| KLA Corporation                                                                      | KLAC 4.1 03/15/29                                                   | CUSIP: 482480AG5<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      39000 | PA      | $36576.31     | 0.01%             | 2029-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM1922                                                           | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111688 | PA      | $108084.49    | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 05/15/29                                                    | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     548000 | PA      | $490545.63    | 0.07%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AX6435                                                           | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21862 | PA      | $20558.96     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kenbourne Invest S.A.                                                                | WOMCHI 6.875 11/26/24 144A                                          | CUSIP: 48855KAA8<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $178000.00    | 0.02%             | 2024-11-26      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS5480                                                           | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34988 | PA      | $33859.27     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6599                                                           | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165360 | PA      | $145463.89    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.2 02/15/52                                                    | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      67000 | PA      | $41365.48     | 0.01%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| T-Mobile USA, Inc.                                                                   | TMUS 2.875 02/15/31                                                 | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     560000 | PA      | $450811.20    | 0.06%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                                         | NSC 3.155 05/15/55                                                  | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |      94000 | PA      | $57553.17     | 0.01%             | 2055-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5018 CI                                                         | CUSIP: 3137FX6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      43284 | PA      | $9445.16      | 0.00%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 1.625 04/27/26 144A                                          | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     238000 | PA      | $204422.59    | 0.03%             | 2026-04-27      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.95 04/13/52                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      42000 | PA      | $32888.38     | 0.00%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Foundation Building Materials                                                        | Foundation Building Materials Term Loan B 325 2028-01-21            | CUSIP: 35039KAB2<br>LEI: 549300ZVE6MONHB01I28 | Long             | LON              | CORP              | US        |     114550 | PA      | $103826.97    | 0.01%             | 2028-01-21      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG J38060                                                           | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194486 | PA      | $179753.52    | 0.03%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 3.4 03/01/50 C                                                   | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      55000 | PA      | $34168.75     | 0.00%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8059                                                           | CUSIP: 3132DV5U5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |      95994 | PA      | $90765.66     | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6397                                                           | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     258532 | PA      | $214906.50    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 4.95 02/15/25 B                                                 | CUSIP: 02378WAA7<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |      11341 | PA      | $10619.19     | 0.00%             | 2026-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                                        | OGS 2 05/15/30                                                      | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |      35000 | PA      | $27353.87     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5014 DI                                                         | CUSIP: 3137FVWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      47502 | PA      | $9326.80      | 0.00%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.52 11/03/32                                                    | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     156000 | PA      | $116710.44    | 0.02%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN8997                                                           | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144050 | PA      | $114877.06    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2019-SMRT                                        | CGCMT 2019-SMRT E                                                   | CUSIP: 29429MAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $473322.25    | 0.07%             | 2036-01-11      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.75 01/23/29                                                 | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      94000 | PA      | $91435.27     | 0.01%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7073                                                           | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15333 | PA      | $14049.62     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 7 11/01/28                                                      | CUSIP: 75513EBZ3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      90000 | PA      | $95347.59     | 0.01%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7534                                                           | CUSIP: 3132DVLP8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     484264 | PA      | $402704.25    | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.875 06/15/28                                                  | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |       8000 | PA      | $8020.81      | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6106                                                           | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161265 | PA      | $147969.89    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IPS Corp                                                                             | IPS Corp First-lien Term Loan 375 2028-09-05                        | CUSIP: 12659EAC2<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |       3480 | PA      | $3088.40      | 0.00%             | 2028-09-05      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.35 03/01/29                                                     | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      36000 | PA      | $33461.94     | 0.00%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2708                                                           | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12401 | PA      | $11562.23     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.057 01/25/33                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      60000 | PA      | $46742.68     | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.943 01/21/33                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     209000 | PA      | $162788.77    | 0.02%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0209                                                           | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407323 | PA      | $336025.60    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.571 04/27/33                                                 | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     967000 | PA      | $856947.36    | 0.12%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG Q59918                                                           | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180475 | PA      | $173086.03    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                               | ROP 2.95 09/15/29                                                   | CUSIP: 776743AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33442.92     | 0.00%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0497                                                           | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260731 | PA      | $208757.85    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9464                                                           | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239997 | PA      | $206229.40    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                                | SO 3.45 10/01/49                                                    | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      47000 | PA      | $31778.28     | 0.00%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.65 02/01/30                                                 | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     256000 | PA      | $214050.27    | 0.03%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 3.5 09/01/30                                                    | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     339000 | PA      | $280827.60    | 0.04%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8082                                                           | CUSIP: 3132DV6T7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     241448 | PA      | $180120.40    | 0.03%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC5876                                                           | CUSIP: 3133AQQ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      73219 | PA      | $62943.63     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.972 02/04/33                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1454000 | PA      | $1126793.02   | 0.16%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2838                                                           | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503353 | PA      | $400302.25    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1304                                                           | CUSIP: 3140QLNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50123 | PA      | $42902.65     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                                       | PENSKE 1.2 11/15/25 144A                                            | CUSIP: 709599BL7<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |     116000 | PA      | $100109.57    | 0.01%             | 2025-11-15      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-146 DI                                                     | CUSIP: 38382KWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      77223 | PA      | $9919.26      | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.75 07/31/24                                                     | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     662000 | PA      | $630425.70    | 0.09%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.625 08/15/29                                                    | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     890000 | PA      | $758551.17    | 0.11%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                                                        | AEP 3.45 05/15/51                                                   | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     291000 | PA      | $188583.73    | 0.03%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.875 04/15/30                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     447000 | PA      | $395415.80    | 0.06%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1047                                                           | CUSIP: 3140XGEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36496 | PA      | $34877.51     | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5112 KI                                                         | CUSIP: 3137H0RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     451480 | PA      | $80701.02     | 0.01%             | 2051-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V0.657 09/10/24 *                                                | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     561000 | PA      | $534039.22    | 0.07%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6863                                                           | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137866 | PA      | $110075.10    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 6.5 02/01/37                                                    | CUSIP: 494550AV8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     129000 | PA      | $124108.50    | 0.02%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 4.4 05/01/45                                                   | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     109000 | PA      | $87945.31     | 0.01%             | 2045-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1384                                                           | CUSIP: 3132DNRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      86142 | PA      | $71604.34     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5152 EI                                                         | CUSIP: 3137H3B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     258207 | PA      | $48074.06     | 0.01%             | 2051-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4.2 08/15/34                                                  | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     377000 | PA      | $329349.07    | 0.05%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Company, LLC                                          | WMB 7.85 02/01/26                                                   | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     264000 | PA      | $278180.88    | 0.04%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.625 03/31/27                                                    | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     621000 | PA      | $530057.46    | 0.07%             | 2027-03-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7460                                                           | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552804 | PA      | $508966.92    | 0.07%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.782 02/01/28                                                 | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     458000 | PA      | $418403.60    | 0.06%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5711                                                           | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41584 | PA      | $39945.89     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 4.4 09/22/23                                                    | CUSIP: 02377BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15382 | PA      | $14753.34     | 0.00%             | 2025-03-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Walt Disney Company                                                                  | DIS 3 07/30/46 MTN                                                  | CUSIP: 25468PDN3<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     162000 | PA      | $106027.84    | 0.01%             | 2046-07-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 6.25 04/15/49                                                    | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      57000 | PA      | $49723.96     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 5.875 02/01/29                                                  | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     135000 | PA      | $131777.63    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                                                  | GP 8.875 05/15/31                                                   | CUSIP: 373298BU1<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |      13000 | PA      | $15479.22     | 0.00%             | 2031-05-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 7.75 12/01/30                                                    | CUSIP: 92344GAM8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     106000 | PA      | $118037.75    | 0.02%             | 2030-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| DTE Electric Company                                                                 | DTE 3.95 03/01/49                                                   | CUSIP: 23338VAJ5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     246000 | PA      | $188864.26    | 0.03%             | 2049-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Relx Capital Inc.                                                                    | RELLN 4 03/18/29                                                    | CUSIP: 74949LAC6<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     272000 | PA      | $247127.23    | 0.03%             | 2029-03-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 02/15/52                                                     | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       3000 | PA      | $2011.88      | 0.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 05/15/39                                                     | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      51000 | PA      | $50770.90     | 0.01%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                                                           | CNHI 4.2 01/15/24                                                   | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     123000 | PA      | $120893.94    | 0.02%             | 2024-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2019-B9 XA                                                    | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1739439 | PA      | $83568.24     | 0.01%             | 2052-03-15      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Texas Eastern Transmission, L.P.                                                     | SEP 7 07/15/32                                                      | CUSIP: 882389CC1<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |      15000 | PA      | $15693.55     | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 8.5 11/18/38 M 30                                             | CUSIP: P6625CAM0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2100000 | PA      | $93478.29     | 0.01%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V4.041 03/13/28                                                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     240000 | PA      | $210169.97    | 0.03%             | 2028-03-13      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.5 03/01/27 MTN                                                | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      30000 | PA      | $28115.70     | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Firstenergy Transmission Llc                                                         | FE 4.55 04/01/49 144A                                               | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     309000 | PA      | $233531.47    | 0.03%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN BM5862                                                           | CUSIP: 3140JAQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159122 | PA      | $152345.34    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.456 10/22/25 MTN                                             | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     569000 | PA      | $530931.07    | 0.07%             | 2025-10-22      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 3.2 11/18/29                                                   | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     273000 | PA      | $228660.06    | 0.03%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| CVS Health Corp                                                                      | CVS 3.75 04/01/30                                                   | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     212000 | PA      | $187200.63    | 0.03%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA3282                                                           | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     364714 | PA      | $312629.98    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QA0639                                                           | CUSIP: 31334WV81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     161139 | PA      | $147609.47    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Company                                                        | NEE 3.15 10/01/49                                                   | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     246000 | PA      | $165112.59    | 0.02%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Company                                              | PEG 2.05 08/01/50 MTN                                               | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      80000 | PA      | $40903.41     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7541                                                           | CUSIP: 3132DVLW3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     127776 | PA      | $102018.30    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Promigas S A E S P/Gases Del Pacifico S A C                                          | PROMIG 3.75 10/16/29 REGS                                           | CUSIP: P7922TAA7<br>LEI: 254900IXHTV7LDSFQD65 | Long             | DBT              | CORP              | CO        |     200000 | PA      | $148941.16    | 0.02%             | 2029-10-16      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.302 01/15/35 144A                                          | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     270000 | PA      | $210902.59    | 0.03%             | 2035-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                               | DLR 1 01/15/32                                                      | CUSIP: N2639BAE5<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $66401.60     | 0.01%             | 2032-01-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7255                                                           | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180306 | PA      | $163074.39    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.85 04/01/61                                                  | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     139000 | PA      | $80154.39     | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CSX Corporation                                                                      | CSX 2.5 05/15/51                                                    | CUSIP: 126408HT3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |      59000 | PA      | $33619.52     | 0.00%             | 2051-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN FM5315                                                           | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51229 | PA      | $46032.65     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Allied Universal                                                                     | Allied Universal Term Loan B (Incremental) 375 2028-04-19           | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      67320 | PA      | $60967.01     | 0.01%             | 2028-04-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 3.1 01/12/32                                                     | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     304000 | PA      | $231367.10    | 0.03%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD4857                                                           | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     175849 | PA      | $140176.02    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.1 08/01/27                                                    | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      50000 | PA      | $41112.63     | 0.01%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2256                                                           | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119934 | PA      | $116065.63    | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0378                                                           | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359971 | PA      | $299253.17    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2856                                                           | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308374 | PA      | $254852.00    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7539                                                           | CUSIP: 3132DVLU7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     220781 | PA      | $176686.65    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.239 07/21/32 GMTN                                             | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     673000 | PA      | $496099.29    | 0.07%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0734                                                           | CUSIP: 3132DMY74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      63186 | PA      | $54070.55     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD0923                                                           | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     790536 | PA      | $651128.64    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA2754                                                           | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7380 | PA      | $6738.51      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc. Pass Thru Trust                                                | DAL 3.625 07/30/27 15-1                                             | CUSIP: 24736XAA6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | ABS-O            | CORP              | US        |      52147 | PA      | $47215.74     | 0.01%             | 2029-01-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7031                                                           | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505313 | PA      | $465756.72    | 0.06%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tsmc Arizona Corp.                                                                   | TAISEM 4.25 04/22/32                                                | CUSIP: 872898AH4<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |     200000 | PA      | $179412.10    | 0.03%             | 2032-04-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Virginia Electric and Power Company                                                  | D 4 01/15/43                                                        | CUSIP: 927804FL3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      29000 | PA      | $22091.82     | 0.00%             | 2043-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YPF Sociedad Anonima                                                                 | YPFDAR 7 12/15/47 144A                                              | CUSIP: 984245AR1<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      28000 | PA      | $14621.88     | 0.00%             | 2047-12-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1522                                                           | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72133 | PA      | $61681.62     | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8779                                                           | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154612 | PA      | $127765.86    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Northwest Pipeline LLC                                                               | WMB 4 04/01/27                                                      | CUSIP: 66775VAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     288000 | PA      | $267020.50    | 0.04%             | 2027-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission Llc                                             | FE 4.1 05/15/28 144A                                                | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      17000 | PA      | $15593.07     | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7473                                                           | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     727295 | PA      | $637197.72    | 0.09%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7910                                                           | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179327 | PA      | $149183.56    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4322                                                           | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115782 | PA      | $108421.32    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 4.4 06/15/28                                                    | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     189000 | PA      | $176694.33    | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Houston Electric LLC                                              | CNP 4.25 02/01/49 AC                                                | CUSIP: 15189XAT5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1599.25      | 0.00%             | 2049-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida, LLC                                                             | DUK 1.75 06/15/30                                                   | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      50000 | PA      | $38511.78     | 0.01%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Aon Corporation                                                                      | AON 4.5 12/15/28                                                    | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     385000 | PA      | $359440.90    | 0.05%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSX Corporation                                                                      | CSX 3.35 09/15/49                                                   | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     118000 | PA      | $79531.62     | 0.01%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co Ltd.                                                        | TACHEM 2.05 03/31/30                                                | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $157908.87    | 0.02%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-151 MI                                                     | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     465470 | PA      | $61432.48     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1680                                                           | CUSIP: 3140X42N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94459 | PA      | $87306.64     | 0.01%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Company                                                  | XEL 3.15 05/01/50 8                                                 | CUSIP: 845743BU6<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |     140000 | PA      | $90977.46     | 0.01%             | 2050-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V0.56 11/10/23 MTN                                               | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     432000 | PA      | $431442.42    | 0.06%             | 2023-11-10      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8388                                                           | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467680 | PA      | $422908.61    | 0.06%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.15 12/15/24                                                   | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      55000 | PA      | $52835.05     | 0.01%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Tory Burch                                                                           | Tory Burch Term Loan B 350 2028-03-27                               | CUSIP: 89148GAF7<br>LEI: 549300GGL74W33KY2650 | Long             | LON              | CORP              | US        |      69125 | PA      | $63055.13     | 0.01%             | 2028-03-27      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.25 10/15/27                                                   | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      49000 | PA      | $48587.42     | 0.01%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0785                                                           | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     106652 | PA      | $84874.74     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                                | NOMURA 2.608 07/14/31                                               | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     293000 | PA      | $212547.91    | 0.03%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8172                                                           | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      38462 | PA      | $30338.18     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RB5148                                                           | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      95935 | PA      | $78579.69     | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0789                                                           | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      20040 | PA      | $16037.04     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Procter & Gamble Company                                                         | PG 3 03/25/30                                                       | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |      60000 | PA      | $53578.70     | 0.01%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.4 04/01/30                                                  | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      70000 | PA      | $61699.24     | 0.01%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BAKELITE UK INTERMDITE TL                                                            | BAKELITE UK INTERMDITE TL                                           | CUSIP: LX2023682<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     127680 | PA      | $118184.44    | 0.02%             | 2029-02-02      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9709                                                           | CUSIP: 3140XDYF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119053 | PA      | $106125.01    | 0.01%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 3.3 04/15/40                                                     | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     160000 | PA      | $119774.86    | 0.02%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 1.25 01/15/26                                                   | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35529.81     | 0.00%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 2.55 05/28/40                                                   | CUSIP: 717081EZ2<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     240000 | PA      | $166075.85    | 0.02%             | 2040-05-28      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                 | RY 1.15 06/10/25 MTN                                                | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $89809.44     | 0.01%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: —       |
| Bank of America Corporation                                                          | BAC V1.898 07/23/31 MTN                                             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     200000 | PA      | $148350.96    | 0.02%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 4.55 02/20/48                                                   | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      60000 | PA      | $51257.87     | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                                                       | SPGI 4.75 08/01/28 144A                                             | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     174000 | PA      | $168671.46    | 0.02%             | 2028-08-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.912 07/25/33                                                 | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     312000 | PA      | $283893.50    | 0.04%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FR SB8507                                                           | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     191232 | PA      | $168128.82    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-101 AI                                                     | CUSIP: 3136BDJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     149005 | PA      | $26756.16     | 0.00%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 0.8 08/15/27                                                  | CUSIP: 02079KAJ6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42084.55     | 0.01%             | 2027-08-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: —       |
| Alphabet Inc.                                                                        | GOOGL 1.9 08/15/40                                                  | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      70000 | PA      | $44254.67     | 0.01%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.5 05/15/35                                                      | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     175000 | PA      | $150828.01    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 5.125 06/30/27                                               | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     140000 | PA      | $136588.24    | 0.02%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.65 09/15/59                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     465000 | PA      | $293319.74    | 0.04%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7649                                                           | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823402 | PA      | $699640.03    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 4.25 07/15/49                                                | CUSIP: 595620AU9<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      85000 | PA      | $67943.83     | 0.01%             | 2049-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8128                                                           | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1077562 | PA      | $852993.35    | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 2.375 02/08/41                                                 | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     111000 | PA      | $74283.60     | 0.01%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Atento Luxco 1 S.A.                                                                  | ATENTO 8 02/10/26 144A                                              | CUSIP: 04684LAC2<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |      16000 | PA      | $6240.00      | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7544                                                           | CUSIP: 3132DVLZ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     578427 | PA      | $497256.90    | 0.07%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9431                                                           | CUSIP: 3140XDPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32503 | PA      | $30994.00     | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.5 08/15/39                                                      | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      51000 | PA      | $52348.71     | 0.01%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.625 02/15/40                                                    | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     370000 | PA      | $384612.11    | 0.05%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH                                                                | NY NYSHGR 5.39 03/15/2040                                           | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      30000 | PA      | $28812.88     | 0.00%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.75 11/15/43                                                     | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198000 | PA      | $178764.61    | 0.02%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0716                                                           | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     578802 | PA      | $465110.38    | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0730                                                           | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      32688 | PA      | $26022.17     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 11/15/46                                                    | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     193000 | PA      | $148451.68    | 0.02%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.125 07/31/24                                                    | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     392000 | PA      | $375722.81    | 0.05%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0646                                                           | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120233 | PA      | $95804.46     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0818                                                           | CUSIP: 3132DM4B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      83415 | PA      | $71844.27     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 08/15/28                                                    | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     122000 | PA      | $113312.27    | 0.02%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 04/30/27                                                      | CUSIP: 912828ZN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     621000 | PA      | $525618.28    | 0.07%             | 2027-04-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1181                                                           | CUSIP: 3140XGJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71983 | PA      | $63689.19     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA9030                                                           | CUSIP: 3140QHA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139192 | PA      | $114889.13    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NWPT                                                                       | CSMC 2022-NWPT A                                                    | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $98602.28     | 0.01%             | 2035-09-17      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| PLACEHOLD FNMA 30YR POOL                                                             | PLACEHOLD FNMA 30YR POOL                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100515.44    | 0.01%             | 2052-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0126B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Short            | ABS-MBS          | USGSE             | US        |     -37800 | PA      | $-28070.93    | -0.00%            | 2052-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.875 PERP                                                       | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      69000 | PA      | $56649.00     | 0.01%             | 2049-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PLACEHOLD FNMA 10YR POOL                                                             | PLACEHOLD FNMA 10YR POOL                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $200875.00    | 0.03%             | 2052-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2903                                                           | CUSIP: 3140X6GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72292 | PA      | $65141.70     | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 1.65 02/01/28                                                     | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     520000 | PA      | $429062.71    | 0.06%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC4689                                                           | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      88303 | PA      | $72982.31     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RB5130                                                           | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      36898 | PA      | $29203.39     | 0.00%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5155 JI                                                         | CUSIP: 3137H35W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      81937 | PA      | $12760.25     | 0.00%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-221 AI                                                     | CUSIP: 38383FRS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     151523 | PA      | $20650.63     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 03/31/29                                                    | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      61000 | PA      | $54656.95     | 0.01%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 05/15/52                                                    | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     235000 | PA      | $182382.03    | 0.03%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1074                                                           | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954530 | PA      | $822442.90    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786216                                                           | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198733 | PA      | $174125.04    | 0.02%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust 2006-SP2                                              | BAYC 2006-1A A1                                                     | CUSIP: 07324SDE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     271938 | PA      | $240694.82    | 0.03%             | 2036-04-25      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 5.25 04/15/25                                                   | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     146000 | PA      | $143487.02    | 0.02%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG New York Branch                                                     | CS 5 07/09/27                                                       | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $224836.54    | 0.03%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CN5161                                                           | CUSIP: 3617F4WW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195369 | PA      | $174814.39    | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                                             | GE 6.75 03/15/32 MTNA                                               | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |      11000 | PA      | $11950.96     | 0.00%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| APA Corp.                                                                            | APA 4.25 01/15/44                                                   | CUSIP: 037411BC8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     380000 | PA      | $262200.00    | 0.04%             | 2044-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ms Resec Tr 2015-R2                                                                  | MSRR 2015-R2 2A1                                                    | CUSIP: 61690HAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54200 | PA      | $53975.00     | 0.01%             | 2046-12-27      | Floating      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.5 06/15/23                                                    | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29772.69     | 0.00%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 4.625 11/16/48                                                  | CUSIP: 913017CX5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      40000 | PA      | $33638.24     | 0.00%             | 2048-11-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 4.125 11/16/28                                                  | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     160000 | PA      | $148944.98    | 0.02%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.95 02/14/49                                                    | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     365000 | PA      | $298113.16    | 0.04%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG V84260                                                           | CUSIP: 3132L9WV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101769 | PA      | $91556.03     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2013-107 AD                                                     | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      78303 | PA      | $71290.32     | 0.01%             | 2047-11-16      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 2.5 02/01/31                                                    | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     180000 | PA      | $134497.54    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                                     | PFG 1.25 06/23/25 144A                                              | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $35861.71     | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785360                                                           | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91330 | PA      | $72830.29     | 0.01%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ0254                                                           | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74487 | PA      | $59471.81     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0100                                                           | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172038 | PA      | $146555.55    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0583                                                           | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95318 | PA      | $78522.27     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                          | WDAY 3.8 04/01/32                                                   | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     130000 | PA      | $111063.30    | 0.02%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN BV8546                                                           | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194154 | PA      | $172369.07    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3614                                                           | CUSIP: 3140QPAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192666 | PA      | $176140.62    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APA Corp.                                                                            | APA 4.75 04/15/43                                                   | CUSIP: 037411BA2<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |     100000 | PA      | $75000.00     | 0.01%             | 2043-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 4.75 11/30/36                                                   | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38289.61     | 0.01%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | GNR 2014-H20 FA                                                     | CUSIP: 38375UQY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     171767 | PA      | $169320.07    | 0.02%             | 2064-10-20      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corporation                                          | IBM 3 05/15/24                                                      | CUSIP: 459200JY8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     410000 | PA      | $397839.15    | 0.06%             | 2024-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.125 07/31/29                                                  | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85961.20     | 0.01%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                          | PEP 2.625 03/19/27                                                  | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9105.14      | 0.00%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 3.75 06/01/45                                                   | CUSIP: 26442CAP9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     185000 | PA      | $134428.12    | 0.02%             | 2045-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 6.834 10/23/55                                                 | CUSIP: 161175BC7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     107000 | PA      | $96436.74     | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Cintas Corporation No. 2                                                             | CTAS 3.7 04/01/27                                                   | CUSIP: 17252MAN0<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18855.37     | 0.00%             | 2027-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM1948                                                           | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32521 | PA      | $33660.07     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Moodys Corp                                                                          | MCO 4.875 12/17/48                                                  | CUSIP: 615369AQ8<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      41000 | PA      | $34393.43     | 0.00%             | 2048-12-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.95 08/01/59                                                    | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     137000 | PA      | $85800.39     | 0.01%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.3 04/01/27                                                  | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46162.86     | 0.01%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MasterCard Incorporated                                                              | MA 3.35 03/26/30                                                    | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     120000 | PA      | $107874.45    | 0.02%             | 2030-03-26      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.25 06/15/48                                                   | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24435.72     | 0.00%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                          | NWIDE V4.363 08/01/24 144A                                          | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $196466.00    | 0.03%             | 2024-08-01      | Fixed         | 4.36%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3 07/15/25                                                        | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     154000 | PA      | $148321.25    | 0.02%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.75 07/31/27                                                     | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      79000 | PA      | $73846.48     | 0.01%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 6.2 02/14/59                                                     | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      24000 | PA      | $19869.69     | 0.00%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.2 03/01/29                                                     | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     130000 | PA      | $108309.72    | 0.02%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3 02/24/50                                                     | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     380000 | PA      | $239461.86    | 0.03%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 1.45 09/01/25 MTN                                               | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     140000 | PA      | $127522.55    | 0.02%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| THE VANGUARD GROUP                                                                   | THE VANGUARD GROUP                                                  | CUSIP: 92299APS7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $105074.54    | 0.01%             | 2050-08-22      | Fixed         | 3.05%                 | No            |                  3 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.1 03/22/28                                                     | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     360000 | PA      | $302538.45    | 0.04%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT0846                                                           | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89623 | PA      | $73947.62     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                     | CFELEC 3.875 07/26/33 144A                                          | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     720000 | PA      | $513000.00    | 0.07%             | 2033-07-26      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co Ltd.                                                        | TACHEM 5 11/26/28                                                   | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     403000 | PA      | $388930.60    | 0.05%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Company                                                   | EIX 2.25 06/01/30                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     274000 | PA      | $215429.98    | 0.03%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2022-DNA2 M1B                                                 | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     200000 | PA      | $183999.72    | 0.03%             | 2042-02-25      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                           | RABOBK V3.649 04/06/28 144A                                         | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $222788.39    | 0.03%             | 2028-04-06      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM6623                                                           | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93656 | PA      | $75164.17     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                             | AXP 3.375 05/03/24                                                  | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     170000 | PA      | $164883.19    | 0.02%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NSTAR Electric Company                                                               | ES 3.95 04/01/30                                                    | CUSIP: 67021CAP2<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      16000 | PA      | $14690.74     | 0.00%             | 2030-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                                  | O 3.25 01/15/31                                                     | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |      74000 | PA      | $61534.44     | 0.01%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Limited                                                                | VALEBZ 6.875 11/21/36                                               | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $291571.86    | 0.04%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Halliburton Company                                                                  | HAL 3.8 11/15/25                                                    | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |       3000 | PA      | $2883.17      | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Gilead Sciences, Inc.                                                                | GILD 2.6 10/01/40                                                   | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     162000 | PA      | $107206.14    | 0.01%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7253                                                           | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181337 | PA      | $164339.80    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup ComlMtg                                                                    | CGCMT 2016-P6 A4                                                    | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88681 | PA      | $81999.56     | 0.01%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BK4770                                                           | CUSIP: 3140HJJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     486405 | PA      | $464025.06    | 0.06%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 08/15/52                                                        | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     757000 | PA      | $606191.41    | 0.08%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 09/30/24                                                     | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     185000 | PA      | $184060.55    | 0.03%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0526B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17800 | PA      | $17555.85     | 0.00%             | 2052-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87300 | PA      | $85925.24     | 0.01%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 3.557 08/15/27                                               | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     420000 | PA      | $365653.55    | 0.05%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 3.75 01/24/24 MTN                                               | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     160000 | PA      | $157112.64    | 0.02%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -732000 | PA      | $-664879.00   | -0.09%            | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.55 04/01/2039                                              | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      20000 | PA      | $23944.31     | 0.00%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| W. P. Carey Inc                                                                      | WPC 2.4 02/01/31                                                    | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     160000 | PA      | $120148.19    | 0.02%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5129 IO                                                         | CUSIP: 3137H1XY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     102587 | PA      | $15517.35     | 0.00%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $94687.50     | 0.01%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY MUN WTR FIN AUTH                                                   | NY NYCUTL 6.01 06/15/2042                                           | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      25000 | PA      | $26197.87     | 0.00%             | 2042-06-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 5.65 11/01/2040                                           | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      35000 | PA      | $35288.02     | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F0204B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3068900 | PA      | $2687232.60   | 0.38%             | 2037-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.8 02/14/39                                                     | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      70000 | PA      | $59811.01     | 0.01%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 2.7 02/01/27                                                     | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26012.75     | 0.00%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Incorporated                                                       | TXN 3.875 03/15/39                                                  | CUSIP: 882508BF0<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     200000 | PA      | $166227.15    | 0.02%             | 2039-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                    | NWG V4.269 03/22/25                                                 | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $385675.68    | 0.05%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1349                                                           | CUSIP: 3140X4QB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255141 | PA      | $230012.64    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deere & Company                                                                      | DE 3.1 04/15/30                                                     | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26241.19     | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVDA 3.5 04/01/40                                                   | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     250000 | PA      | $189857.90    | 0.03%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                                                     | PCG 3.5 08/01/50                                                    | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      20000 | PA      | $12199.72     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 08/15/26                                                      | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     558000 | PA      | $502156.41    | 0.07%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.25 08/15/27                                                     | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2561000 | PA      | $2337312.66   | 0.33%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.125 11/15/28                                                    | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     329000 | PA      | $309208.59    | 0.04%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 04/30/25                                                    | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7349000 | PA      | $6654289.84   | 0.93%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.75 05/31/26                                                     | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     346000 | PA      | $304493.51    | 0.04%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 09/30/28                                                     | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      87000 | PA      | $73413.05     | 0.01%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GACI First Investment Co.                                                            | PIFKSA 5 10/13/27                                                   | CUSIP: G3705QAA5<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $196480.64    | 0.03%             | 2027-10-13      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 4 01/15/30                                                     | CUSIP: 361841AP4<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     487000 | PA      | $401614.29    | 0.06%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 02/15/25                                                      | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      63000 | PA      | $58907.46     | 0.01%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.5 04/30/24                                                      | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     142000 | PA      | $137617.97    | 0.02%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.125 08/15/25                                                    | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     213000 | PA      | $205661.49    | 0.03%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1331                                                           | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188793 | PA      | $165970.47    | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8641                                                           | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50461 | PA      | $46602.59     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0173                                                           | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184872 | PA      | $147312.69    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7548                                                           | CUSIP: 3132DVL52<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     974010 | PA      | $807544.52    | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR1615                                                           | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274561 | PA      | $217316.47    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.3 02/15/51                                                   | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      70000 | PA      | $44907.77     | 0.01%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| DRYDEN 87 CLO LTD                                                                    | DRSLF 2021-87A A1                                                   | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     770000 | PA      | $737118.77    | 0.10%             | 2034-05-22      | Floating      | 2.58%                 | Yes           |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 6.875 04/29/30                                               | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     120000 | PA      | $98748.00     | 0.01%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4119                                                           | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134281 | PA      | $106300.01    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3102                                                           | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392360 | PA      | $311652.30    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.7 05/14/45                                                   | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     154000 | PA      | $127948.12    | 0.02%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7056                                                           | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265909 | PA      | $255491.28    | 0.04%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                                                          | WMT 1.5 09/22/28                                                    | CUSIP: 931142ES8<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      60000 | PA      | $50122.52     | 0.01%             | 2028-09-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.625 03/01/48                                                   | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     212000 | PA      | $128379.10    | 0.02%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V4.583 06/19/29                                                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     287000 | PA      | $249227.83    | 0.03%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Grupo Aval Ltd.                                                                      | AVALCB 4.375 02/04/30 144A                                          | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $138688.00    | 0.02%             | 2030-02-04      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                                     | NNN 3.1 04/15/50                                                    | CUSIP: 637417AP1<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |      42000 | PA      | $24322.66     | 0.00%             | 2050-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic of)                                                               | COLOM 5.2 05/15/49                                                  | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     460000 | PA      | $278895.02    | 0.04%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| SMB PRIVATE EDUCATION LOAN TRUST                                                     | SMB 2020-A A2A                                                      | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     186570 | PA      | $166908.25    | 0.02%             | 2037-09-15      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES F 01/13/23                                                      | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39800.00     | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 3.5 06/01/30                                                  | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44691.62     | 0.01%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2018-3A A1                                                     | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     654397 | PA      | $614714.66    | 0.09%             | 2058-05-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 2.902 07/15/31 144A                                          | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     160000 | PA      | $130570.81    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.6 04/01/40                                                   | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     234000 | PA      | $158330.25    | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1518                                                           | CUSIP: 3140X4VL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59358 | PA      | $56726.68     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3469                                                           | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.3 02/01/52                                                      | CUSIP: 00206RKE1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      40000 | PA      | $25098.95     | 0.00%             | 2052-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| United States Treasury Notes                                                         | T 3.125 08/31/27                                                    | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       5000 | PA      | $4758.98      | 0.00%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.875 09/30/29                                                    | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     121000 | PA      | $118844.69    | 0.02%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA5522                                                           | CUSIP: 3140QDD43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276855 | PA      | $254319.11    | 0.04%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                            | OBX 2021-NQM3 A1                                                    | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     181898 | PA      | $135017.15    | 0.02%             | 2061-07-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SC0111                                                           | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     134741 | PA      | $123202.93    | 0.02%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5100 MI                                                         | CUSIP: 3137FYVU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     160206 | PA      | $30249.65     | 0.00%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.05 08/12/51                                                  | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      80000 | PA      | $48352.41     | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.511 10/20/32 MTN                                              | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     230000 | PA      | $173164.47    | 0.02%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.109 04/22/51                                                 | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      50000 | PA      | $31211.63     | 0.00%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Chevron Corporation                                                                  | CVX 3.078 05/11/50                                                  | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     490000 | PA      | $334584.59    | 0.05%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                          | IL ILS 5.1 06/01/2033                                               | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     380000 | PA      | $355107.91    | 0.05%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0506B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1763000 | PA      | $1699986.52   | 0.24%             | 2052-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0426B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518000 | PA      | $485867.81    | 0.07%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2476000 | PA      | $2384697.50   | 0.33%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS3253                                                           | CUSIP: 3138WCTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46488 | PA      | $43512.00     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR5649                                                           | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88911 | PA      | $70886.23     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411000 | PA      | $399777.77    | 0.06%             | 2052-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2737000 | PA      | $2564868.35   | 0.36%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111000 | PA      | $107843.44    | 0.02%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0326B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684900 | PA      | $601902.27    | 0.08%             | 2052-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F0324B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54000 | PA      | $50734.69     | 0.01%             | 2037-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEXAS ST                                                                             | TX TXS 5.52 04/01/2039                                              | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     115000 | PA      | $116189.02    | 0.02%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0406B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -3156000 | PA      | $-2868458.70  | -0.40%            | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAY AREA TOLL AUTH CALIF                                                             | CA BAYTRN 7.04 04/01/2050                                           | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     150000 | PA      | $175729.26    | 0.02%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8635                                                           | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46323 | PA      | $42670.57     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.5 09/15/53                                                      | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     228000 | PA      | $146337.21    | 0.02%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0551                                                           | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94882 | PA      | $78414.76     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST 2022-1                                                 | SGR 2022-1 A1                                                       | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     755263 | PA      | $651780.67    | 0.09%             | 2062-03-25      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                                   | CNP 1.75 10/01/30                                                   | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |      59000 | PA      | $44956.56     | 0.01%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ohio Power Company                                                                   | AEP 1.625 01/15/31 Q                                                | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     107000 | PA      | $79291.56     | 0.01%             | 2031-01-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.875 08/15/40                                                    | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     370000 | PA      | $347612.11    | 0.05%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN MUN PWR OHIO INC                                                            | OH AMEPWR 8.08 02/15/2050                                           | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      75000 | PA      | $92666.75     | 0.01%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| CP IRIS HOLDCO 1 TL                                                                  | CP IRIS HOLDCO 1 TL                                                 | CUSIP: LX1981401<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      17313 | PA      | $15364.85     | 0.00%             | 2028-09-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                                   | STX 4.091 06/01/29                                                  | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |      70000 | PA      | $56058.10     | 0.01%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.615 03/15/28                                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      60000 | PA      | $54089.58     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0024                                                           | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87863 | PA      | $73137.41     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5155 NI                                                         | CUSIP: 3137H37F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     167452 | PA      | $22510.10     | 0.00%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2079                                                           | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374377 | PA      | $295948.19    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1555                                                           | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96702 | PA      | $85324.33     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-96 VI                                                      | CUSIP: 38382UG39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    1676637 | PA      | $251562.57    | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.125 02/15/43                                                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198000 | PA      | $162290.39    | 0.02%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0306B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -1298371 | PA      | $-1103311.05  | -0.15%            | 2052-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5142 PI                                                         | CUSIP: 3137H2EA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      83679 | PA      | $13679.68     | 0.00%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5139 IG                                                         | CUSIP: 3137H2BQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     297338 | PA      | $46831.45     | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                               | MLMI 2004-A1 2A2                                                    | CUSIP: 59020UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     230130 | PA      | $215165.47    | 0.03%             | 2034-02-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.85 06/15/28                                                   | CUSIP: 91324PDK5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     130000 | PA      | $121029.83    | 0.02%             | 2028-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ST                                                                        | CA CAS 7.5 04/01/2034                                               | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      65000 | PA      | $75659.86     | 0.01%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65000 | PA      | $59854.84     | 0.01%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0824                                                           | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      26727 | PA      | $22051.41     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6343                                                           | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324637 | PA      | $268683.35    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY MUN WTR FIN AUTH                                                   | NY NYCUTL 5.88 06/15/2044                                           | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      30000 | PA      | $31086.68     | 0.00%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 4.93 10/01/2051                                           | CUSIP: 73358WEK6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      55000 | PA      | $49911.97     | 0.01%             | 2051-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2114000 | PA      | $1891842.89   | 0.26%             | 2052-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1127600 | PA      | $955296.45    | 0.13%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.125 05/15/25                                                    | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     420000 | PA      | $396375.00    | 0.06%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.375 05/15/27                                                    | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     614000 | PA      | $565383.67    | 0.08%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 5.55 01/23/49                                                 | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     260000 | PA      | $244860.57    | 0.03%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.875 02/08/29                                                   | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27268.44     | 0.00%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                               | UAL 3.65 10/07/25 16-2                                              | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2287 | PA      | $1989.55      | 0.00%             | 2027-04-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 05/15/40                                                    | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1108000 | PA      | $661380.78    | 0.09%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 890843                                                           | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42601 | PA      | $37033.27     | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.5 07/01/27 MTN                                                | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55874.85     | 0.01%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2854                                                           | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73449 | PA      | $61059.79     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8147                                                           | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295982 | PA      | $251237.63    | 0.04%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2772                                                           | CUSIP: 3140XJCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36939 | PA      | $30572.70     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.5 05/14/35                                                   | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     214000 | PA      | $189702.07    | 0.03%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                                         | NYLIFE 0.95 06/24/25 144A                                           | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71483.45     | 0.01%             | 2025-06-24      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc                                                                     | MRK 1.45 06/24/30                                                   | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |      70000 | PA      | $54327.01     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 05/31/27                                                      | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     484000 | PA      | $408375.00    | 0.06%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F0124B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1045000 | PA      | $888912.33    | 0.12%             | 2037-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 11/15/40                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1108000 | PA      | $684492.97    | 0.10%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 03/31/28                                                     | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     558000 | PA      | $477002.81    | 0.07%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 11/15/51                                                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -94000 | PA      | $-57259.22    | -0.01%            | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 11/15/51                                                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $60914.06     | 0.01%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2579                                                           | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218058 | PA      | $197791.53    | 0.03%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT3290                                                           | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92509 | PA      | $76335.47     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.875 02/28/27                                                    | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       3000 | PA      | $2714.06      | 0.00%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.75 08/15/32                                                     | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     444000 | PA      | $397310.63    | 0.06%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.5 09/15/25                                                      | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     528000 | PA      | $514717.50    | 0.07%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.25 10/15/25                                                     | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     344000 | PA      | $342172.50    | 0.05%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF UNI SCH DIST                                                       | CA LOSSCD 6.76 07/01/2034                                           | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     215000 | PA      | $232383.29    | 0.03%             | 2034-07-01      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF CMNTY COLLEGE DIST                                                 | CA LOSHGR 6.6 08/01/2042                                            | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      45000 | PA      | $49181.80     | 0.01%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -284200 | PA      | $-249637.88   | -0.03%            | 2052-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -15088700 | PA      | $-12345136.77 | -1.72%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3415                                                           | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9209 | PA      | $8502.41      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Digital Dutch Finco BV                                                               | DLR 1.5 03/15/30                                                    | CUSIP: N2639BAB1<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |     130000 | PA      | $97326.48     | 0.01%             | 2030-03-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2 02/15/25                                                        | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     487000 | PA      | $460766.68    | 0.06%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Schwab Strategic Trust                                                               | Schwab Strategic Trust SHORT-TERM US TREASURY ETF                   | CUSIP: 808524862<br>LEI: 549300NAZEQOIX80E226 | Long             | EC               | RF                | US        |     999783 | NS      | $48139551.45  | 6.72%             |  |  |  | No            |                  1 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN FM8685                                                           | CUSIP: 3140XCUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173723 | PA      | $148367.91    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1878                                                           | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363339 | PA      | $310353.63    | 0.04%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Sherwin-Williams Company                                                         | SHW 2.3 05/15/30                                                    | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |      83000 | PA      | $65812.41     | 0.01%             | 2030-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.412 03/31/31                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     220000 | PA      | $196320.77    | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.8 12/01/57                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      30000 | PA      | $19769.23     | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 2.45 10/29/26                                                   | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |     550000 | PA      | $464445.16    | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3 02/15/48                                                        | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2788000 | PA      | $2201539.85   | 0.31%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 09/30/24                                                      | CUSIP: 912828YH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     384000 | PA      | $362865.00    | 0.05%             | 2024-09-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.625 05/15/31                                                    | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      36000 | PA      | $29750.63     | 0.00%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.375 12/31/28                                                    | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      44000 | PA      | $37274.53     | 0.01%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.25 06/30/27                                                     | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      60000 | PA      | $57407.81     | 0.01%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V4.889 07/20/33                                                  | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      65000 | PA      | $59166.69     | 0.01%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     727000 | PA      | $688946.09    | 0.10%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3390000 | PA      | $3123514.10   | 0.44%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                                                                  | NSANY 4.81 09/17/30 144A                                            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     338000 | PA      | $269961.61    | 0.04%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5292                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200711 | PA      | $172148.26    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8389                                                           | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113512 | PA      | $104707.60    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Charles Schwab Corporation                                                       | SCHW V4 PERP H                                                      | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     162000 | PA      | $120325.50    | 0.02%             | 2049-12-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.375 11/15/39                                                    | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      51000 | PA      | $51408.40     | 0.01%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| UNIVERSITY CALIF                                                                     | CA UNVHGR 4.86 05/15/2112                                           | CUSIP: 91412GHA6<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |      25000 | PA      | $19466.65     | 0.00%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 2.1 04/01/31                                                    | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     291000 | PA      | $217324.43    | 0.03%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.419 04/15/33 144A                                            | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     267000 | PA      | $202881.17    | 0.03%             | 2033-04-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F0224B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344000 | PA      | $309901.83    | 0.04%             | 2037-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -2100000 | PA      | $-1784015.63  | -0.25%            | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                     | PARA 4.375 03/15/43                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      62000 | PA      | $41732.49     | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                                                  | NY PORTRN 4.96 08/01/2046                                           | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      60000 | PA      | $55242.07     | 0.01%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1431                                                           | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67464 | PA      | $61546.88     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mold-Rite                                                                            | Mold-Rite First-lien Term Loan 375 2028-09-14                       | CUSIP: 91889CAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      14925 | PA      | $13357.88     | 0.00%             | 2028-09-14      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| The Williams Companies, Inc.                                                         | WMB 3.5 10/15/51                                                    | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     109000 | PA      | $69779.40     | 0.01%             | 2051-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-199 KI                                                     | CUSIP: 38383DNJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      78090 | PA      | $12286.57     | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-78 IC                                                      | CUSIP: 38382TEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      69697 | PA      | $11331.18     | 0.00%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN9004                                                           | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79688 | PA      | $63623.50     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 5.4 10/15/29                                                     | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     206000 | PA      | $190940.10    | 0.03%             | 2029-10-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 4.95 08/15/27                                                   | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     409000 | PA      | $388620.72    | 0.05%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2 11/15/26                                                        | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1555000 | PA      | $1420152.34   | 0.20%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.75 11/15/47                                                     | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3341000 | PA      | $2506794.06   | 0.35%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V5.304 08/09/26                                                | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $190393.61    | 0.03%             | 2026-08-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6360                                                           | CUSIP: 3140QEB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765072 | PA      | $637763.75    | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3126                                                           | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287378 | PA      | $254019.42    | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-56 AQ                                                      | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     700000 | PA      | $539398.58    | 0.08%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.963 01/25/33                                                 | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     895000 | PA      | $699208.81    | 0.10%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5530                                                           | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8186 | PA      | $7519.06      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.85 11/01/42                                                    | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      60000 | PA      | $44659.73     | 0.01%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2015-2                                           | NRZT 2015-2A A1                                                     | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     229453 | PA      | $210149.92    | 0.03%             | 2055-08-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Visa Inc                                                                             | V 4.3 12/14/45                                                      | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     170000 | PA      | $144872.81    | 0.02%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                                  | ABT 4.9 11/30/46                                                    | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |      90000 | PA      | $83993.61     | 0.01%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 2.259 03/25/28                                               | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     100000 | PA      | $79245.95     | 0.01%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5018 MI                                                         | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     262191 | PA      | $35722.84     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2139                                                           | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123436 | PA      | $98607.68     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.926 05/15/37 144A                                            | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     650000 | PA      | $535931.94    | 0.07%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: —       |
| Morgan Stanley                                                                       | MS V4.431 01/23/30 GMTN                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9125.03      | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 4.125 03/12/24 144A                                          | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     390000 | PA      | $382080.18    | 0.05%             | 2024-03-12      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QE6679                                                           | CUSIP: 3133BGM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      99514 | PA      | $93925.01     | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4068                                                           | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19928 | PA      | $17640.87     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 5.2 03/01/47                                                   | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      60000 | PA      | $47827.47     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                      | IMM 2007-A A                                                        | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     183000 | PA      | $170157.09    | 0.02%             | 2037-05-25      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3483                                                           | CUSIP: 3140X62R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94885 | PA      | $78867.18     | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 6.05 02/15/63                                                   | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61675.49     | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ffmlt Tr 2006-Ff13                                                                   | FFML 2006-FF13 A2C                                                  | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16977 | PA      | $11505.83     | 0.00%             | 2036-10-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.95 12/01/25                                                    | CUSIP: 86765BAS8<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     160000 | PA      | $159066.20    | 0.02%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                            | TPMT 2019-HY2 A1                                                    | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     689818 | PA      | $673508.25    | 0.09%             | 2058-05-28      | Floating      | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 5.55 03/15/26                                                   | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     160000 | PA      | $162400.00    | 0.02%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Petrobras Global Finance B.V.                                                        | PETBRA 5.75 02/01/29                                                | CUSIP: 71647NAZ2<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      11000 | PA      | $10256.62     | 0.00%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Company, LLC                                          | WMB 4 03/15/28                                                      | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     436000 | PA      | $399585.96    | 0.06%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.75 12/31/24                                                     | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6696000 | PA      | $6326935.30   | 0.88%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.25 04/30/28                                                     | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     443000 | PA      | $377882.46    | 0.05%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V4.972 05/16/29                                                | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $177140.72    | 0.02%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.875 12/15/28                                                  | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     110000 | PA      | $102293.54    | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.125 05/31/23                                                    | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198000 | PA      | $192941.72    | 0.03%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MUNICIPAL ELEC AUTH GA                                                               | GA MELPWR 6.64 04/01/2057                                           | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      40000 | PA      | $40278.06     | 0.01%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-15YR                                                           | CUSIP: 01F0304B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -42400 | PA      | $-38988.50    | -0.01%            | 2037-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0226B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1595100 | PA      | $1305251.49   | 0.18%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2020-IG1 AS                                                   | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     720000 | PA      | $568129.68    | 0.08%             | 2043-09-17      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6477                                                           | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37013 | PA      | $35510.75     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ffmlt Tr 2006-Ff13                                                                   | FFML 2006-FF13 A1                                                   | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      29098 | PA      | $19728.96     | 0.00%             | 2036-10-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                               | MSI 4.6 05/23/29                                                    | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     235000 | PA      | $216034.95    | 0.03%             | 2029-05-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| United States Treasury Bonds                                                         | T 2.5 02/15/45                                                      | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3341000 | PA      | $2404345.44   | 0.34%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Schwab Strategic Trust                                                               | Schwab Strategic Trust INTERMED-TERM US TREAS ETF                   | CUSIP: 808524854<br>LEI: 549300NAZEQOIX80E226 | Long             | EC               | RF                | US        |     308036 | NS      | $14995192.48  | 2.09%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5.7 04/01/28                                                    | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      35000 | PA      | $34058.50     | 0.00%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GSR Mtg Loan Trust                                                                   | GSR 2007-1F 2A4                                                     | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     138977 | PA      | $167229.75    | 0.02%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.625 02/15/29                                                    | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     548000 | PA      | $499108.13    | 0.07%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SEATTLE WASH                                                                         | WA SEAPWR 5 04/01/2044                                              | CUSIP: 812643TS3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     275000 | PA      | $285493.07    | 0.04%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 3M Company                                                                           | MMM 3.7 04/15/50                                                    | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $71449.99     | 0.01%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley                                                                       | MS V3.622 04/01/31 MTN                                              | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     360000 | PA      | $306097.87    | 0.04%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 03/31/25                                                      | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1540000 | PA      | $1403806.25   | 0.20%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1987900 | PA      | $1632562.88   | 0.23%             | 2052-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 4.125 01/16/25                                               | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      37000 | PA      | $34115.37     | 0.00%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN 890696                                                           | CUSIP: 31410LRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83028 | PA      | $78095.10     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                                            | DUK 3.95 03/15/48                                                   | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     122000 | PA      | $91778.83     | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3356                                                           | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2617 | PA      | $2345.48      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 12/31/25                                                    | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1286000 | PA      | $1134392.66   | 0.16%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 05/15/32                                                    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        600 | PA      | $543.66       | 0.00%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.45 12/15/48                                                   | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      57000 | PA      | $47360.06     | 0.01%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA1021                                                           | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66460 | PA      | $63512.93     | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 2.85 02/14/30                                                 | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     200000 | PA      | $169874.51    | 0.02%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| Union Pacific Corporation                                                            | UNP 3.75 02/05/70                                                   | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     108000 | PA      | $72166.92     | 0.01%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.91 05/24/33                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     144000 | PA      | $130817.28    | 0.02%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3 07/31/24                                                        | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     314000 | PA      | $305622.58    | 0.04%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1263                                                           | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20093 | PA      | $19147.93     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 4.5 04/15/30                                                    | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     398000 | PA      | $370713.47    | 0.05%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Agilent Technologies Inc.                                                            | A 2.1 06/04/30                                                      | CUSIP: 00846UAM3<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |      66000 | PA      | $51596.00     | 0.01%             | 2030-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: —       |
| Verizon Communications Inc.                                                          | VZ 1.68 10/30/30                                                    | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     126000 | PA      | $93806.85     | 0.01%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds TREAS PRT PRMR                                    | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    3640295 | NS      | $3640295.10   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW JERSEY ST TPK AUTH                                                               | NJ NJSTRN 7.41 01/01/2040                                           | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      66000 | PA      | $77533.51     | 0.01%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Herschend Family Entertainment                                                       | Herschend Family Entertainment Term Loan B 375 2028-08-01           | CUSIP: 42778EAF8<br>LEI: 54930087KQ7RPDXK0716 | Long             | LON              | CORP              | US        |      37620 | PA      | $37196.78     | 0.01%             | 2028-08-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7767                                                           | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1559614 | PA      | $1324874.38   | 0.18%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                 | RY 1.6 04/17/23 GMTN                                                | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     190000 | PA      | $187033.66    | 0.03%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                                   | CM 0.95 06/23/23                                                    | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $97137.44     | 0.01%             | 2023-06-23      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0193                                                           | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248821 | PA      | $204921.36    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA5368                                                           | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111088 | PA      | $101852.38    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7597                                                           | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275949 | PA      | $230866.07    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NXSS                       | JPMCC 2022-NXSS A                                                   | CUSIP: 465979AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     120000 | PA      | $118502.77    | 0.02%             | 2039-09-15      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc                                                                     | MRK 0.75 02/24/26                                                   | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     240000 | PA      | $210419.63    | 0.03%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| Danske Bank A/S                                                                      | DANBNK 1.226 06/22/24 144A                                          | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     200000 | PA      | $184187.97    | 0.03%             | 2024-06-22      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| METROPOLITAN TRANSN AUTH N Y                                                         | NY MTATRN 5.87 11/15/2039                                           | CUSIP: 59259YBF5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      45000 | PA      | $42105.94     | 0.01%             | 2039-11-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 11/15/40                                                     | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     370000 | PA      | $365129.30    | 0.05%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Vanguard Asset All                                                                   | Vanguard Asset All SH-TERM INFL PROTECTED ETF                       | CUSIP: 922020805<br>LEI: 549300EW16IGZDA38J20 | Long             | EC               | RF                | US        |     347624 | NS      | $16599046.00  | 2.32%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.875 05/15/43                                                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198000 | PA      | $155205.70    | 0.02%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.125 03/24/31                                                 | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      80000 | PA      | $65373.92     | 0.01%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 1.65 03/25/26                                                  | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     360000 | PA      | $316027.97    | 0.04%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                               | UAL 4 04/11/26 A                                                    | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      82410 | PA      | $74368.16     | 0.01%             | 2027-10-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Corporation                                                             | STT V0 PERP F                                                       | CUSIP: 857477AQ6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |      26000 | PA      | $25928.05     | 0.00%             | 2049-12-31      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST                                                        | SFO 2021-555 A                                                      | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     200000 | PA      | $185975.30    | 0.03%             | 2038-05-17      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC4824                                                           | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92315 | PA      | $76297.96     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vanguard Scottsdal                                                                   | Vanguard Scottsdal LONG-TERM TREASURY ETF                           | CUSIP: 92206C847<br>LEI: 549300Y88GQ3VLJIBX57 | Long             | EC               | RF                | US        |     467539 | NS      | $27827921.28  | 3.88%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR LINES INC PASS-THROUGH TRUSTS                                             | UAL 3.5 03/01/30 AA                                                 | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14564 | PA      | $12249.28     | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 3.755 03/15/27 144A                                             | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71166.55     | 0.01%             | 2027-03-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 3.7 03/23/29                                                    | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     310000 | PA      | $276204.62    | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc.                                                               | BATSLN 5.85 08/15/45                                                | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     108000 | PA      | $84813.67     | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3310                                                           | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39115 | PA      | $35534.38     | 0.00%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3833                                                           | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196266 | PA      | $167430.02    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.35 05/15/45                                                    | CUSIP: 86765BAQ2<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     360000 | PA      | $282949.23    | 0.04%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Blackroad Bond All                                                                   | Blackroad Bond All BATS SER A PT                                    | CUSIP: 092480706<br>LEI: 549300R5YFYF3PL2MC94 | Long             | EC               | RF                | US        |    6932834 | PA      | $62811474.59  | 8.77%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 02/15/30                                                      | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     869000 | PA      | $728025.12    | 0.10%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5331                                                           | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31306 | PA      | $30028.53     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5399                                                           | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217445 | PA      | $209058.45    | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bxp Tst                                                                              | BXP 2017-GM D                                                       | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     370000 | PA      | $299537.42    | 0.04%             | 2039-06-15      | Floating      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Nucor Corporation                                                                    | NUE 3.95 05/01/28                                                   | CUSIP: 670346AP0<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     117000 | PA      | $107556.25    | 0.02%             | 2028-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 4.7 02/01/36 *                                                | CUSIP: 03522AAH3<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |     145000 | PA      | $131058.94    | 0.02%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZT1353                                                           | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      76268 | PA      | $68498.15     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 08/15/40                                                    | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1108000 | PA      | $655754.22    | 0.09%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656000 | PA      | $516830.62    | 0.07%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.375 11/30/25                                                    | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1286000 | PA      | $1137055.08   | 0.16%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.125 08/31/29                                                    | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      30000 | PA      | $28110.94     | 0.00%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3.25 08/31/24                                                     | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     595000 | PA      | $581426.56    | 0.08%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 MA6658                                                           | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8136 | PA      | $7610.32      | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic of)                                                               | COLTES 7 03/26/31 B                                                 | CUSIP: P6S32JV64<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   78500000 | PA      | $10669.09     | 0.00%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1429                                                           | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82902 | PA      | $75808.34     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 09/15/55                                                     | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     316000 | PA      | $201090.41    | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.55 12/01/33                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     171000 | PA      | $126017.63    | 0.02%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Springs Window Fashions                                                              | Springs Window Fashions Term Loan B 400 2028-09-05                  | CUSIP: 78489HAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      38805 | PA      | $30037.40     | 0.00%             | 2028-09-05      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Russian Federation                                                                   | RFLB 6.1 07/18/35 6233                                              | CUSIP: X5424XCT3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    6245000 | PA      | $50322.32     | 0.01%             | 2035-07-18      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 2.5 07/15/31                                                    | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      37000 | PA      | $28468.83     | 0.00%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1014                                                           | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95526 | PA      | $76001.62     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9205                                                           | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87439 | PA      | $72393.09     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 5.5 02/15/49                                                   | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      90000 | PA      | $75101.00     | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5711                                                           | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136200 | PA      | $130836.54    | 0.02%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 6.25 04/15/49                                                    | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43617.51     | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 4.8 02/14/29                                                     | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     240000 | PA      | $220938.56    | 0.03%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.625 02/20/24                                                   | CUSIP: 38141GXE9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     120000 | PA      | $117322.93    | 0.02%             | 2024-02-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 4.5 04/01/25                                                    | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19575.42     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Target Corporation                                                                   | TGT 2.25 04/15/25                                                   | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |     110000 | PA      | $103373.78    | 0.01%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| CVS Health Corp                                                                      | CVS 4.125 04/01/40                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      40000 | PA      | $31304.24     | 0.00%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Autodesk Inc                                                                         | ADSK 2.4 12/15/31                                                   | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |     158000 | PA      | $121812.13    | 0.02%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Ecolab Inc.                                                                          | ECL 2.75 08/18/55                                                   | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |      97000 | PA      | $55897.35     | 0.01%             | 2055-08-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5305                                                           | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69756 | PA      | $55623.16     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2621                                                           | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327278 | PA      | $271365.15    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 3.625 04/01/27                                                  | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      40000 | PA      | $37175.85     | 0.01%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                              | BK 1.6 04/24/25 MTN                                                 | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      60000 | PA      | $54940.54     | 0.01%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.522 04/22/31                                                 | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     510000 | PA      | $402196.83    | 0.06%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corporation                                                         | COST 1.75 04/20/32                                                  | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |      90000 | PA      | $69057.31     | 0.01%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Capital One Financial Corporation                                                    | COF V3.273 03/01/30                                                 | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     139000 | PA      | $114075.80    | 0.02%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1256                                                           | CUSIP: 3140XGME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48480 | PA      | $46149.76     | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cargill Inc.                                                                         | CARGIL 1.375 07/23/23 144A                                          | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     110000 | PA      | $107050.46    | 0.01%             | 2023-07-23      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.572 06/03/31                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     760000 | PA      | $594308.11    | 0.08%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6577                                                           | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481825 | PA      | $398771.50    | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8182                                                           | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     282341 | PA      | $223230.93    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.65 10/21/32                                                   | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     798000 | PA      | $604145.83    | 0.08%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                           | RABOBK V3.758 04/06/33 144A                                         | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $201293.42    | 0.03%             | 2033-04-06      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7552                                                           | CUSIP: 3132DVL94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     294195 | PA      | $242726.91    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V1.319 06/19/26 MTN                                             | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $962361.00    | 0.13%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Ares Xlii Clo Ltd                                                                    | ARES 2017-42A BR                                                    | CUSIP: 04016LAS6<br>LEI: 5493004S1FMDW7K3MU50 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $479352.25    | 0.07%             | 2028-01-24      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1104                                                           | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91111 | PA      | $75367.66     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT0972                                                           | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96840 | PA      | $77711.53     | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                                 | MUFG V3.837 04/17/26                                                | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $190178.85    | 0.03%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.937 11/01/56                                                | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      40000 | PA      | $23131.11     | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CN9972                                                           | CUSIP: 3617FACH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196539 | PA      | $176531.38    | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mars Inc. (Del)                                                                      | MARS 2.7 04/01/25 144A                                              | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      90000 | PA      | $85243.69     | 0.01%             | 2025-04-01      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Mars Inc. (Del)                                                                      | MARS 3.2 04/01/30 144A                                              | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     180000 | PA      | $157788.21    | 0.02%             | 2030-04-01      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2061                                                           | CUSIP: 3140XHJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392973 | PA      | $358634.99    | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic of)                                                                | URUGUA 5.75 10/28/34                                                | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     480000 | PA      | $488663.62    | 0.07%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4500                                                           | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096275 | PA      | $864395.41    | 0.12%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2620                                                           | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268949 | PA      | $223564.06    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                                   | VICI 4.75 02/15/28                                                  | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     229000 | PA      | $208684.32    | 0.03%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6636                                                           | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395067 | PA      | $326972.55    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA3217                                                           | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      96908 | PA      | $72294.52     | 0.01%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD                                                                       | PFP 2022-9 A                                                        | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     120000 | PA      | $117683.46    | 0.02%             | 2035-08-16      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5040 IB                                                         | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      75536 | PA      | $11176.64     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6460                                                           | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82110 | PA      | $67918.12     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2707                                                           | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359575 | PA      | $328810.45    | 0.05%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.125 03/16/27                                                   | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57049.23     | 0.01%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds TREAS PRT PRMR                                    | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |        600 | NS      | $599.80       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Virginia Electric and Power Company                                                  | D 6 01/15/36 B                                                      | CUSIP: 927804FA7<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |      72000 | PA      | $71364.93     | 0.01%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 6.125 07/08/39                                                 | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     182000 | PA      | $166925.07    | 0.02%             | 2039-07-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Texas Eastern Transmission, L.P.                                                     | SEP 3.5 01/15/28 144A                                               | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |     226000 | PA      | $201235.68    | 0.03%             | 2028-01-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3665                                                           | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11604 | PA      | $11065.72     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G61989                                                           | CUSIP: 31335CF66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2371181 | PA      | $2129469.52   | 0.30%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                               | GSAA 2006-4 1A1                                                     | CUSIP: 362334FD1<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-O            | CORP              | US        |      46234 | PA      | $33175.10     | 0.00%             | 2036-03-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG New York Branch                                                     | CS 2.95 04/09/25                                                    | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $223748.86    | 0.03%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Skymiles Ip Limited & Delta Air Lines Incorporated                                   | DAL 4.5 10/20/25 144A                                               | CUSIP: 830867AA5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | KY        |     220000 | PA      | $214376.08    | 0.03%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-160 VI                                                     | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      83407 | PA      | $11729.01     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 3.55 03/10/51                                                  | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      40000 | PA      | $26336.92     | 0.00%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN BR5577                                                           | CUSIP: 3140L4FT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85784 | PA      | $68412.99     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants, Inc.                                                                | HNGRY 2021-1A A2                                                    | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     414750 | PA      | $321564.80    | 0.04%             | 2051-06-20      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 5.95 04/01/49                                                    | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      70000 | PA      | $59265.12     | 0.01%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 4.54 08/15/47                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     190000 | PA      | $122722.72    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                            | PRXNA 3.68 01/21/30 144A                                            | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     600000 | PA      | $441555.89    | 0.06%             | 2030-01-21      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB8602                                                           | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      79262 | PA      | $63725.88     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR5633                                                           | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87040 | PA      | $69415.01     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.21 04/22/42                                                   | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      80000 | PA      | $53250.12     | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.137 11/15/35 144A                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     880000 | PA      | $610433.10    | 0.09%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Coterra Energy Inc                                                                   | CTRA 4.375 03/15/29 144A                                            | CUSIP: 127097AH6<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     850000 | PA      | $778745.25    | 0.11%             | 2029-03-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Colombia (Republic of)                                                               | COLOM 3.25 04/22/32                                                 | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     620000 | PA      | $411463.71    | 0.06%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EQUATE Petrochemical B.V.                                                            | EQPTRC 2.625 04/28/28 144A                                          | CUSIP: 29441WAD7<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |     450000 | PA      | $370687.50    | 0.05%             | 2028-04-28      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Orbia Advance Corp S A B De Cv                                                       | ORBIA 1.875 05/11/26 144A                                           | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     280000 | PA      | $233800.00    | 0.03%             | 2026-05-11      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4311                                                           | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76754 | PA      | $66003.82     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.785 03/17/33                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     340000 | PA      | $281629.03    | 0.04%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9365                                                           | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90770 | PA      | $78537.89     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems PLC                                                                      | BALN 3.4 04/15/30 144A                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     271000 | PA      | $232342.41    | 0.03%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 4.4 06/15/28 *                                                  | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      80000 | PA      | $74791.25     | 0.01%             | 2028-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5313                                                           | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172679 | PA      | $143144.86    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2022-3                                                      | AOMT 2022-3 A1                                                      | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     755566 | PA      | $687542.24    | 0.10%             | 2067-01-25      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 1.8 01/15/31                                                    | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     399000 | PA      | $297843.12    | 0.04%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0212                                                           | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258593 | PA      | $205556.53    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| International Business Machines Corporation                                          | IBM 3.43 02/09/52                                                   | CUSIP: 459200KP5<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     200000 | PA      | $130346.62    | 0.02%             | 2052-02-09      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2837                                                           | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227167 | PA      | $180942.42    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7026                                                           | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716633 | PA      | $597382.93    | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 5.5 03/01/44                                                    | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     101000 | PA      | $85315.58     | 0.01%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1289                                                           | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286705 | PA      | $247164.19    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CM0721                                                           | CUSIP: 3617YKYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182646 | PA      | $163422.97    | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                                                | MSFT 2.921 03/17/52                                                 | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      70000 | PA      | $47295.54     | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT3303                                                           | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90442 | PA      | $74750.46     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784577                                                           | CUSIP: 3622A3CN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     488041 | PA      | $457777.58    | 0.06%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM9743                                                           | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168938 | PA      | $154450.71    | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3467                                                           | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57407 | PA      | $53085.52     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM3208                                                           | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38916 | PA      | $37190.61     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 11/16/26                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     570000 | PA      | $522709.61    | 0.07%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group Funding (Switzerland) AG                                                   | UBS 4.253 03/23/28 144A                                             | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     770000 | PA      | $684810.59    | 0.10%             | 2028-03-23      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1248                                                           | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91154 | PA      | $79901.49     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 8.125 07/15/39                                                    | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     580000 | PA      | $668974.57    | 0.09%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 2.95 11/21/26                                                  | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91322.97     | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 1.75 01/20/31                                                    | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     110000 | PA      | $81585.89     | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 3.9 06/15/47                                                     | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15331.56     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS9760                                                           | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163806 | PA      | $156543.67    | 0.02%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3044                                                           | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196251 | PA      | $161791.65    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Co                                                                   | TRGP 4.95 04/15/52                                                  | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      60000 | PA      | $45020.27     | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5 06/15/45                                                      | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     400000 | PA      | $333874.52    | 0.05%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 4.85 07/15/47 C                                                  | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      70000 | PA      | $57755.60     | 0.01%             | 2047-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 2.9 09/12/27                                                   | CUSIP: 037833DB3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     460000 | PA      | $422768.49    | 0.06%             | 2027-09-12      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Comcast Corporation                                                                  | CMCSA 3.95 10/15/25                                                 | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     160000 | PA      | $154707.86    | 0.02%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                        | MCMLT 2019-1 A1                                                     | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     302079 | PA      | $280612.44    | 0.04%             | 2069-10-25      | Floating      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6562                                                           | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     183906 | PA      | $153002.08    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM6898                                                           | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19934 | PA      | $15943.60     | 0.00%             | 2032-02-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Nike, Inc.                                                                           | NKE 2.75 03/27/27                                                   | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91631.84     | 0.01%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| Paypal Holdings Incorporation                                                        | PYPL 1.65 06/01/25                                                  | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      90000 | PA      | $82574.29     | 0.01%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                                                      | BANK 2019-BN19 C                                                    | CUSIP: 06540WBG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     280000 | PA      | $217995.34    | 0.03%             | 2061-08-17      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-NQM1                                                                       | CSMC 2019-NQM1 A2                                                   | CUSIP: 12655VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     285622 | PA      | $270606.90    | 0.04%             | 2059-10-25      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| I/O FREDDIE MAC MULTI VAR                                                            | I/O FREDDIE MAC MULTI VAR                                           | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $172827.50    | 0.02%             | 2028-06-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 3.75 05/15/30                                                    | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     430000 | PA      | $365497.22    | 0.05%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V1.678 05/15/24                                                   | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     120000 | PA      | $117382.94    | 0.02%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-5 IO                                                       | CUSIP: 38380RSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    3366628 | PA      | $257516.73    | 0.04%             | 2061-01-16      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                           | STZ 3.6 05/09/24                                                    | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      90000 | PA      | $88057.28     | 0.01%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                            | HVMLT 2005-9 2A1C                                                   | CUSIP: 41161PSM6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     535341 | PA      | $477212.51    | 0.07%             | 2035-06-20      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB5092                                                           | CUSIP: 3133ABUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      80922 | PA      | $67279.50     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Company                                                    | PXD 1.125 01/15/26                                                  | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26133.38     | 0.00%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                            | TPMT 2017-4 B2                                                      | CUSIP: 89173UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330000 | PA      | $251296.88    | 0.04%             | 2057-06-25      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-97 AI                                                      | CUSIP: 3136BDEF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     454471 | PA      | $59106.35     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN6688                                                           | CUSIP: 3140JPNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176984 | PA      | $163236.51    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS9068                                                           | CUSIP: 3132AACD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      55116 | PA      | $51246.26     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                                 | CSMC 2021-RPL2 A1                                                   | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     125526 | PA      | $106100.07    | 0.01%             | 2060-01-25      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7195                                                           | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87495 | PA      | $72292.25     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 2.15 02/05/27                                                   | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     120000 | PA      | $106964.66    | 0.01%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.106 04/08/26                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      80000 | PA      | $74673.08     | 0.01%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD6079                                                           | CUSIP: 3133B3XG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     191221 | PA      | $158034.23    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0424                                                           | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283707 | PA      | $234468.03    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 4.1 05/15/32                                                    | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71966.15     | 0.01%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786107                                                           | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95600 | PA      | $83689.07     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SC0063                                                           | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     208093 | PA      | $196313.97    | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Houston Electric LLC                                              | CNP 2.35 04/01/31 AE                                                | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      75000 | PA      | $60118.87     | 0.01%             | 2031-04-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1924                                                           | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95647 | PA      | $78736.54     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 3 10/23/26                                                      | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      80000 | PA      | $72393.76     | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                                                           | NAVSL 2017-1A A3                                                    | CUSIP: 63940NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     228612 | PA      | $225158.45    | 0.03%             | 2066-07-26      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                           | AALLN 4 09/11/27 144A                                               | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $360836.93    | 0.05%             | 2027-09-11      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| EOG Resources, Inc.                                                                  | EOG 4.95 04/15/50                                                   | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     410000 | PA      | $371103.25    | 0.05%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.592 04/29/31                                                 | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     990000 | PA      | $781647.65    | 0.11%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.4 10/01/47                                                     | CUSIP: 86765BAV1<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     160000 | PA      | $127038.95    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 2.9 05/15/25                                                     | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     200000 | PA      | $185655.99    | 0.03%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                          | PEP 0.75 05/01/23                                                   | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     120000 | PA      | $117702.89    | 0.02%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                | KO 2.5 06/01/40                                                     | CUSIP: 191216CW8<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      50000 | PA      | $34573.60     | 0.00%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MHC TRUST 2021-MHC2                                                                  | MHC 2021-MHC2 A                                                     | CUSIP: 55293AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     240000 | PA      | $229483.20    | 0.03%             | 2023-05-15      | Floating      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0191                                                           | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94470 | PA      | $78066.01     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Leidos Inc                                                                           | LDOS 2.3 02/15/31                                                   | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     184000 | PA      | $135680.22    | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4586                                                           | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85867 | PA      | $70334.28     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                       | SMRT 2022-MINI A                                                    | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     310000 | PA      | $293755.47    | 0.04%             | 2039-01-15      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| COLT 2022-2 MORTGAGE LOAN TRUST                                                      | COLT 2022-2 A1                                                      | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     174131 | PA      | $146321.51    | 0.02%             | 2049-12-31      | Floating      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1345                                                           | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.01         | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PT Pertamina (Persero)                                                               | PERTIJ 6 05/03/42 144A                                              | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | NUSS              | ID        |     280000 | PA      | $238572.41    | 0.03%             | 2042-05-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4451                                                           | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33990 | PA      | $30925.16     | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                                              | CDEL 3.7 01/30/50 144A                                              | CUSIP: 21987BBA5<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     660000 | PA      | $421178.76    | 0.06%             | 2050-01-30      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.705 05/01/40                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     170000 | PA      | $147480.02    | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3002                                                           | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28844 | PA      | $27658.87     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 3.4 02/04/41                                                     | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     100000 | PA      | $61181.62     | 0.01%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0470                                                           | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174344 | PA      | $147979.23    | 0.02%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc                                                                     | MRK 2.75 12/10/51                                                   | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     250000 | PA      | $158823.96    | 0.02%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU2599                                                           | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94446 | PA      | $78045.40     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.3 04/01/44                                                     | CUSIP: 86765BAP4<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     160000 | PA      | $125920.93    | 0.02%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic of)                                                                | URUGUA 5.1 06/18/50                                                 | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     510000 | PA      | $455541.98    | 0.06%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786077                                                           | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95195 | PA      | $83074.82     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                                           | STZ 4.35 05/09/27                                                   | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     130000 | PA      | $124107.49    | 0.02%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST 2022-2                                                 | SGR 2022-2 A1                                                       | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     754020 | PA      | $726953.40    | 0.10%             | 2062-08-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-14 AB                                                      | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     298829 | PA      | $229957.03    | 0.03%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0496                                                           | CUSIP: 3140XFRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72579 | PA      | $67505.88     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6635                                                           | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87576 | PA      | $72650.26     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-47 NI                                                      | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      75619 | PA      | $11722.73     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.8 01/15/51                                                  | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     340000 | PA      | $202113.57    | 0.03%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 6.1 10/15/52                                                    | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25483.35     | 0.00%             | 2052-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Ohio Power Company                                                                   | AEP 4.15 04/01/48                                                   | CUSIP: 677415CQ2<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      14000 | PA      | $10445.93     | 0.00%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CN5011                                                           | CUSIP: 3617F4R88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193225 | PA      | $172890.53    | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Colombia (Republic of)                                                               | COLOM 5 06/15/45                                                    | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     810000 | PA      | $490536.04    | 0.07%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 2.45 02/04/32                                                    | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     180000 | PA      | $127918.33    | 0.02%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.4 03/22/41                                                     | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      50000 | PA      | $35549.21     | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 1.7 09/15/28                                                    | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     180000 | PA      | $147191.30    | 0.02%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.65 09/15/59                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      40000 | PA      | $25231.81     | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Williams Partners L.P.                                                               | WMB 5.1 09/15/45                                                    | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     140000 | PA      | $114929.68    | 0.02%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.4 07/15/46                                                  | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      20000 | PA      | $13623.64     | 0.00%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 3.65 02/01/26 *                                               | CUSIP: 03522AAG5<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |     300000 | PA      | $287330.48    | 0.04%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: —       |
| HSBC Holdings PLC                                                                    | HSBC V3.973 05/22/30                                                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     550000 | PA      | $453366.13    | 0.06%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 4.1 02/15/47                                                    | CUSIP: 674599CL7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      50000 | PA      | $39504.66     | 0.01%             | 2047-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 2.95 12/01/22                                                   | CUSIP: 036752AF0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29962.48     | 0.00%             | 2022-12-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.3 06/01/27                                                      | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     170000 | PA      | $148265.19    | 0.02%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                                      | RMLT 2020-2 A1                                                      | CUSIP: 76123MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      74600 | PA      | $73152.52     | 0.01%             | 2060-05-25      | Floating      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 4.2 01/31/50                                                    | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      60000 | PA      | $44095.00     | 0.01%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V5.013 04/04/51 MTN                                             | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2470000 | PA      | $2093601.37   | 0.29%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 4.95 06/15/28                                                    | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18628.69     | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2019-M23 3A3                                                    | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      91742 | PA      | $78515.90     | 0.01%             | 2031-10-27      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2015-65 CZ                                                      | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     256925 | PA      | $212415.95    | 0.03%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0584                                                           | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95147 | PA      | $75601.80     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0439                                                           | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0618                                                           | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      88950 | PA      | $76366.41     | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-47 GZ                                                      | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     209546 | PA      | $117045.03    | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 3.2 06/15/26                                                    | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     105000 | PA      | $99059.46     | 0.01%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.15 05/01/30                                                    | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     470000 | PA      | $434272.60    | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB5093                                                           | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      79810 | PA      | $66359.17     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0240                                                           | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187841 | PA      | $162518.18    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3082                                                           | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92269 | PA      | $80360.39     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.355 03/15/32                                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     687000 | PA      | $520420.23    | 0.07%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CL5523                                                           | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95969 | PA      | $82421.41     | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-139 AL                                                     | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     200000 | PA      | $181500.64    | 0.03%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Incorporated                                                       | TXN 2.9 11/03/27                                                    | CUSIP: 882508BC7<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     390000 | PA      | $355864.30    | 0.05%             | 2027-11-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Moodys Corp                                                                          | MCO 3.25 01/15/28                                                   | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     285000 | PA      | $255201.31    | 0.04%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Bank of America Corporation                                                          | BAC V3.004 12/20/23                                                 | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     419000 | PA      | $417491.26    | 0.06%             | 2023-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.25 02/01/32                                                     | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      30000 | PA      | $22540.16     | 0.00%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-61 KI                                                      | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     551303 | PA      | $82584.41     | 0.01%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DP World PLC                                                                         | DPWDU 5.625 09/25/48 144A                                           | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     700000 | PA      | $576094.40    | 0.08%             | 2048-09-25      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 4.8 02/01/49                                                    | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32141.38     | 0.00%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.8 02/15/29                                                   | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27767.80     | 0.00%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                | KO 1.45 06/01/27                                                    | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      90000 | PA      | $78149.73     | 0.01%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| CSMC TRUST                                                                           | CSMC 2021-NQM6 A3                                                   | CUSIP: 12662KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     659229 | PA      | $495878.22    | 0.07%             | 2066-07-25      | Floating      | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1556                                                           | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     777316 | PA      | $690101.27    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2963                                                           | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179732 | PA      | $171462.02    | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE2735                                                           | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8605 | PA      | $8181.58      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deere & Company                                                                      | DE 3.75 04/15/50                                                    | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     200000 | PA      | $157100.86    | 0.02%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Nike, Inc.                                                                           | NKE 2.4 03/27/25                                                    | CUSIP: 654106AH6<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      60000 | PA      | $56681.45     | 0.01%             | 2025-03-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA3516                                                           | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326815 | PA      | $316639.16    | 0.04%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V2.976 11/05/30                                                   | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     463000 | PA      | $377698.79    | 0.05%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.805 05/01/50                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     510000 | PA      | $438629.33    | 0.06%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-47 MI                                                      | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     277168 | PA      | $44887.02     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-63 LM                                                      | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     400000 | PA      | $331059.72    | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Company                                                         | SONGAS 8 03/01/32                                                   | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $84882.40     | 0.01%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Vici Properties Inc                                                                  | VICI 4.25 12/01/26 144A                                             | CUSIP: 92564RAA3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      31000 | PA      | $28236.97     | 0.00%             | 2026-12-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Baltimore Gas & Electric Company                                                     | EXC 2.9 06/15/50                                                    | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     265000 | PA      | $163230.20    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Chevron USA Inc                                                                      | CVX 3.85 01/15/28                                                   | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |     240000 | PA      | $227239.97    | 0.03%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4737                                                           | CUSIP: 3140X8HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.188 04/30/26                                                 | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     570000 | PA      | $518672.98    | 0.07%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-H09 FL                                                     | CUSIP: 38380QAW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     128901 | PA      | $126098.98    | 0.02%             | 2070-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Export-Import Bank of India                                                          | EXIMBK 3.375 08/05/26 144A                                          | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |     200000 | PA      | $181633.65    | 0.03%             | 2026-08-05      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4897                                                           | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78163 | PA      | $70907.03     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0101                                                           | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174339 | PA      | $148515.97    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT3244                                                           | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88624 | PA      | $73134.70     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones S.A.U.                                                          | TELEFO 4.103 03/08/27                                               | CUSIP: 87938WAT0<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     150000 | PA      | $137334.02    | 0.02%             | 2027-03-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AL9397                                                           | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105613 | PA      | $91630.03     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 2.5 06/03/50                                                   | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     173000 | PA      | $102746.69    | 0.01%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7938                                                           | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318535 | PA      | $288042.30    | 0.04%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1454                                                           | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195002 | PA      | $172058.33    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2023                                                           | CUSIP: 3140XHG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296836 | PA      | $271434.63    | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 1.749 08/10/30                                                 | CUSIP: 10373QBM1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     200000 | PA      | $154883.09    | 0.02%             | 2030-08-10      | Fixed         | 1.75%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN BR2664                                                           | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151246 | PA      | $121179.12    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5059 IB                                                         | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     353706 | PA      | $56761.74     | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784106                                                           | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28576 | PA      | $26106.11     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Private Education Loan Tst                                                       | SLMA 2010-C A5                                                      | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | USGA              | US        |     245654 | PA      | $262597.34    | 0.04%             | 2041-10-15      | Floating      | 8.51%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 4.15 05/15/45                                                   | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     150000 | PA      | $117695.38    | 0.02%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7590                                                           | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1539204 | PA      | $1350824.62   | 0.19%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0849                                                           | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      95643 | PA      | $79044.00     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corporation                                               | BRK 4.25 01/15/49                                                   | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     150000 | PA      | $121848.11    | 0.02%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V4.705 01/10/25 144A                                            | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $196564.00    | 0.03%             | 2025-01-10      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR4056                                                           | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81895 | PA      | $65311.58     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ9226                                                           | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83866 | PA      | $67065.08     | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC6303                                                           | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      93591 | PA      | $74483.62     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CL6051                                                           | CUSIP: 3617YDWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288561 | PA      | $249968.07    | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.65 11/20/40                                                    | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     398000 | PA      | $252635.43    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Houston Electric LLC                                              | CNP 3.35 04/01/51 AF                                                | CUSIP: 15189XAW8<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     131000 | PA      | $89537.82     | 0.01%             | 2051-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Benchmark 2019-B10 Mtg Tr                                                            | BMARK 2019-B10 A4                                                   | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $445547.55    | 0.06%             | 2062-03-17      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                                        | SBAP 2019-20D 1                                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      35487 | PA      | $32318.94     | 0.00%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-4                                                     | TPMT 2022-4 A1                                                      | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     558121 | PA      | $515840.64    | 0.07%             | 2062-09-25      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| MetLife Inc.                                                                         | MET 6.4 12/15/36                                                    | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92282.00     | 0.01%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR2644                                                           | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75881 | PA      | $60584.55     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC0161                                                           | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      84137 | PA      | $67155.75     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                    | JNJ 3.625 03/03/37                                                  | CUSIP: 478160CF9<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      70000 | PA      | $59843.78     | 0.01%             | 2037-03-03      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.2 03/15/28                                                   | CUSIP: 161175BK9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      90000 | PA      | $80644.15     | 0.01%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN BM4226                                                           | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612797 | PA      | $535327.65    | 0.07%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.35 06/01/40                                                 | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     130000 | PA      | $108677.93    | 0.02%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 3 02/15/27                                                      | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     220000 | PA      | $199650.00    | 0.03%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| FirstEnergy Corp.                                                                    | FE 3.9 07/15/27 B                                                   | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     340000 | PA      | $319297.40    | 0.04%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5019                                                           | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1830 | PA      | $1665.16      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.75 04/01/48                                                  | CUSIP: 161175BN3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     120000 | PA      | $96249.75     | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                      | DANBNK 3.875 09/12/23 144A                                          | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     400000 | PA      | $391605.28    | 0.05%             | 2023-09-12      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 4.65 07/23/48                                                     | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24075.05     | 0.00%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                                                          | WMT 1.8 09/22/31                                                    | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      40000 | PA      | $31634.23     | 0.00%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5148 BI                                                         | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     843123 | PA      | $121135.30    | 0.02%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Company, Inc.                                                   | DUK 2.5 03/15/31                                                    | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |      41000 | PA      | $32134.19     | 0.00%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 2.375 07/15/31                                                  | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     316000 | PA      | $235553.63    | 0.03%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4.15 10/15/28                                                 | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     540000 | PA      | $506599.46    | 0.07%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-H04 FP                                                     | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     189458 | PA      | $185472.83    | 0.03%             | 2069-06-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 1.433 02/04/24                                                   | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     110000 | PA      | $104401.58    | 0.01%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2.3 05/15/31                                                    | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24043.17     | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co.                                                                 | EMR 2.8 12/21/51                                                    | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |     560000 | PA      | $345223.20    | 0.05%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 3.1 01/12/32                                                     | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      60000 | PA      | $45664.56     | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.488 05/12/26 144A                                            | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $237367.41    | 0.03%             | 2026-05-12      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.658 05/24/28                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      70000 | PA      | $66033.55     | 0.01%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FNA 2013-M6 1AC                                                     | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      49233 | PA      | $45419.86     | 0.01%             | 2043-02-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 3.6 05/14/25                                                   | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38383.20     | 0.01%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program 2018-B TR                                             | SOFI 2018-B A2FX                                                    | CUSIP: 83404RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      67529 | PA      | $65356.39     | 0.01%             | 2047-08-25      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6217                                                           | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82533 | PA      | $70438.66     | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WHITEBOX CLO II LTD                                                                  | WBOX 2020-2A A1R                                                    | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     290000 | PA      | $277244.70    | 0.04%             | 2034-10-24      | Floating      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.05 03/15/42 144A                                              | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21947.85     | 0.00%             | 2042-03-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN MA2773                                                           | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494372 | PA      | $452070.62    | 0.06%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 4.75 12/07/46 MTN                                               | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     370000 | PA      | $285556.53    | 0.04%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1428                                                           | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64939 | PA      | $59514.54     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8636                                                           | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29804 | PA      | $27384.93     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.98 03/20/30                                                    | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     550000 | PA      | $484595.96    | 0.07%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5073                                                           | CUSIP: 3140J9T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548228 | PA      | $477793.54    | 0.07%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Paypal Holdings Incorporation                                                        | PYPL 2.3 06/01/30                                                   | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     150000 | PA      | $120924.06    | 0.02%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.25 05/15/51                                                   | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     390000 | PA      | $264701.45    | 0.04%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Adobe Inc                                                                            | ADBE 2.3 02/01/30                                                   | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |     200000 | PA      | $166212.00    | 0.02%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORTAION TRUST                                             | GSMS 2020-DUNE A                                                    | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     960000 | PA      | $938676.58    | 0.13%             | 2036-12-15      | Floating      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM7486                                                           | CUSIP: 3617JYJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135179 | PA      | $124682.18    | 0.02%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-123 IL                                                     | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      80744 | PA      | $11806.50     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5398                                                           | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95210 | PA      | $88982.10     | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nuveen LLC                                                                           | TIAAGL 4 11/01/28 144A                                              | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $91501.82     | 0.01%             | 2028-11-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.45 02/01/50                                                 | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      60000 | PA      | $40516.40     | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-181 WI                                                     | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     404006 | PA      | $44662.59     | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 2.1 05/12/31                                                   | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      80000 | PA      | $64047.17     | 0.01%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.875 04/15/30                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     580000 | PA      | $513067.48    | 0.07%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC4818                                                           | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      90776 | PA      | $74887.60     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1                                            | EFMT 2022-1 A1                                                      | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190687 | PA      | $150908.89    | 0.02%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Pepsico Inc                                                                          | PEP 1.625 05/01/30                                                  | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      40000 | PA      | $31809.67     | 0.00%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 2.35 05/06/25                                                    | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27680.91     | 0.00%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NQM1 TRUST                                                                 | CSMC 2022-NQM1 A1                                                   | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700262 | PA      | $571757.96    | 0.08%             | 2066-11-25      | Fixed         | 2.27%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8171                                                           | CUSIP: 3140XCCH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD0958                                                           | CUSIP: 3132DNB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     163564 | PA      | $144850.85    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNS 409 C18                                                         | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8523 | PA      | $1452.03      | 0.00%             | 2042-04-01      | Fixed         |  | No            |                  2 | On Loan: No      |
| Danone SA                                                                            | BNFP 2.947 11/02/26 144A                                            | CUSIP: 23636TAE0<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $182742.56    | 0.03%             | 2026-11-02      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.908 07/23/25                                                 | CUSIP: 161175AY0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     570000 | PA      | $553368.96    | 0.08%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-3 IO                                                       | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      98635 | PA      | $5382.21      | 0.00%             | 2061-02-16      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1112                                                           | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289953 | PA      | $231735.48    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.5 08/10/33                                                     | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1060000 | PA      | $944385.33    | 0.13%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V4.223 05/01/29                                                  | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1530000 | PA      | $1384179.91   | 0.19%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.937 09/21/28                                                 | CUSIP: 10373QAC4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     240000 | PA      | $222817.56    | 0.03%             | 2028-09-21      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                      | CAMLNG 3.302 01/15/35 144A                                          | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     480000 | PA      | $374937.94    | 0.05%             | 2035-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8149                                                           | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198519 | PA      | $178001.97    | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA4142                                                           | CUSIP: 3133KKS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     156450 | PA      | $129889.09    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9710                                                           | CUSIP: 3140XDYG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22786 | PA      | $20406.96     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0892                                                           | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     351984 | PA      | $280694.56    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 1.7 05/28/30                                                    | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $79653.82     | 0.01%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 1.2 06/03/27                                                   | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     380000 | PA      | $323293.14    | 0.05%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 3.8 06/01/24                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     130000 | PA      | $125287.50    | 0.02%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Kazakhstan (Republic Of)                                                             | KAZAKS 4.875 10/14/44 REGS                                          | CUSIP: Y7276LDD7<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |     600000 | PA      | $459646.81    | 0.06%             | 2044-10-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1877                                                           | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2528 | PA      | $2152.12      | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                                    | TWC 8.375 07/15/33                                                  | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     170000 | PA      | $179712.92    | 0.03%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BHP Billiton Finance (USA) Ltd.                                                      | BHP 5 09/30/43                                                      | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |     160000 | PA      | $146412.69    | 0.02%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                       | ARMT 2005-9 5A1                                                     | CUSIP: 007036SE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     102878 | PA      | $100163.73    | 0.01%             | 2035-11-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| American International Group, Inc.                                                   | AIG 2.5 06/30/25                                                    | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      40000 | PA      | $37160.13     | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chile (Republic of)                                                                  | CHILE 3.1 01/22/61                                                  | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     310000 | PA      | $173313.47    | 0.02%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| Continental Resources, Inc.                                                          | CLR 4.5 04/15/23                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89625.60     | 0.01%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                                | FCX 5.45 03/15/43                                                   | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |      80000 | PA      | $65720.00     | 0.01%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Company                                                          | EXC 3.85 03/15/52 133                                               | CUSIP: 202795JV3<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      32000 | PA      | $23800.25     | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6342                                                           | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319070 | PA      | $264080.29    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 5.875 09/18/23                                               | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       7000 | PA      | $6886.60      | 0.00%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 5.125 07/20/45                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     271000 | PA      | $233056.99    | 0.03%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.25 11/15/31                                                  | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     560000 | PA      | $423994.80    | 0.06%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FH 841077                                                           | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190369 | PA      | $182887.41    | 0.03%             | 2047-11-01      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction, LLC                                                        | SPLLLC 5.625 03/01/25                                               | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1099000 | PA      | $1094418.57   | 0.15%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.54 05/01/28                                                  | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     428000 | PA      | $384920.70    | 0.05%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR4722                                                           | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79009 | PA      | $63081.40     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6134                                                           | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108144 | PA      | $97416.51     | 0.01%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Company                                                               | TE 4.45 06/15/49                                                    | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |      17000 | PA      | $13628.13     | 0.00%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G60972                                                           | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21134 | PA      | $20230.35     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6332                                                           | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     188501 | PA      | $149665.30    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786095                                                           | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196696 | PA      | $167510.39    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-29 TI                                                      | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     475493 | PA      | $81610.50     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7312                                                           | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1948490 | PA      | $1658714.66   | 0.23%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QA7256                                                           | CUSIP: 3133A2BZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.02         | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR3257                                                           | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80209 | PA      | $64487.54     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                              | HEAT 2006-4 2A4                                                     | CUSIP: 437084VN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     388253 | PA      | $374630.86    | 0.05%             | 2036-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2016-C02 1M2                                                    | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     166350 | PA      | $171876.44    | 0.02%             | 2028-09-25      | Floating      | 9.08%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 4.3 03/01/28                                                    | CUSIP: 49456BAP6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     350000 | PA      | $327201.00    | 0.05%             | 2028-03-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.6 04/15/48                                                  | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24731.38     | 0.00%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Textron Inc.                                                                         | TXT 3.9 09/17/29                                                    | CUSIP: 883203CA7<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |     256000 | PA      | $225727.66    | 0.03%             | 2029-09-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3619                                                           | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9898 | PA      | $9348.05      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5137                                                           | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23396 | PA      | $21908.08     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.419 12/20/28                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $529655.44    | 0.07%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                         | BX 2021-SOAR A                                                      | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     664963 | PA      | $630830.63    | 0.09%             | 2038-06-15      | Floating      | 3.27%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7675                                                           | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154565 | PA      | $127770.26    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6597                                                           | CUSIP: 3140XAKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346494 | PA      | $286402.63    | 0.04%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR8518                                                           | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78499 | PA      | $62819.43     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR4756                                                           | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76135 | PA      | $60786.58     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2016-C03 1M2                                                    | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     183855 | PA      | $189512.92    | 0.03%             | 2028-10-25      | Floating      | 8.38%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 4 03/27/27 144A                                              | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     320000 | PA      | $294189.71    | 0.04%             | 2027-03-27      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2013-54 BS                                                      | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      19690 | PA      | $1938.64      | 0.00%             | 2043-06-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 3.875 10/27/27 144A                                          | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      70000 | PA      | $63001.68     | 0.01%             | 2027-10-27      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.999 11/01/49                                                | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     240000 | PA      | $177383.45    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5652                                                           | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19527 | PA      | $18772.94     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V5.198 01/10/30 144a                                            | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $272553.59    | 0.04%             | 2030-01-10      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.578 04/22/27                                                 | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     530000 | PA      | $455827.94    | 0.06%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7987                                                           | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272770 | PA      | $216874.58    | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.699 01/22/31 GMTN                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     620000 | PA      | $496464.03    | 0.07%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors, Inc.                                               | MLMI 2004-WMC5 M1                                                   | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     165614 | PA      | $158445.70    | 0.02%             | 2035-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| EOG Resources, Inc.                                                                  | EOG 3.9 04/01/35                                                    | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     180000 | PA      | $153483.47    | 0.02%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2832                                                           | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232208 | PA      | $212338.15    | 0.03%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HILDENE COMMUNITY FUNDING LTD                                                        | HCOMF 2015-1A ARR                                                   | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $401615.65    | 0.06%             | 2035-11-01      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.4 02/12/52                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     930000 | PA      | $634559.11    | 0.09%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV5373                                                           | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95089 | PA      | $78333.19     | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA9390                                                           | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6876                                                           | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91634 | PA      | $84527.45     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                             | COXENT 2.95 10/01/50 144A                                           | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     119000 | PA      | $67515.43     | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 1.571 04/15/23                                                  | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9860.60      | 0.00%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                  | BNS 1.3 06/11/25                                                    | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     120000 | PA      | $107716.98    | 0.02%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.141 03/15/52 144A                                             | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     500000 | PA      | $349109.21    | 0.05%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Cintas Corporation No. 2                                                             | CTAS 4 05/01/32                                                     | CUSIP: 17252MAQ3<br>LEI: 549300QVUQTTKMTE0G41 | Long             | DBT              | CORP              | US        |     120000 | PA      | $108611.69    | 0.02%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-144 IO                                                     | CUSIP: 38382JVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     148118 | PA      | $19518.06     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7525                                                           | CUSIP: 3132DVLE3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |       2806 | PA      | $2330.82      | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic of)                                                                | URUGUA 4.375 01/23/31                                               | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     170000 | PA      | $161742.56    | 0.02%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB2892                                                           | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100175 | PA      | $89793.82     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5877                                                           | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25420 | PA      | $24359.77     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-NQM1                                        | NRZT 2019-NQM4 A1                                                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      99513 | PA      | $89656.40     | 0.01%             | 2059-09-25      | Floating      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SC0269                                                           | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     190368 | PA      | $156877.40    | 0.02%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 4.75 05/15/42                                                   | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     440000 | PA      | $359410.99    | 0.05%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2115                                                           | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92838 | PA      | $78854.55     | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                                | DUK 7.75 03/01/31                                                   | CUSIP: 743263AE5<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |     180000 | PA      | $197503.99    | 0.03%             | 2031-03-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN BS8439                                                           | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44883 | PA      | $40905.20     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.839 03/20/60                                                  | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     120000 | PA      | $85733.99     | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 5.5 09/13/25                                                      | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     120000 | PA      | $118947.82    | 0.02%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 4.25 09/01/24                                                   | CUSIP: 494550BV7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97627.24     | 0.01%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2016                                                       | TPMT 2016-3 B1                                                      | CUSIP: 89172YAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     190000 | PA      | $178570.09    | 0.02%             | 2056-04-25      | Floating      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3347                                                           | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139499 | PA      | $125824.84    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4 03/15/28                                                     | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     200000 | PA      | $180929.78    | 0.03%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5078                                                           | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144613 | PA      | $135453.39    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                    | JNJ 2.1 09/01/40                                                    | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     350000 | PA      | $229915.43    | 0.03%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park Clo Ltd/Pt Au Roche Park Clo Llc                                 | PARPK 2021-1A A                                                     | CUSIP: 73052VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     620000 | PA      | $593819.07    | 0.08%             | 2034-07-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5529                                                           | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65800 | PA      | $63235.89     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.8 02/15/27                                                      | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     170000 | PA      | $159225.50    | 0.02%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES PASS THROUGH TRUSTS                                                  | UAL 4.875 01/15/26                                                  | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      49530 | PA      | $45967.64     | 0.01%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 4.4 03/24/51                                                   | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     213000 | PA      | $159690.27    | 0.02%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 5.2 03/01/48                                                    | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      60000 | PA      | $49137.23     | 0.01%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 2.9 06/25/25                                                    | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     380000 | PA      | $344150.86    | 0.05%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                                     | BNSF 3.3 09/15/51                                                   | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     189000 | PA      | $128976.21    | 0.02%             | 2051-09-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1805                                                           | CUSIP: 3140QMAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     616099 | PA      | $509122.35    | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8620                                                           | CUSIP: 3140XCSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72877 | PA      | $62875.50     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                                         | NSC 3 03/15/32                                                      | CUSIP: 655844CM8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     105000 | PA      | $86937.09     | 0.01%             | 2032-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| OWL ROCK CLO LTD                                                                     | OR 2020-3A A1L                                                      | CUSIP: 691204AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $262358.24    | 0.04%             | 2032-04-20      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Nike, Inc.                                                                           | NKE 2.85 03/27/30                                                   | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     100000 | PA      | $86740.32     | 0.01%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: —       |
| Intel Corporation                                                                    | INTC 4.75 03/25/50                                                  | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     150000 | PA      | $121548.03    | 0.02%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                | KO 3.375 03/25/27                                                   | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     280000 | PA      | $265878.71    | 0.04%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BS8420                                                           | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75430 | PA      | $71723.99     | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5013 IN                                                         | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      86627 | PA      | $13550.33     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.6 07/15/41                                                    | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     220000 | PA      | $200955.40    | 0.03%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4.75 03/08/44 MTN                                               | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1750000 | PA      | $1326658.92   | 0.19%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA1084                                                           | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      53618 | PA      | $51132.38     | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BP2389                                                           | CUSIP: 3140K9UP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45185 | PA      | $42598.33     | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 3.7 07/29/25                                                   | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19414.45     | 0.00%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 2.8 03/01/27                                                     | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      40000 | PA      | $34662.69     | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| BALLYROCK CLO LTD                                                                    | BALLY 2019-2A A1BR                                                  | CUSIP: 05875MAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243441.18    | 0.03%             | 2030-11-20      | Floating      | 2.68%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2021-RPL3 A1                                                   | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     131905 | PA      | $113473.21    | 0.02%             | 2060-01-25      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR7802                                                           | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107348 | PA      | $85557.77     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Kimco Realty Corporation                                                             | KIM 4.6 02/01/33                                                    | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |      41000 | PA      | $36285.82     | 0.01%             | 2033-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BC9077                                                           | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67997 | PA      | $61136.99     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4751                                                           | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78272 | PA      | $71279.19     | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Company                                                    | PXD 1.9 08/15/30                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     150000 | PA      | $115255.26    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN MA4120                                                           | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59148 | PA      | $48912.67     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.593 07/21/28 GMTN                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     160000 | PA      | $143690.44    | 0.02%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                          | PEP 2.25 03/19/25                                                   | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9420.70      | 0.00%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.023 12/05/24                                                 | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     470000 | PA      | $461123.32    | 0.06%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                                  | TMST 2004-2 A4                                                      | CUSIP: 885220FH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     271637 | PA      | $243583.55    | 0.03%             | 2044-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 4.05 08/18/29                                                  | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     300000 | PA      | $276927.21    | 0.04%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 8.75 06/02/29                                                 | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      66000 | PA      | $58805.62     | 0.01%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                          | LMAT 2021-GS2 A1                                                    | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     293623 | PA      | $271388.98    | 0.04%             | 2061-04-25      | Floating      | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7210                                                           | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.41 02/11/26                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18927.46     | 0.00%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G67721                                                           | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45156 | PA      | $43206.75     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds TREAS PRT PRMR                                    | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |      52057 | NS      | $52056.65     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Paramount Global                                                                     | PARA 5.85 09/01/43                                                  | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      70000 | PA      | $56953.14     | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2020-M36 X1                                                     | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     554049 | PA      | $44631.33     | 0.01%             | 2034-09-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5010 JI                                                         | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     332317 | PA      | $51360.09     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.58 04/22/32                                                  | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     320000 | PA      | $246045.65    | 0.03%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.5 09/15/53                                                      | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     363000 | PA      | $232984.25    | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                                                  | SYF 3.7 08/04/26                                                    | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3593.65      | 0.00%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN BN1623                                                           | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42225 | PA      | $40282.13     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.125 07/01/50                                                  | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     290000 | PA      | $190570.87    | 0.03%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 0.8 05/28/25                                                    | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     160000 | PA      | $145061.07    | 0.02%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $920804.65    | 0.13%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1900000 | PA      | $1699144.33   | 0.24%             | 2052-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AY6181                                                           | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-160 IH                                                     | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      85541 | PA      | $12679.30     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0434                                                           | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92296 | PA      | $76851.07     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 4.054 03/15/29 144A                                             | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     140000 | PA      | $118950.88    | 0.02%             | 2029-03-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5984                                                           | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163817 | PA      | $160159.72    | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                                   | EXC 4.7 04/15/50                                                    | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      79000 | PA      | $63525.73     | 0.01%             | 2050-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 2.992 03/19/25                                                  | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     300000 | PA      | $287032.91    | 0.04%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 2.25 07/01/30                                                   | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80553.16     | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                        | ICE 4.6 03/15/33                                                    | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91702.49     | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0560                                                           | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287346 | PA      | $229737.03    | 0.03%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd.                                                 | OCT21 2014-1A AAR3                                                  | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $253178.17    | 0.04%             | 2031-02-14      | Floating      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Np Spe X Lp 2019-2                                                                   | NPRL 2021-1A A1                                                     | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     779408 | PA      | $666092.41    | 0.09%             | 2051-03-19      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AU6735                                                           | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83196 | PA      | $72977.10     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 5 01/21/44 MTN                                                  | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     170000 | PA      | $145143.70    | 0.02%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander, S.A.                                                                | SANTAN 2.746 05/28/25                                               | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $725642.15    | 0.10%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM2745                                                           | CUSIP: 3140X6BP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29343 | PA      | $27754.81     | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 4.2 03/15/48                                                    | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     230000 | PA      | $182383.56    | 0.03%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepsico Inc                                                                          | PEP 2.875 10/15/49                                                  | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |      40000 | PA      | $27106.36     | 0.00%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                                  | NRZT 2018-RPL1 M2                                                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     280000 | PA      | $219854.32    | 0.03%             | 2057-12-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3773                                                           | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196745 | PA      | $176734.20    | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2523                                                           | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235499 | PA      | $213610.15    | 0.03%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.625 08/15/26                                                   | CUSIP: 92343VDD3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9094.73      | 0.00%             | 2026-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 3.482 03/19/30                                                  | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     120000 | PA      | $108748.85    | 0.02%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| The Procter & Gamble Company                                                         | PG 2.8 03/25/27                                                     | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18439.83     | 0.00%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6823                                                           | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8552 | PA      | $8223.52      | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 2.35 01/08/31                                                    | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     110000 | PA      | $80527.75     | 0.01%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6184                                                           | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396234 | PA      | $317830.99    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6448                                                           | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265610 | PA      | $211282.33    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-123 NI                                                     | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     163518 | PA      | $22704.40     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RB5125                                                           | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     631481 | PA      | $520379.73    | 0.07%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-R6                                                                    | CIM 2021-R6 A1                                                      | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     278029 | PA      | $242612.79    | 0.03%             | 2061-07-25      | Floating      | 1.43%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FH 841076                                                           | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688569 | PA      | $644803.39    | 0.09%             | 2048-11-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7548                                                           | CUSIP: 3132DVL52<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    1765401 | PA      | $1463681.24   | 0.20%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRTX 2022-FL5 ISSUER, LTD                                                            | TRTX 2022-FL5 A                                                     | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     810000 | PA      | $778387.32    | 0.11%             | 2039-02-17      | Floating      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 2.1 05/01/30                                                     | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      70000 | PA      | $53357.31     | 0.01%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| The Coca-Cola Company                                                                | KO 2.6 06/01/50                                                     | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |      80000 | PA      | $50681.42     | 0.01%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.75 04/15/27                                                  | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18451.12     | 0.00%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GCI FUNDING I LLC                                                                    | GCI 2021-1 A                                                        | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     543705 | PA      | $456260.08    | 0.06%             | 2046-06-18      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-32 PI                                                      | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      94630 | PA      | $18994.06     | 0.00%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V1.512 07/20/27 GMTN                                             | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     119000 | PA      | $100900.69    | 0.01%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8864                                                           | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268959 | PA      | $222258.14    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                    | STWD 2022-FL3 A                                                     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     430000 | PA      | $413360.03    | 0.06%             | 2038-11-18      | Floating      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Chevron Corporation                                                                  | CVX 1.995 05/11/27                                                  | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40000 | PA      | $35375.17     | 0.00%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2.75 05/15/40                                                   | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      90000 | PA      | $61708.64     | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO 2013-2 Ltd.                                                         | BLUEM 2013-2A A1R                                                   | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |     245096 | PA      | $240459.68    | 0.03%             | 2030-10-22      | Floating      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 6.6 03/15/46                                                    | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147642.75    | 0.02%             | 2046-03-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-31 IB                                                      | CUSIP: 3136BHXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     130878 | PA      | $25968.73     | 0.00%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0837                                                           | CUSIP: 3132DM4W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      68428 | PA      | $59266.15     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust-2017                                             | NRZT 2017-2A B2                                                     | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     257807 | PA      | $237098.49    | 0.03%             | 2057-03-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC0160                                                           | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      76500 | PA      | $61195.86     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 2.9 07/26/24                                                    | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     192000 | PA      | $185677.27    | 0.03%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                                                    | JNJ 0.95 09/01/27                                                   | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     150000 | PA      | $126924.89    | 0.02%             | 2027-09-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR3286                                                           | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79947 | PA      | $64053.61     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-21 AH                                                      | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     452026 | PA      | $343689.76    | 0.05%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA3913                                                           | CUSIP: 3133KKK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     938999 | PA      | $778955.18    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4 03/01/48                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15048.16     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 5.1 02/15/45                                                    | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83993.82     | 0.01%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 5.5 03/01/44                                                    | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8447.09      | 0.00%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.947 02/24/28                                                 | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     434000 | PA      | $381898.62    | 0.05%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1031                                                           | CUSIP: 3140XGED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52702 | PA      | $47439.68     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AM8700                                                           | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19112 | PA      | $16924.32     | 0.00%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0034                                                           | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93864 | PA      | $81048.04     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $2897649.32   | 0.40%             | 2052-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Company                                                            | KHC 3 06/01/26                                                      | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     102000 | PA      | $94137.55     | 0.01%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8786                                                           | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272595 | PA      | $224882.80    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5230 PE                                                         | CUSIP: 3137H7XD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     300000 | PA      | $228827.10    | 0.03%             | 2051-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 4.2 08/26/24 MTN                                                | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      60000 | PA      | $58673.24     | 0.01%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD V5.375 02/15/78                                                 | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      50000 | PA      | $36222.47     | 0.01%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1635                                                           | CUSIP: 3140XGY94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57994 | PA      | $55029.21     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Centerpoint Energy Houston Electric LLC                                              | CNP 4.85 10/01/52 AJ                                                | CUSIP: 15189XBA5<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     100000 | PA      | $88034.59     | 0.01%             | 2052-10-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 5.05 03/25/48                                                   | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     540000 | PA      | $458699.48    | 0.06%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V2.593 09/11/25 144A                                             | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $222013.96    | 0.03%             | 2025-09-11      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SLM Private Cr Student Loan Trust                                                    | SLMA 2006-B A5                                                      | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | USGA              | US        |     193105 | PA      | $181586.11    | 0.03%             | 2039-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C 3.3 04/27/25                                                      | CUSIP: 172967JP7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     180000 | PA      | $170797.77    | 0.02%             | 2025-04-27      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K736 X1                                                        | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     971271 | PA      | $36439.84     | 0.01%             | 2026-07-25      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784825                                                           | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12962 | PA      | $11731.65     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 6.95 07/01/24                                                   | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204922.00    | 0.03%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Carrier Global Corporation                                                           | CARR 3.577 04/05/50                                                 | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |      10000 | PA      | $6708.12      | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.5 06/01/50                                                  | CUSIP: 035240AT7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     430000 | PA      | $351008.45    | 0.05%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-H13 FM                                                     | CUSIP: 38380QGX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     176174 | PA      | $173851.42    | 0.02%             | 2070-08-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 4.875 01/18/24                                                | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      19000 | PA      | $18477.12     | 0.00%             | 2024-01-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 3.7 05/09/23                                                     | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |       7000 | PA      | $6933.58      | 0.00%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.25 12/01/26                                                  | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      80000 | PA      | $73365.00     | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                                                                      | FOXA 5.476 01/25/39                                                 | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     450000 | PA      | $386446.89    | 0.05%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| PRKCM 2021-AFC2 TRUST                                                                | PRKCM 2021-AFC2 A1                                                  | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     190165 | PA      | $151403.31    | 0.02%             | 2056-11-25      | Floating      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8149                                                           | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -200000 | PA      | $-179329.54   | -0.03%            | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                                                 | OTIS 2.056 04/05/25                                                 | CUSIP: 68902VAH0<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46258.58     | 0.01%             | 2025-04-05      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Orbia Advance Corp S A B De Cv                                                       | ORBIA 2.875 05/11/31 144A                                           | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     270000 | PA      | $199413.20    | 0.03%             | 2031-05-11      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.25 11/21/49                                                  | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     350000 | PA      | $271532.99    | 0.04%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-74 EI                                                      | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      79619 | PA      | $13501.55     | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 2.7 04/15/30                                                     | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      80000 | PA      | $67890.86     | 0.01%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2047                                                           | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74925 | PA      | $71950.55     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Williams Partners L.P.                                                               | WMB 4.85 03/01/48                                                   | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     110000 | PA      | $87798.73     | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| VENTURE 31 CLO LTD                                                                   | VENTR 2018-31A A1                                                   | CUSIP: 92331VAA6<br>LEI: 549300WIVX6V4NHW6X79 | Long             | ABS-CBDO         | CORP              | KY        |     410000 | PA      | $398684.12    | 0.06%             | 2031-04-20      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $294783.54    | 0.04%             | 2052-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     800000 | PA      | $757250.00    | 0.11%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 2.125 09/15/31                                                  | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     130000 | PA      | $99476.33     | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5140 NI                                                         | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     370661 | PA      | $51345.61     | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4600000 | PA      | $3897453.78   | 0.54%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.25 11/01/39                                                 | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      20000 | PA      | $14478.28     | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ABPCI DIRECT LENDING FUND CLO LP                                                     | ABPCI 2020-10A A1A                                                  | CUSIP: 000848AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $391845.04    | 0.05%             | 2032-01-20      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-3 QI                                                       | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     752112 | PA      | $114151.00    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 2.196 02/04/26                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     390000 | PA      | $344640.99    | 0.05%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                                      | HERTZ 2021-1A C                                                     | CUSIP: 42806MAC3<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |     420000 | PA      | $376115.12    | 0.05%             | 2025-12-25      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8577                                                           | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341402 | PA      | $295401.11    | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1218                                                           | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     526986 | PA      | $489294.32    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                  | CGCMT 2017-C4 A4                                                    | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     420000 | PA      | $377671.98    | 0.05%             | 2050-10-14      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V3.772 01/24/29 GMTN                                             | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     300000 | PA      | $267758.27    | 0.04%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                                             | SUNRN 2021-1A A                                                     | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     599130 | PA      | $485793.08    | 0.07%             | 2052-01-30      | Fixed         | 2.46%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.55 03/22/51                                                    | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     330000 | PA      | $222749.03    | 0.03%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V3.091 05/14/32 144A                                             | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $342944.54    | 0.05%             | 2032-05-14      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8315                                                           | CUSIP: 3140XCGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94721 | PA      | $77887.63     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4 05/15/29                                                      | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     160000 | PA      | $148754.14    | 0.02%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BC2817                                                           | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132459 | PA      | $115195.74    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.972 02/04/33                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     790000 | PA      | $612219.04    | 0.09%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3031                                                           | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376583 | PA      | $309101.03    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.376 04/27/28                                                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     430000 | PA      | $399865.62    | 0.06%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8166                                                           | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82047 | PA      | $70838.18     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.7 04/15/48                                                   | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     450000 | PA      | $335603.86    | 0.05%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN AB9108                                                           | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79122 | PA      | $70943.20     | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7534                                                           | CUSIP: 3132DVLP8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     403471 | PA      | $335518.08    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD0926                                                           | CUSIP: 3132DNA37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      92442 | PA      | $76178.02     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                    | NWG V5.076 01/27/30                                                 | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $178150.11    | 0.02%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 3.9 12/06/28                                                     | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9446.42      | 0.00%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                               | OCPMR 4.5 10/22/25 144A                                             | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |     200000 | PA      | $190365.60    | 0.03%             | 2025-10-22      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 5.15 05/22/45                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     410000 | PA      | $332747.76    | 0.05%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN 890827                                                           | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598619 | PA      | $555046.81    | 0.08%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.15 12/15/24                                                   | CUSIP: 75513EBX8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48031.86     | 0.01%             | 2024-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2022-DNA4 M1A                                                 | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     231928 | PA      | $229318.82    | 0.03%             | 2042-05-27      | Floating      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 4.5 06/01/42                                                    | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25498.22     | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BL2454                                                           | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57278 | PA      | $51884.18     | 0.01%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5509                                                           | CUSIP: 3140JADP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50882 | PA      | $49904.48     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Williams Partners LP / Williams Partners Finance Corporation                         | WMB 4.9 01/15/45                                                    | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     440000 | PA      | $350281.23    | 0.05%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.375 05/01/47                                                 | CUSIP: 161175BL7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      20000 | PA      | $15384.39     | 0.00%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust 2017-2                                                    | NAVSL 2017-2A A                                                     | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     105518 | PA      | $103767.57    | 0.01%             | 2066-12-27      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 2.93 01/15/25                                                   | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      40000 | PA      | $38133.72     | 0.01%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5762                                                           | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45314 | PA      | $41293.82     | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5818                                                           | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32631 | PA      | $31339.14     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain Clo 2015-3 Limited/Llc                                                  | BLUEM 2015-3A A1R                                                   | CUSIP: 09628JAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $242911.15    | 0.03%             | 2031-04-21      | Floating      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 4.25 08/22/57                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     240000 | PA      | $193226.81    | 0.03%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Israel (State Of)                                                                    | ISRAEL 4.5 04/03/20                                                 | CUSIP: 46513JB59<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     220000 | PA      | $166302.05    | 0.02%             | 2120-04-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ9257                                                           | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28746 | PA      | $27524.82     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 4.55 09/15/32 144A                                           | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     120000 | PA      | $113153.86    | 0.02%             | 2032-09-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BH4095                                                           | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10748 | PA      | $9946.78      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BK9818                                                           | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18011 | PA      | $17637.19     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 1.875 02/28/31                                                  | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30352.03     | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN BP2319                                                           | CUSIP: 3140K9SH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112609 | PA      | $96743.67     | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4925                                                           | CUSIP: 3140X8PK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54271 | PA      | $46593.96     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XIV Ltd / Octagon Investment Partners XIV LLC            | OCT14 2012-1A AARR                                                  | CUSIP: 67590ABP6<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | KY        |    1442518 | PA      | $1413674.88   | 0.20%             | 2029-07-16      | Floating      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Applied Materials Inc.                                                               | AMAT 1.75 06/01/30                                                  | CUSIP: 038222AN5<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     210000 | PA      | $165640.10    | 0.02%             | 2030-06-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                            | TPMT 2020-2 M1B                                                     | CUSIP: 89176UAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     240000 | PA      | $176854.82    | 0.02%             | 2060-04-25      | Floating      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                                       | MSC 2019-BPR A                                                      | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     359482 | PA      | $344111.94    | 0.05%             | 2036-05-15      | Floating      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7509                                                           | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     151436 | PA      | $130634.49    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 3.65 12/01/27                                                   | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     300000 | PA      | $276869.24    | 0.04%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                             | LLOYDS 4.375 03/22/28                                               | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     290000 | PA      | $257969.05    | 0.04%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.5 06/01/41                                                   | CUSIP: 161175BZ6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     300000 | PA      | $189514.31    | 0.03%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC0041                                                           | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      78424 | PA      | $62614.64     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.5 06/01/27 *                                                   | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     130000 | PA      | $126507.33    | 0.02%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 2.625 04/01/30                                                  | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     270000 | PA      | $230539.68    | 0.03%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2 11/15/41                                                        | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1060000 | PA      | $722621.88    | 0.10%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD4152                                                           | CUSIP: 3133B1TH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      96472 | PA      | $76516.71     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 25(M)-R LTD                                               | GOCAP 2015-25A AR                                                   | CUSIP: 38175NAA6<br>LEI: 254900XWTZJ46JGSP919 | Long             | ABS-CBDO         | CORP              | KY        |     587316 | PA      | $580295.26    | 0.08%             | 2030-05-05      | Floating      | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 3.5 11/13/23                                                 | CUSIP: 822582BZ4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     170000 | PA      | $167614.76    | 0.02%             | 2023-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2021-B27 XA                                                   | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5244724 | PA      | $373452.13    | 0.05%             | 2054-07-17      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-69 IJ                                                      | CUSIP: 3136BJPW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     858098 | PA      | $125729.15    | 0.02%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corporation                                                         | COST 1.375 06/20/27                                                 | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |     190000 | PA      | $163586.78    | 0.02%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG New York Branch                                                     | CS 1 05/05/23                                                       | CUSIP: 22550L2D2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |     920000 | PA      | $892074.59    | 0.12%             | 2023-05-05      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 7 02/01/30                                                      | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     150000 | PA      | $153757.50    | 0.02%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES 3.1 02/01/25                                                    | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      50000 | PA      | $47523.50     | 0.01%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 4.327 03/19/50                                                  | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8306.39      | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                     | BMO 1.85 05/01/25 MTN                                               | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     210000 | PA      | $192942.04    | 0.03%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: —       |
| Coterra Energy Inc                                                                   | CTRA 3.9 05/15/27 144A                                              | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     280000 | PA      | $257943.59    | 0.04%             | 2027-05-15      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 3 10/29/28                                                      | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |     400000 | PA      | $323148.28    | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V2.746 02/11/33 144A                                            | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $143911.49    | 0.02%             | 2033-02-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                                             | RILIN 3.625 01/12/52 144A                                           | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     450000 | PA      | $264143.77    | 0.04%             | 2052-01-12      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 4.3 07/15/29 144A                                               | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     273000 | PA      | $238162.21    | 0.03%             | 2029-07-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.125 07/31/29                                                  | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     134000 | PA      | $115188.01    | 0.02%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Tennessee Gas Pipeline Company                                                       | KMI 2.9 03/01/30 144A                                               | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     390000 | PA      | $317508.34    | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 1.125 05/01/23                                                   | CUSIP: 718172CQ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      70000 | PA      | $68643.60     | 0.01%             | 2023-05-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC7127                                                           | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92053 | PA      | $73259.86     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5224 HL                                                         | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     500000 | PA      | $440350.70    | 0.06%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sinopec Group Overseas Development (2014) Ltd.                                       | SINOPE 4.375 04/10/24 144A                                          | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | CORP              | VG        |     290000 | PA      | $287282.43    | 0.04%             | 2024-04-10      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                    | HSBC V2.099 06/04/26                                                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $175913.32    | 0.02%             | 2026-06-04      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V2.393 06/02/28 MTN                                             | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     130000 | PA      | $111044.74    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 0.8 06/03/25                                                   | CUSIP: 023135BQ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     130000 | PA      | $117433.79    | 0.02%             | 2025-06-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 2.3 11/21/22                                                   | CUSIP: 00287YBM0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     430000 | PA      | $429421.18    | 0.06%             | 2022-11-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $577359.37    | 0.08%             | 2052-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1685671.87   | 0.24%             | 2052-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 2.5 06/03/50                                                   | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     900000 | PA      | $534520.37    | 0.07%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                            | PRXNA 4.027 08/03/50 144A                                           | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     380000 | PA      | $203631.22    | 0.03%             | 2050-08-03      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     800000 | PA      | $776562.50    | 0.11%             | 2052-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2500000 | PA      | $2174707.03   | 0.30%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM4                                        | NRZT 2022-NQM4 A1                                                   | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     240223 | PA      | $231022.75    | 0.03%             | 2062-07-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1305                                                           | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      88689 | PA      | $85736.20     | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-89 DI                                                      | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     237422 | PA      | $35108.45     | 0.00%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3123                                                           | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154575 | PA      | $134791.26    | 0.02%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.75 04/01/40                                                 | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     180000 | PA      | $138626.47    | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.412 03/31/31                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     290000 | PA      | $258786.47    | 0.04%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Strctrd Asset Invt                                                                   | SAIL 2004-7 A8                                                      | CUSIP: 86358EKJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     193588 | PA      | $186428.67    | 0.03%             | 2034-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2179181.16   | 0.30%             | 2052-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Harborview Mtg Loan Trust                                                            | HVMLT 2005-9 2A1B                                                   | CUSIP: 41161PSL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     145225 | PA      | $130204.35    | 0.02%             | 2035-06-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 4.3 06/01/25                                                    | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      90000 | PA      | $87575.88     | 0.01%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA5379                                                           | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183657 | PA      | $174347.27    | 0.02%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA3882                                                           | CUSIP: 3133KKJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     167593 | PA      | $133549.05    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Company                                                              | AEE 3.25 03/15/50                                                   | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     106000 | PA      | $69724.59     | 0.01%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 2.9 05/15/30                                                    | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     178000 | PA      | $141648.00    | 0.02%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                           | CSMC 2021-RPL4 A1                                                   | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     161022 | PA      | $148909.65    | 0.02%             | 2060-12-27      | Floating      | 1.80%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                                  | NRZT 2021-NQM3 A1                                                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     179594 | PA      | $144214.47    | 0.02%             | 2056-11-27      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3521                                                           | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57242 | PA      | $52165.96     | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 5.625 01/23/46                                                | CUSIP: 71654QBX9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     620000 | PA      | $347162.80    | 0.05%             | 2046-01-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2124023.45   | 0.30%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7500000 | PA      | $6133938.75   | 0.86%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3803                                                           | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31827 | PA      | $28981.70     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                                | WFCM 2016-BNK1 B                                                    | CUSIP: 95000GBD5<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $241724.46    | 0.03%             | 2049-08-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                  | CGCMT 2014-GC23 B                                                   | CUSIP: 17322VAW6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     240000 | PA      | $227529.62    | 0.03%             | 2047-07-12      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.8 03/01/50                                                   | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      30000 | PA      | $21231.82     | 0.00%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7126                                                           | CUSIP: 3140XA4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company LLC                                              | TWC 6.55 05/01/37                                                   | CUSIP: 88732JAJ7<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44594.95     | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6659                                                           | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202321 | PA      | $193939.94    | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-6                                           | NRZT 2019-6A B3C                                                    | CUSIP: 64828GBQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     554360 | PA      | $473541.48    | 0.07%             | 2059-09-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 7.2 08/15/27                                                    | CUSIP: 75513EBY6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      26000 | PA      | $28191.66     | 0.00%             | 2027-08-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4282                                                           | CUSIP: 3140X7XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68972 | PA      | $61605.18     | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.375 11/15/40                                                    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $1976875.01   | 0.28%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0301                                                           | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409079 | PA      | $387892.90    | 0.05%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk5 206                                                                   | BANK 2017-BNK5 A4                                                   | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330000 | PA      | $295222.62    | 0.04%             | 2060-06-17      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                             | BMARK 2018-B2 A5                                                    | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     390000 | PA      | $356180.76    | 0.05%             | 2051-02-17      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.75 07/15/25                                                   | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48533.52     | 0.01%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3873                                                           | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91094 | PA      | $80649.77     | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Becton, Dickinson and Company                                                        | BDX 4.685 12/15/44                                                  | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      15000 | PA      | $12608.14     | 0.00%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 5.05 02/15/46                                                   | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32352.74     | 0.00%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                                  | SUZANO 6 01/15/29                                                   | CUSIP: 86964WAF9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    1150000 | PA      | $1096525.00   | 0.15%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 2.44 08/16/29                                                   | CUSIP: 30231GBE1<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     240000 | PA      | $205614.44    | 0.03%             | 2029-08-16      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR2641                                                           | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80007 | PA      | $64027.32     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5373                                                           | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     270289 | PA      | $214848.72    | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 3.55 03/10/51                                                  | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     180000 | PA      | $118516.13    | 0.02%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: —       |
| Oracle Corporation                                                                   | ORCL 3.65 03/25/41                                                  | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     601000 | PA      | $406996.98    | 0.06%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR6496                                                           | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78703 | PA      | $65526.56     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 11/15/51                                                    | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1059000 | PA      | $645079.92    | 0.09%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Walmart Inc                                                                          | WMT 2.375 09/24/29                                                  | CUSIP: 931142EQ2<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17104.92     | 0.00%             | 2029-09-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 3.95 01/31/60                                                   | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      70000 | PA      | $46489.60     | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6871                                                           | CUSIP: 3140XAT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88547 | PA      | $72857.65     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cayuga Park Clo Ltd / Llc                                                            | CYGPK 2020-1A AR                                                    | CUSIP: 149791AP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $422400.00    | 0.06%             | 2034-07-17      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Nike, Inc.                                                                           | NKE 3.375 03/27/50                                                  | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      20000 | PA      | $14583.24     | 0.00%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| McDonald's Corporation                                                               | MCD 3.3 07/01/25 MTN                                                | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      70000 | PA      | $67183.89     | 0.01%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| Composite Resins Holding (AOC/Aliancys)                                              | Composite Resins Holding (AOC/Aliancys) Term Loan B 375 2028-09-18  | CUSIP: 50216YAB6<br>LEI: 254900FPK7P5WNA66Y10 | Long             | LON              | CORP              | US        |      99500 | PA      | $94566.79     | 0.01%             | 2028-09-18      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5167 MI                                                         | CUSIP: 3137H3M33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      88608 | PA      | $11929.75     | 0.00%             | 2051-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.75 08/15/42                                                     | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2960000 | PA      | $2288334.38   | 0.32%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 4.4 06/14/46 MTN                                                | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      40000 | PA      | $29474.24     | 0.00%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Amgen Inc.                                                                           | AMGN 4.4 05/01/45                                                   | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16136.75     | 0.00%             | 2045-05-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.969 11/01/47                                                | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     140000 | PA      | $103693.17    | 0.01%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| CVS Health Corp                                                                      | CVS 3.75 04/01/30                                                   | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     300000 | PA      | $264906.55    | 0.04%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 04/01/25                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     140000 | PA      | $132646.04    | 0.02%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 3.2 11/21/29                                                   | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     880000 | PA      | $769172.95    | 0.11%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 3.8 03/15/25                                                   | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     410000 | PA      | $395498.01    | 0.06%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 4.4 02/14/26                                                     | CUSIP: 02209SBC6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     172000 | PA      | $165044.04    | 0.02%             | 2026-02-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Myers Park CLO Ltd                                                                   | MYERS 2018-1A B1                                                    | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     250000 | PA      | $235258.03    | 0.03%             | 2030-10-21      | Floating      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                                                     | BMO V3.803 12/15/32                                                 | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      40000 | PA      | $34296.35     | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V4.083 03/20/51 MTN                                             | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     450000 | PA      | $334313.96    | 0.05%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVDA 3.5 04/01/50                                                   | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     420000 | PA      | $296745.43    | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K-1517 X1                                                      | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     234911 | PA      | $24612.99     | 0.00%             | 2035-07-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.25 02/01/35                                                    | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     290000 | PA      | $204933.25    | 0.03%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                        | ED 3.95 04/01/50 20B                                                | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      20000 | PA      | $14718.68     | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN CA2482                                                           | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94872 | PA      | $91106.02     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2 05/15/30                                                      | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32060.68     | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                  | COMM 2020-CX A                                                      | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     290000 | PA      | $218513.93    | 0.03%             | 2046-11-10      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Small Business Administration                                                        | SBIC 2021-10A 1                                                     | CUSIP: 831641FR1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     223915 | PA      | $186780.33    | 0.03%             | 2031-03-10      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp.                                                                        | USB 1.45 05/12/25                                                   | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     250000 | PA      | $228445.86    | 0.03%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: —       |
| Johnson & Johnson                                                                    | JNJ 0.55 09/01/25                                                   | CUSIP: 478160CN2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71360.00     | 0.01%             | 2025-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                                                | MSFT 2.525 06/01/50                                                 | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     200000 | PA      | $125465.58    | 0.02%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Massmutual Global Funding II                                                         | MASSMU 0.85 06/09/23 144A                                           | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     330000 | PA      | $321944.23    | 0.04%             | 2023-06-09      | Fixed         | 0.85%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.125 05/15/60                                                  | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $12368.53     | 0.00%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 5.2 12/01/47                                                   | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80027.54     | 0.01%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA4819                                                           | CUSIP: 3140QCK96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82511 | PA      | $75934.71     | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Skymiles Ip Limited & Delta Air Lines Incorporated                                   | DAL 4.75 10/20/28 144A                                              | CUSIP: 830867AB3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | KY        |     260000 | PA      | $241874.41    | 0.03%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2749                                                           | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108712 | PA      | $94799.39     | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 4.8 08/15/38                                                     | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     210000 | PA      | $185048.71    | 0.03%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Paypal Holdings Incorporation                                                        | PYPL 4.4 06/01/32                                                   | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |      70000 | PA      | $64305.96     | 0.01%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| AT&T Inc                                                                             | T 5.55 08/15/41                                                     | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36587.50     | 0.01%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9299                                                           | CUSIP: 3140XDKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91429 | PA      | $72626.07     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp. (Calif)                                                        | TRGP 5.2 07/01/27                                                   | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     260000 | PA      | $250779.65    | 0.03%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 7.875 09/15/31                                                  | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     210000 | PA      | $228545.10    | 0.03%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Wells Fargo & Company                                                                | WFC V2.879 10/30/30 MTN                                             | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     250000 | PA      | $205115.80    | 0.03%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.55 03/21/31                                                    | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     420000 | PA      | $331893.74    | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Ares XLIV CLO Ltd.                                                                   | ARES 2017-44A A1R                                                   | CUSIP: 04016NAM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     460000 | PA      | $440354.46    | 0.06%             | 2034-04-17      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 4.85 03/15/44                                                   | CUSIP: 29379VBA0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      80000 | PA      | $65758.95     | 0.01%             | 2044-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3736                                                           | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63281 | PA      | $57695.54     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BP7009                                                           | CUSIP: 3140KEYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7525                                                           | CUSIP: 3132DVLE3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |     379944 | PA      | $315658.35    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1143                                                           | CUSIP: 3132DNHU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     185106 | PA      | $176324.88    | 0.02%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Spectrum Management Holding Company LLC                                              | TWC 5.875 11/15/40                                                  | CUSIP: 88732JAY4<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |     130000 | PA      | $105451.42    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4 08/15/47                                                    | CUSIP: 20030NBZ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      30000 | PA      | $22451.47     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.329 09/21/28                                                   | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     250000 | PA      | $234366.80    | 0.03%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2021-RPL6 A1                                                   | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     157555 | PA      | $136344.11    | 0.02%             | 2060-10-25      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3875                                                           | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97538 | PA      | $91249.42     | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM 3.625 12/01/27                                                  | CUSIP: 46625HRX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     190000 | PA      | $171652.75    | 0.02%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4899                                                           | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45833 | PA      | $40412.27     | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 4.875 10/02/23                                                   | CUSIP: 37045VAE0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     560000 | PA      | $554588.65    | 0.08%             | 2023-10-02      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Rr 3 Ltd                                                                             | RRAM 2018-3A A1R2                                                   | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244862.78    | 0.03%             | 2030-01-15      | Floating      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7630                                                           | CUSIP: 3140XBPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169918 | PA      | $141126.31    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7786                                                           | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578789 | PA      | $539539.47    | 0.08%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank 2017-Bnk4                                                                       | BANK 2018-BN13 A5                                                   | CUSIP: 06539LBB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     480000 | PA      | $443406.53    | 0.06%             | 2061-08-17      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 3.75 11/14/23                                                  | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19734.95     | 0.00%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.2 02/23/23                                                     | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      40000 | PA      | $39776.78     | 0.01%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.45 12/15/48                                                   | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16617.57     | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-190 IO                                                     | CUSIP: 38380RJM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    3199576 | PA      | $238984.30    | 0.03%             | 2062-11-16      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/41                                                    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3750000 | PA      | $2535058.58   | 0.35%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corporation                                                          | SCCO 5.25 11/08/42                                                  | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |     870000 | PA      | $753985.50    | 0.11%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EQUATE Petrochemical B.V.                                                            | EQPTRC 4.25 11/03/26 144A                                           | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | CORP              | NL        |     210000 | PA      | $194460.00    | 0.03%             | 2026-11-03      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.05 03/30/29                                                  | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     700000 | PA      | $643389.26    | 0.09%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 4.15 01/24/29 MTN                                               | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     820000 | PA      | $746301.63    | 0.10%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA1877                                                           | CUSIP: 3133KHCN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      70039 | PA      | $68358.41     | 0.01%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 32 LTD                                                                       | KKR 32A A1                                                          | CUSIP: 48254HAA2<br>LEI: 5493004Y6G18HN4CQ515 | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $147158.82    | 0.02%             | 2032-01-15      | Floating      | 3.83%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.375 05/15/51                                                    | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6950000 | PA      | $4812603.53   | 0.67%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OPG TRUST 2021-PORT                                                                  | OPG 2021-PORT A                                                     | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     575714 | PA      | $542610.30    | 0.08%             | 2036-10-15      | Floating      | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Applebees's Funding LLC / IHOP Funding LLC                                           | DIN 2019-1A A2I                                                     | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     376200 | PA      | $354313.44    | 0.05%             | 2049-06-05      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Barclays PLC                                                                         | BACR V5.088 06/20/30                                                | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $168113.64    | 0.02%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.875 11/14/48                                                 | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      20000 | PA      | $17029.91     | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784674                                                           | CUSIP: 3622AACK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87801 | PA      | $80661.63     | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corporation                                                         | GD 4.25 04/01/50                                                    | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      70000 | PA      | $58317.14     | 0.01%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corporation                                                         | GD 4.25 04/01/40                                                    | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      10000 | PA      | $8588.50      | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9185                                                           | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186653 | PA      | $153582.31    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Company                                                     | CP 3 12/02/41                                                       | CUSIP: 13645RBG8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     150000 | PA      | $103953.48    | 0.01%             | 2041-12-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5629                                                           | CUSIP: 3140JAHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24167 | PA      | $23095.19     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNA 2019-M6 A2                                                      | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      63437 | PA      | $59481.96     | 0.01%             | 2029-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR4753                                                           | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84968 | PA      | $67997.37     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC0297                                                           | CUSIP: 3133AJKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.01         | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 4.375 10/15/28                                                   | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     670000 | PA      | $630684.54    | 0.09%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3.15 03/22/30                                                    | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      90000 | PA      | $76046.62     | 0.01%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 4.95 10/15/58                                                 | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16821.79     | 0.00%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 MA5596                                                           | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262851 | PA      | $252594.57    | 0.04%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                             | AXP 2.5 07/30/24                                                    | CUSIP: 025816CG2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     410000 | PA      | $389734.28    | 0.05%             | 2024-07-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 3.7 10/30/49                                                  | CUSIP: 455780CN4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     530000 | PA      | $369674.18    | 0.05%             | 2049-10-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                                                        | SBIC 2019-10A 1                                                     | CUSIP: 831641FM2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      65793 | PA      | $61023.36     | 0.01%             | 2029-03-10      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM4696                                                           | CUSIP: 3140J9GE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689816 | PA      | $605375.89    | 0.08%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5069 MI                                                         | CUSIP: 3137F9CW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      81190 | PA      | $12070.46     | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB8975                                                           | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92372 | PA      | $73665.28     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.125 08/15/46                                                   | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      70000 | PA      | $52671.79     | 0.01%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3937                                                           | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35002 | PA      | $31962.07     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 5.93 05/01/60                                                    | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     140000 | PA      | $118346.34    | 0.02%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                                   | MET 0.9 06/08/23 144A                                               | CUSIP: 59217GEH8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |     250000 | PA      | $243967.01    | 0.03%             | 2023-06-08      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| 3M Company                                                                           | MMM 2.375 08/26/29                                                  | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     410000 | PA      | $337574.57    | 0.05%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.625 11/15/50                                                    | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8620000 | PA      | $4929562.50   | 0.69%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                                                         | NVDA 3.7 04/01/60                                                   | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     150000 | PA      | $102306.71    | 0.01%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Chevron Corporation                                                                  | CVX 1.554 05/11/25                                                  | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $119931.70    | 0.02%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.75 08/15/41                                                     | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2570000 | PA      | $1677326.56   | 0.23%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.5 03/01/42                                                   | CUSIP: 161175CE2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      60000 | PA      | $37489.58     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB9290                                                           | CUSIP: 3133AGKB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     175221 | PA      | $139898.63    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5117                                                           | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     487790 | PA      | $388981.51    | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 3.125 08/15/29                                                  | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     310000 | PA      | $264765.34    | 0.04%             | 2029-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| Cigna Corporation                                                                    | CI 4.9 12/15/48                                                     | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     130000 | PA      | $110377.83    | 0.02%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 1.1 08/15/30                                                  | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      60000 | PA      | $46078.14     | 0.01%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-160 YI                                                     | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     254171 | PA      | $34764.48     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank ABP                                                                      | NDASS 1 06/09/23 144A                                               | CUSIP: 65557CBE2<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     210000 | PA      | $204501.57    | 0.03%             | 2023-06-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| CERBERUS LOAN FUNDING XXVIII LP                                                      | CERB 2020-1A A                                                      | CUSIP: 15673EAA1<br>LEI: 5493001KVNFMAC4U9384 | Long             | ABS-CBDO         | CORP              | KY        |     107768 | PA      | $106788.56    | 0.01%             | 2031-10-15      | Floating      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 4.125 11/15/25                                                   | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19333.72     | 0.00%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-6                                           | NRZT 2019-6A A1B                                                    | CUSIP: 64828GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     602523 | PA      | $555576.66    | 0.08%             | 2059-09-25      | Floating      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Honeywell International Inc.                                                         | HON 1.35 06/01/25                                                   | CUSIP: 438516CB0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |      70000 | PA      | $64209.20     | 0.01%             | 2025-06-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2.9 05/15/50                                                    | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $64039.97     | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8962                                                           | CUSIP: 3140QG5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80783 | PA      | $66486.57     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5148 CI                                                         | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     470121 | PA      | $53584.74     | 0.01%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 1.6 01/15/26 A                                                   | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      40000 | PA      | $34786.84     | 0.00%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                            | TD 0.75 06/12/23 MTN                                                | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     210000 | PA      | $204333.29    | 0.03%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784985                                                           | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187130 | PA      | $170077.95    | 0.02%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.9 06/01/52                                                   | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     500000 | PA      | $309621.03    | 0.04%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ6334                                                           | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45372 | PA      | $35915.83     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-176 IA                                                     | CUSIP: 38383CCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      73199 | PA      | $10212.24     | 0.00%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT 2021-CRE6 LTD                                                                  | AREIT 2022-CRE6 A                                                   | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     798576 | PA      | $757647.17    | 0.11%             | 2024-11-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BP8713                                                           | CUSIP: 3140KGVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66419 | PA      | $56721.37     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 2.125 03/01/30 MTN                                              | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     170000 | PA      | $138212.20    | 0.02%             | 2030-03-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Lowes Companies, Inc.                                                                | LOW 4.5 04/15/30                                                    | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46572.04     | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FR QC0165                                                           | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      80806 | PA      | $67384.61     | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2022-1                                                                 | BXCMM 2022-1A A1                                                    | CUSIP: 072917AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     430000 | PA      | $409753.67    | 0.06%             | 2035-04-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO 2017-3 Ltd/ LLC                                                             | VOYA 2017-3A A1R                                                    | CUSIP: 92915QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     230000 | PA      | $218238.26    | 0.03%             | 2034-04-20      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds TREAS PRT PRMR                                    | CUSIP: 665279873<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    7927725 | NS      | $7927725.06   | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA9358                                                           | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170165 | PA      | $144961.55    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3.5 04/15/25                                                   | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     230000 | PA      | $219422.70    | 0.03%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                           | RABOBK 4.375 08/04/25                                               | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     440000 | PA      | $415889.87    | 0.06%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4901                                                           | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30929 | PA      | $28969.68     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 4.2 04/01/50 MTN                                                | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     350000 | PA      | $273807.87    | 0.04%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.083 04/22/26                                                 | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $182065.77    | 0.03%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Mars Inc. (Del)                                                                      | MARS 2.375 07/16/40 144A                                            | CUSIP: 571676AN5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     200000 | PA      | $127847.39    | 0.02%             | 2040-07-16      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8135                                                           | CUSIP: 3132DWBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     795709 | PA      | $656199.14    | 0.09%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0745                                                           | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      91887 | PA      | $73173.08     | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barrick North America Finance LLC                                                    | ABXCN 5.75 05/01/43                                                 | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $177704.61    | 0.02%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7024                                                           | CUSIP: 3140QEYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2342914 | PA      | $1960128.76   | 0.27%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.6 09/22/27                                                    | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      12458 | PA      | $11010.56     | 0.00%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Cigna Corporation                                                                    | CI 3.75 07/15/23                                                    | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     101000 | PA      | $99957.95     | 0.01%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4200000 | PA      | $3308976.55   | 0.46%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5010 IK                                                         | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      69970 | PA      | $10403.05     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 4.4 03/24/51                                                   | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     110000 | PA      | $82469.15     | 0.01%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3 02/15/41                                                     | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     190000 | PA      | $127772.92    | 0.02%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Qatar Energy                                                                         | QPETRO 3.125 07/12/41 144A                                          | CUSIP: 74730DAE3<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     200000 | PA      | $141760.00    | 0.02%             | 2041-07-12      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| OHA Credit Funding 7 Ltd/OHA Credit Funding 7 LLC                                    | OAKC 2020-7A AR                                                     | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     350000 | PA      | $335184.92    | 0.05%             | 2037-02-24      | Floating      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 3.9 06/15/32                                                    | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      90000 | PA      | $82264.77     | 0.01%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR5458                                                           | CUSIP: 3140L4B40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.02         | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB9391                                                           | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1207073 | PA      | $965988.50    | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1273                                                           | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184052 | PA      | $146174.84    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd/LLC                           | ARCLO 2022-FL1 A                                                    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     378000 | PA      | $363054.64    | 0.05%             | 2037-01-16      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5660                                                           | CUSIP: 3140X9JE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90436 | PA      | $86426.89     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                                      | HERTZ 2021-1A A                                                     | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |     630000 | PA      | $572393.30    | 0.08%             | 2025-12-25      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV4142                                                           | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94966 | PA      | $82044.46     | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR SD1439                                                           | CUSIP: 3132DNS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      99363 | PA      | $78778.45     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC1164                                                           | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      79833 | PA      | $63936.67     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA2114                                                           | CUSIP: 3133KHK39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     113771 | PA      | $101167.31    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 6 08/15/40                                                        | CUSIP: 00206RDF6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     103000 | PA      | $98067.75     | 0.01%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.3 02/15/30 144A                                                 | CUSIP: 00206RES7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     105000 | PA      | $95734.10     | 0.01%             | 2030-02-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                           | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $1891593.74   | 0.26%             | 2052-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/51                                                    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22130000 | PA      | $13548573.77  | 1.89%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.75 04/01/48                                                  | CUSIP: 161175BN3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     106000 | PA      | $85020.61     | 0.01%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ohio Power Company                                                                   | AEP 4 06/01/49                                                      | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      63000 | PA      | $45601.77     | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 3.85 07/08/24 MTN                                                | CUSIP: 38141EC23<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29329.59     | 0.00%             | 2024-07-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.7 01/30/26 MTN                                                | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57566.64     | 0.01%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PLACEHOLD FNMA 10YR POOL                                                             | PLACEHOLD FNMA 10YR POOL                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $98460.94     | 0.01%             | 2032-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1                                          | DRMT 2022-1 A1                                                      | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     418574 | PA      | $359989.51    | 0.05%             | 2067-01-25      | Floating      | 2.20%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0582                                                           | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96051 | PA      | $79230.63     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 05/15/41                                                     | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1130000 | PA      | $814791.80    | 0.11%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2 08/15/51                                                        | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3240000 | PA      | $2041073.45   | 0.28%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.8 04/01/28 MTN                                                | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     270000 | PA      | $251843.59    | 0.04%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.375 04/01/38                                                 | CUSIP: 161175BM5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      60000 | PA      | $48215.45     | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7141                                                           | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50589 | PA      | $47331.72     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.572 10/20/32                                                 | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     270000 | PA      | $203699.12    | 0.03%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Lukoil Capital Designated Activity Company                                           | LUKOIL 3.6 10/26/31 144A                                            | CUSIP: 549875AB8<br>LEI: 984500BEC55D7EHC4M56 | Long             | DBT              | CORP              | IE        |     470000 | PA      | $334640.00    | 0.05%             | 2031-10-26      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health Inc.                                                                 | ELV 4.55 05/15/52                                                   | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      40000 | PA      | $32795.52     | 0.00%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST                                                          | LMAT 2021-GS5 A1                                                    | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     176682 | PA      | $160739.46    | 0.02%             | 2067-07-25      | Floating      | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Bayview Finl Secs                                                                    | BAYV 2006-A M3                                                      | CUSIP: 07325NDA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      73352 | PA      | $72971.84     | 0.01%             | 2041-02-28      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                  | BNS V4.588 05/04/37                                                 | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     140000 | PA      | $115029.87    | 0.02%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8648                                                           | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171440 | PA      | $146791.47    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.15 08/22/27                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     140000 | PA      | $129528.60    | 0.02%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 MA5265                                                           | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161191 | PA      | $155106.78    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.5 04/01/63                                                   | CUSIP: 161175CL6<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     110000 | PA      | $83112.22     | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.4 04/01/33                                                   | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     400000 | PA      | $332299.43    | 0.05%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                             | AXP 4.05 05/03/29                                                   | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     210000 | PA      | $190753.86    | 0.03%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL10 LLC                                                                    | MF1 2022-FL10 A                                                     | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $790956.08    | 0.11%             | 2037-09-17      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC7411                                                           | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92623 | PA      | $76420.50     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1462                                                           | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188018 | PA      | $167291.86    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                                             | RILIN 2.875 01/12/32 144A                                           | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     250000 | PA      | $188429.85    | 0.03%             | 2032-01-12      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Small Business Administration                                                        | SBAP 2019-25G 1                                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      60153 | PA      | $51787.33     | 0.01%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.75 02/01/50                                                    | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     300000 | PA      | $191950.82    | 0.03%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.52 10/27/28                                                    | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $984296.04    | 0.14%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                             | LLOYDS V2.907 11/07/23 .                                            | CUSIP: 539439AP4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     270000 | PA      | $269875.89    | 0.04%             | 2023-11-07      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 3.2 08/08/24                                                    | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95218.13     | 0.01%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 2.95 04/01/30                                                  | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24428.99     | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                             | G2 786134                                                           | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384077 | PA      | $328663.19    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 4.2 05/15/32                                                    | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     110000 | PA      | $101255.35    | 0.01%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0366                                                           | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94382 | PA      | $78617.62     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1015                                                           | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383261 | PA      | $304265.21    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4838                                                           | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78625 | PA      | $73647.48     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                                             | CGMS 2014-2RA A1                                                    | CUSIP: 14314LAC9<br>LEI: 549300KW8WXBEPNZQZ89 | Long             | ABS-CBDO         | CORP              | KY        |     729370 | PA      | $708617.77    | 0.10%             | 2031-05-15      | Floating      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.7 05/01/25                                                   | CUSIP: 62954HAW8<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |      80000 | PA      | $74033.41     | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Babson CLO 2015-I LLC                                                                | BABSN 2015-IA AR                                                    | CUSIP: 056162AN0<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243041.55    | 0.03%             | 2031-01-21      | Floating      | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0408                                                           | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91842 | PA      | $79233.44     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0028                                                           | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93630 | PA      | $77241.72     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN1623                                                           | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59174 | PA      | $56451.19     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide Inc                    | ABIBB 4.9 02/01/46 *                                                | CUSIP: 03522AAJ9<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |     200000 | PA      | $171534.51    | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II                                     | MRAFT 2022-S1 A1                                                    | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     510000 | PA      | $500670.57    | 0.07%             | 2025-03-31      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM 4.95 06/01/45                                                   | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     220000 | PA      | $182005.08    | 0.03%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN3960                                                           | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305630 | PA      | $291567.56    | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR LINES INC PASS-THROUGH TRUSTS                                             | UAL 3.5 05/01/28 B                                                  | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      47299 | PA      | $40188.16     | 0.01%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Israel (State Of)                                                                    | ISRAEL 2.75 07/03/30                                                | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     500000 | PA      | $433875.00    | 0.06%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 3.25 04/06/50                                                | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     420000 | PA      | $288626.10    | 0.04%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.78 03/25/38                                                   | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     400000 | PA      | $347183.20    | 0.05%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: —       |
| Amazon.com, Inc.                                                                     | AMZN 4.05 08/22/47                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     140000 | PA      | $113810.39    | 0.02%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: —       |
| MasterCard Incorporated                                                              | MA 3.85 03/26/50                                                    | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     380000 | PA      | $298120.65    | 0.04%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Nike, Inc.                                                                           | NKE 3.25 03/27/40                                                   | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |      50000 | PA      | $37915.91     | 0.01%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| EOG Resources, Inc.                                                                  | EOG 4.375 04/15/30                                                  | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     270000 | PA      | $255795.50    | 0.04%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-127 IN                                                     | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      80938 | PA      | $11903.80     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A. London Branch                                                   | ACAFP V1.907 06/16/26 144A                                          | CUSIP: 22535WAG2<br>LEI: N/A                  | Long             | DBT              | CORP              | FR        |     250000 | PA      | $221412.44    | 0.03%             | 2026-06-16      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ6341                                                           | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56620 | PA      | $48899.18     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corporation                                                             | LRCX 2.875 06/15/50                                                 | CUSIP: 512807AW8<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     116000 | PA      | $72625.04     | 0.01%             | 2050-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FR SD0478                                                           | CUSIP: 3132DMQ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     793437 | PA      | $744621.58    | 0.10%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD8675                                                           | CUSIP: 3133B6T83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      96778 | PA      | $79830.77     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC 3.3 01/11/23 GMTN                                               | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     270000 | PA      | $269449.62    | 0.04%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BT0812                                                           | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115004 | PA      | $97990.14     | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2021-1 IG                                                       | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     174963 | PA      | $29664.13     | 0.00%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM4946                                                           | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693661 | PA      | $683181.39    | 0.10%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 2.875 03/25/31                                                 | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     430000 | PA      | $338889.36    | 0.05%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V3.584 05/22/28 MTN                                             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $270034.55    | 0.04%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4511                                                           | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64912 | PA      | $60797.89     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB9961                                                           | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      89656 | PA      | $71499.29     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 09/15/55                                                     | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     260000 | PA      | $165454.14    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QK0914                                                           | CUSIP: 3133D4AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     278671 | PA      | $229640.41    | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WHITEBOX CLO III LTD                                                                 | WBOX 2021-3A A1                                                     | CUSIP: 96467HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $400952.12    | 0.06%             | 2034-10-16      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ9453                                                           | CUSIP: 3140KVQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86565 | PA      | $69070.17     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORTAION TRUST 2021-ROSS                                   | GSMS 2021-ROSS A                                                    | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     700000 | PA      | $649410.02    | 0.09%             | 2036-06-16      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Penske Truck Leasing Co., L.P.                                                       | PENSKE 1.7 06/15/26 144A                                            | CUSIP: 709599BM5<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |     241000 | PA      | $206105.12    | 0.03%             | 2026-06-15      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: —       |
| Morgan Stanley                                                                       | MS V1.593 05/04/27                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     190000 | PA      | $162593.46    | 0.02%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 4.114 03/01/46                                                  | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16027.93     | 0.00%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Company, LLC                                          | WMB 7.85 02/01/26                                                   | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     760000 | PA      | $800823.76    | 0.11%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Fanatics Commerce                                                                    | Fanatics Commerce Term Loan B 325 2028-11-06                        | CUSIP: 30709UAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      28782 | PA      | $27847.07     | 0.00%             | 2028-11-06      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7768                                                           | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122463 | PA      | $107120.45    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC9154                                                           | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      95456 | PA      | $81667.21     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM1 TRUST                                                                  | OBX 2022-NQM1 A1                                                    | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     701265 | PA      | $557979.54    | 0.08%             | 2061-11-25      | Floating      | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Becton, Dickinson and Company                                                        | BDX 3.363 06/06/24                                                  | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      87000 | PA      | $84445.71     | 0.01%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.814 04/23/29                                                  | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $354906.34    | 0.05%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Gs Mortgage Securities Trust 2015-Gc32                                               | GSMS 2017-GS8 A4                                                    | CUSIP: 36254KAL6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-O            | CORP              | US        |     240000 | PA      | $215899.46    | 0.03%             | 2050-11-11      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                              | MPLX 4.5 04/15/38                                                   | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |      90000 | PA      | $71748.52     | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                               | HLNLN 3.625 03/24/32 144A                                           | CUSIP: 36264FAD3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     480000 | PA      | $404390.04    | 0.06%             | 2032-03-24      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN BM6912                                                           | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97605 | PA      | $77964.60     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0760                                                           | CUSIP: 3140XFZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189061 | PA      | $167848.62    | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                           | AALLN 3.875 03/16/29 144A                                           | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     444000 | PA      | $380842.06    | 0.05%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 1.6 08/12/28                                                   | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     170000 | PA      | $140235.58    | 0.02%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FH 841081                                                           | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335340 | PA      | $319517.69    | 0.04%             | 2050-02-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5817                                                           | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180900 | PA      | $168685.03    | 0.02%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 3 03/22/27                                                       | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27197.66     | 0.00%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                  | BNS 3.45 04/11/25                                                   | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     430000 | PA      | $409751.73    | 0.06%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB0458                                                           | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.01         | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.119 05/04/26 *                                               | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     220000 | PA      | $205123.71    | 0.03%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.25 04/15/29                                                    | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      60000 | PA      | $56227.24     | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 3.6 07/01/30 MTN                                                | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71722.52     | 0.01%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 2.5 04/15/27                                                     | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |      60000 | PA      | $54212.72     | 0.01%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Capital DAC                                                           | AER 3.3 01/30/32                                                    | CUSIP: 00774MAX3<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |     150000 | PA      | $112582.70    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 3.6 01/15/72                                                   | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     120000 | PA      | $70711.20     | 0.01%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc                                                                       | HD 3.35 04/15/50                                                    | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     210000 | PA      | $145831.49    | 0.02%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Company of New York, Inc.                                        | ED 3.35 04/01/30 20A                                                | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      50000 | PA      | $43311.51     | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 4.5 01/15/30                                                    | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     112000 | PA      | $102172.42    | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.3 04/13/27                                                   | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46930.90     | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO LTD                                                                  | SLVRK 2020-1A A                                                     | CUSIP: 82811RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     440000 | PA      | $430072.98    | 0.06%             | 2031-10-20      | Floating      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-129 IE                                                     | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      84004 | PA      | $12510.06     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XI LTD                                                                   | ALLEG 2019-2A A1A                                                   | CUSIP: 01750HAA0<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $243459.15    | 0.03%             | 2033-01-19      | Floating      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 1.125 05/11/25                                                 | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     260000 | PA      | $237747.71    | 0.03%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1539                                                           | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93296 | PA      | $81667.09     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-82 Z                                                       | CUSIP: 38381HCN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     906018 | PA      | $572962.94    | 0.08%             | 2064-02-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.75 02/05/70                                                   | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     130000 | PA      | $86867.58     | 0.01%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA2199                                                           | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99056 | PA      | $94733.67     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| USAA Capital Corp.                                                                   | USAACA 2.125 05/01/30                                               | CUSIP: 90327QD55<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |     150000 | PA      | $118999.50    | 0.02%             | 2030-05-01      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.188 04/28/26                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     460000 | PA      | $419810.30    | 0.06%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.514 06/01/24                                                 | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     310000 | PA      | $302668.07    | 0.04%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Company                                                         | BMY 3.4 07/26/29                                                    | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      65000 | PA      | $59046.92     | 0.01%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.887 11/01/51                                                | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     120000 | PA      | $72090.79     | 0.01%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Eaton Corporation                                                                    | ETN 4.15 11/02/42                                                   | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |      30000 | PA      | $24193.01     | 0.00%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Incorporated                                                       | TXN 1.75 05/04/30                                                   | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |      70000 | PA      | $55724.07     | 0.01%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4280                                                           | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618796 | PA      | $461355.92    | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3572                                                           | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292495 | PA      | $280267.72    | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-H13 FA                                                     | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     729725 | PA      | $696609.45    | 0.10%             | 2070-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 5.875 05/28/45                                               | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    1220000 | PA      | $742760.40    | 0.10%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance and Annuity Association of America                                | TIAAGL 4.9 09/15/44 144A                                            | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |      80000 | PA      | $68064.46     | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785359                                                           | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172274 | PA      | $140825.35    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR7745                                                           | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78751 | PA      | $63045.44     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 5.75 01/15/31 144A                                              | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18133.11     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5434                                                           | CUSIP: 3140X9BC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53399 | PA      | $51676.30     | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1183                                                           | CUSIP: 3140XGJ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39342 | PA      | $34681.46     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                               | MSI 5.6 06/01/32                                                    | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     140000 | PA      | $131820.65    | 0.02%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5783                                                           | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110879 | PA      | $101393.30    | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC4690                                                           | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92264 | PA      | $76115.60     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2022-DNA2 M1A                                                 | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     533077 | PA      | $521428.88    | 0.07%             | 2042-02-25      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS 4.75 10/21/45                                                    | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     230000 | PA      | $185378.25    | 0.03%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                             | V 3.15 12/14/25                                                     | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     230000 | PA      | $219201.84    | 0.03%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.15 03/01/26                                                 | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      50000 | PA      | $46965.12     | 0.01%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc                                                                       | CRM 3.7 04/11/28                                                    | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $235569.98    | 0.03%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR3256                                                           | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78144 | PA      | $62972.45     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XL LTD                                                          | ATRM 9A AR2                                                         | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |     529622 | PA      | $519876.04    | 0.07%             | 2030-05-28      | Floating      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.075 04/23/29                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     150000 | PA      | $135095.68    | 0.02%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA6544                                                           | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20410 | PA      | $19633.60     | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 3.4 05/01/30                                                   | CUSIP: 62954HAY4<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $249002.09    | 0.03%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7556                                                           | CUSIP: 3132DVMD4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    1454522 | PA      | $1243102.24   | 0.17%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.908 07/21/42                                                  | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     160000 | PA      | $100632.28    | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                                 | SOHO 2021-SOHO A                                                    | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     846000 | PA      | $664546.87    | 0.09%             | 2038-08-12      | Floating      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 4.375 05/15/55                                                 | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     165000 | PA      | $111933.95    | 0.02%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Enable Midstream Partners LP                                                         | ET 3.9 05/15/24                                                     | CUSIP: 292480AH3<br>LEI: 549300TLGDBYE711G509 | Long             | DBT              | CORP              | US        |     102000 | PA      | $99099.58     | 0.01%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 2.75 04/06/30                                                | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     260000 | PA      | $222374.12    | 0.03%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 3.452 04/15/51                                                  | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     300000 | PA      | $214422.37    | 0.03%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                              | SMB 2021-A A2B                                                      | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     606824 | PA      | $513794.31    | 0.07%             | 2053-01-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR2643                                                           | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75215 | PA      | $60052.61     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 3.875 03/17/28                                               | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     200000 | PA      | $180977.52    | 0.03%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.2 06/15/28 AA                                                 | CUSIP: 023765AA8<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |      22260 | PA      | $18552.17     | 0.00%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785218                                                           | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32651 | PA      | $26648.73     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                            | OBX 2021-NQM2 A1                                                    | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     543985 | PA      | $418860.22    | 0.06%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 6.484 10/23/45                                                 | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     372000 | PA      | $329380.00    | 0.05%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Gol Finance SA                                                                       | GOLLBZ 7 01/31/25 144A                                              | CUSIP: 36254VAA6<br>LEI: 5299007RH8MA67ZC6J07 | Long             | DBT              | CORP              | LU        |      51000 | PA      | $22185.00     | 0.00%             | 2025-01-31      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                         | BX 2021-XL2 A                                                       | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     982318 | PA      | $929116.32    | 0.13%             | 2038-10-15      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| Tsmc Arizona Corp.                                                                   | TAISEM 2.5 10/25/31                                                 | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $792226.31    | 0.11%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST                                                               | CMHAT 2021-MH1 A1                                                   | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     134407 | PA      | $112421.18    | 0.02%             | 2046-02-25      | Floating      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR5587                                                           | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84740 | PA      | $67892.61     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0573                                                           | CUSIP: 3132DMT62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      77627 | PA      | $62410.63     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hgi Cre Clo 2021-Fl1 Ltd / Llc                                                       | HGI 2021-FL1 A                                                      | CUSIP: 40441LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $581544.84    | 0.08%             | 2036-06-19      | Floating      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V5.875 PERP FF                                                  | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     112000 | PA      | $96404.00     | 0.01%             | 2049-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G61677                                                           | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58986 | PA      | $56464.52     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SC0211                                                           | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      94181 | PA      | $77493.86     | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V3.35 03/02/33 MTN                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      80000 | PA      | $64491.74     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM6019                                                           | CUSIP: 3140JAVM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159108 | PA      | $150443.44    | 0.02%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass Through Trust 2019-2AA                                          | UAL 2.7 05/01/32 AA                                                 | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54603 | PA      | $43280.68     | 0.01%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2021-DNA6 M2                                                  | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     580000 | PA      | $532306.66    | 0.07%             | 2041-10-25      | Floating      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V2.545 11/08/32                                                 | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     130000 | PA      | $98105.08     | 0.01%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Workday Inc                                                                          | WDAY 3.5 04/01/27                                                   | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      70000 | PA      | $64568.80     | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786108                                                           | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      98457 | PA      | $87241.59     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corporation                                                         | NSC 3.05 05/15/50                                                   | CUSIP: 655844CF3<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     210000 | PA      | $132584.34    | 0.02%             | 2050-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 2.3 11/21/22                                                   | CUSIP: 00287YBM0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      57000 | PA      | $56923.27     | 0.01%             | 2022-11-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHS 334 S7                                                          | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22322 | PA      | $2148.08      | 0.00%             | 2044-08-01      | Floating      |  | No            |                  2 | On Loan: No      |
| Petroleos del Peru - Petroperu SA                                                    | PETRPE 5.625 06/19/47 144A                                          | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     200000 | PA      | $128286.00    | 0.02%             | 2047-06-19      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2020-103 AD                                                     | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     599413 | PA      | $476391.07    | 0.07%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2022-4 Z                                                        | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     202868 | PA      | $102042.81    | 0.01%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9335                                                           | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91279 | PA      | $75028.59     | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM7 TRUST                                                                 | CSMC 2021-NQM7 A1                                                   | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155020 | PA      | $122188.19    | 0.02%             | 2066-10-25      | Floating      | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                                       | OOMLT 2004-3 M1                                                     | CUSIP: 68389FFT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     102165 | PA      | $97045.66     | 0.01%             | 2034-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 6.7 01/26/36                                                 | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     690000 | PA      | $670381.85    | 0.09%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                                | WFCM 2017-C38 A5                                                    | CUSIP: 95001MAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     315000 | PA      | $284315.72    | 0.04%             | 2050-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 21 Ltd. / AMMC CLO 21 LLC                                                   | AMMC 2017-21A A                                                     | CUSIP: 00178LAB5<br>LEI: 549300DYK366J47FIO80 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244286.23    | 0.03%             | 2030-11-04      | Floating      | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC5830                                                           | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     364682 | PA      | $300626.25    | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                    | KREF 2022-FL3 A                                                     | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |     820000 | PA      | $785897.76    | 0.11%             | 2039-02-22      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 4.15 06/15/53                                                   | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     540000 | PA      | $430958.89    | 0.06%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.91 05/24/33                                                    | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     210000 | PA      | $190775.20    | 0.03%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 5.35 09/01/40                                                     | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44250.71     | 0.01%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 4.8 06/15/44                                                      | CUSIP: 00206RCG5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      22000 | PA      | $17866.10     | 0.00%             | 2044-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 4.9 06/01/44                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     160000 | PA      | $113502.20    | 0.02%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                           | CSMC 2014-USA B                                                     | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-O            | CORP              | US        |     530000 | PA      | $452477.64    | 0.06%             | 2037-09-17      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Juniper Networks, Inc.                                                               | JNPR 2 12/10/30                                                     | CUSIP: 48203RAP9<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |      70000 | PA      | $50682.60     | 0.01%             | 2030-12-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0519                                                           | CUSIP: 3132DMSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     473248 | PA      | $410583.98    | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES 4.65 07/01/26                                                   | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |      90000 | PA      | $85275.00     | 0.01%             | 2026-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Perusahaan Listrik Negara PT                                                         | PLNIJ 5.45 05/21/28 144A                                            | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |     770000 | PA      | $729598.10    | 0.10%             | 2028-05-21      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G67713                                                           | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715031 | PA      | $665867.22    | 0.09%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 4.15 10/16/28                                                   | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     270000 | PA      | $248551.16    | 0.03%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                        | EQIX 2.5 05/15/31                                                   | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     104000 | PA      | $79194.44     | 0.01%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-161 IB                                                     | CUSIP: 38383AV92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      69280 | PA      | $10978.38     | 0.00%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital L.P. and GLP Financing II, Inc.                                          | GLPI 3.25 01/15/32                                                  | CUSIP: 361841AR0<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |     393000 | PA      | $292946.13    | 0.04%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0211                                                           | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255787 | PA      | $203087.99    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2528                                                           | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198471 | PA      | $148067.50    | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                                          | AET 2.8 06/15/23                                                    | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |      90000 | PA      | $88682.96     | 0.01%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                                   | VOD 4.375 05/30/28                                                  | CUSIP: 92857WBK5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     130000 | PA      | $122332.91    | 0.02%             | 2028-05-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| American Express Company                                                             | AXP 4.2 11/06/25                                                    | CUSIP: 025816CA5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |      70000 | PA      | $67953.65     | 0.01%             | 2025-11-06      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7973                                                           | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100990 | PA      | $93418.40     | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1182                                                           | CUSIP: 3140XGJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71357 | PA      | $62960.52     | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 2.742 12/31/39                                               | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     202000 | PA      | $149890.39    | 0.02%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                                     | BNSF 4.45 01/15/53                                                  | CUSIP: 12189LBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $46148.85     | 0.01%             | 2053-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS9826                                                           | CUSIP: 3132AA4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      34192 | PA      | $29718.71     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                                      | RMLT 2019-2 A1                                                      | CUSIP: 76119DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48615 | PA      | $47578.69     | 0.01%             | 2059-05-25      | Floating      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                                      | DANBNK 5.375 01/12/24 144A                                          | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     400000 | PA      | $394190.54    | 0.06%             | 2024-01-12      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 784905                                                           | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63651 | PA      | $54223.93     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regency Energy Partners LP/Regency Energy Finance Corp.                              | ET 4.5 11/01/23                                                     | CUSIP: 75886AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      28000 | PA      | $27659.94     | 0.00%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 4 07/15/46                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     311000 | PA      | $207788.84    | 0.03%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V4.194 04/01/31 144A                                             | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $193063.23    | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMR 2020-RR07 BX                                                   | CUSIP: 3137FRVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |    4160000 | PA      | $475842.02    | 0.07%             | 2028-10-27      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Apple Inc.                                                                           | AAPL 2.45 08/04/26                                                  | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92052.39     | 0.01%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                                                          | HUM 3.95 03/15/27                                                   | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     140000 | PA      | $130825.30    | 0.02%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.875 11/20/50                                                   | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     400000 | PA      | $236048.98    | 0.03%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6117                                                           | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58293 | PA      | $50557.27     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V2.219 06/09/26 144A                                            | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $536531.06    | 0.07%             | 2026-06-09      | Fixed         | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Guardian Life Global Funding                                                         | GUARDN 1.1 06/23/25 144A                                            | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |      50000 | PA      | $44745.31     | 0.01%             | 2025-06-23      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 2.4 02/05/30                                                    | CUSIP: 907818FH6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     220000 | PA      | $182816.11    | 0.03%             | 2030-02-05      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                               | JPMCC 2020-MKST D                                                   | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     710000 | PA      | $636687.10    | 0.09%             | 2036-12-15      | Floating      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-56 DI                                                      | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     160774 | PA      | $25439.33     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 2.6 11/21/24                                                   | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     490000 | PA      | $465607.80    | 0.06%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                                 | VASA 2021-VASA A                                                    | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     410000 | PA      | $379473.20    | 0.05%             | 2039-07-15      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| American Transmission Systems, Incorporated                                          | FE 2.65 01/15/32 144A                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      60000 | PA      | $46584.36     | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 5.25 05/01/50                                                   | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     790000 | PA      | $733474.17    | 0.10%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                         | MDLZ 1.5 05/04/25                                                   | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     250000 | PA      | $228310.57    | 0.03%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0349                                                           | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284715 | PA      | $226061.90    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 4.279 03/15/32 144A                                             | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     670000 | PA      | $541191.34    | 0.08%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FR ZT1970                                                           | CUSIP: 3132AEFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      40852 | PA      | $38831.18     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS9316                                                           | CUSIP: 3132AAK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     104217 | PA      | $96504.61     | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 4.875 05/01/25                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     360000 | PA      | $351286.61    | 0.05%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc.                                                                          | PFE 2.7 05/28/50                                                    | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     310000 | PA      | $201665.00    | 0.03%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                                 | RY 3.875 05/04/32                                                   | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     340000 | PA      | $293752.47    | 0.04%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2022-DNA3 M1B                                                 | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     550000 | PA      | $510125.44    | 0.07%             | 2042-04-25      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Voya Clo 2018-4 Ltd / Llc                                                            | VOYA 2018-4A A1AR                                                   | CUSIP: 92917WBG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     680000 | PA      | $662943.49    | 0.09%             | 2032-01-15      | Floating      | 2.08%                 | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                                   | EFMT 2021-2 A1                                                      | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     323986 | PA      | $249182.88    | 0.03%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Company, LLC                                                        | AEP 3.15 09/15/49                                                   | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      52000 | PA      | $33036.67     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Relx Capital Inc.                                                                    | RELLN 3 05/22/30                                                    | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |      33000 | PA      | $27514.83     | 0.00%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                                                      | SANLTD 3.8 01/08/26                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1000000 | PA      | $818020.00    | 0.11%             | 2026-01-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5904                                                           | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64741 | PA      | $53553.46     | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Stacr Remic Trust                                                        | STACR 2021-DNA2 M2                                                  | CUSIP: 35564KDB2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     190000 | PA      | $180775.42    | 0.03%             | 2033-08-25      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7869                                                           | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84815 | PA      | $70282.13     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BT3270                                                           | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90371 | PA      | $74681.22     | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7607                                                           | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69064 | PA      | $63253.80     | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.45 04/13/29                                                  | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     110000 | PA      | $100882.33    | 0.01%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FR SD0952                                                           | CUSIP: 3132DNBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      97451 | PA      | $83783.56     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                        | ICE 4.95 06/15/52                                                   | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26035.41     | 0.00%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 CN1774                                                           | CUSIP: 3617YY6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281695 | PA      | $244018.60    | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AR7399                                                           | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39190 | PA      | $34334.41     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2014-C04 1M2                                                    | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      75334 | PA      | $77416.25     | 0.01%             | 2024-11-25      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corporation                                                            | UNP 3.839 03/20/60                                                  | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     208000 | PA      | $148605.58    | 0.02%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V0.627 11/17/23 VAR                                              | CUSIP: 38141GXL3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     848000 | PA      | $845822.29    | 0.12%             | 2023-11-17      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Renaissance Mtg Ac                                                                   | RAMC 2005-2 AV3                                                     | CUSIP: 75970NAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     308153 | PA      | $268613.92    | 0.04%             | 2035-08-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                                              | CDEL 3.625 08/01/27 144A                                            | CUSIP: 21987BAW8<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     330000 | PA      | $301166.22    | 0.04%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| ConnectWise                                                                          | ConnectWise Term Loan B 350 2028-09-07                              | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      78408 | PA      | $73866.14     | 0.01%             | 2028-09-07      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4492                                                           | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287179 | PA      | $227061.58    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JSC National Company KazMunayGas                                                     | KZOKZ 6.375 10/24/48 144A                                           | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     420000 | PA      | $301375.20    | 0.04%             | 2048-10-24      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Limited                                                                     | VOYA 2018-2A A1                                                     | CUSIP: 92917JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     570000 | PA      | $555503.48    | 0.08%             | 2031-07-15      | Floating      | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 5.55 06/01/45                                                   | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     210000 | PA      | $181508.91    | 0.03%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Gnma Pass-Thru M Single Family                                                       | G2 MA2678                                                           | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10847 | PA      | $9885.16      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Incorporated                                          | FE 2.65 01/15/32 144A                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     143000 | PA      | $111026.06    | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2601                                                           | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232686 | PA      | $185486.85    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4.75 01/23/29                                                 | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     420000 | PA      | $408540.59    | 0.06%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V3.974 02/07/30 MTN                                             | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     960000 | PA      | $849010.12    | 0.12%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.55 12/01/33                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     320000 | PA      | $235822.46    | 0.03%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0331                                                           | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188198 | PA      | $160639.08    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Boeing Company                                                                   | BA 3.1 05/01/26                                                     | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36118.69     | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corporation                                                     | OXY 4.5 07/15/44                                                    | CUSIP: 674599DK8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      80000 | PA      | $66029.49     | 0.01%             | 2044-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC 4.3 07/22/27 GMTN                                               | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     270000 | PA      | $252544.64    | 0.04%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                                | GILD 4.75 03/01/46                                                  | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     120000 | PA      | $103083.72    | 0.01%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZS8673                                                           | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      23615 | PA      | $21801.73     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BO7625                                                           | CUSIP: 3140K3PK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.03         | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 6.6 04/01/36                                                     | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9430.82      | 0.00%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corporation                                                              | XOM 3.043 03/01/26                                                  | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      70000 | PA      | $65901.93     | 0.01%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 1.5 06/03/30                                                   | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |      70000 | PA      | $54644.87     | 0.01%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Hershey Co (The)                                                                     | HSY 0.9 06/01/25                                                    | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27086.87     | 0.00%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BS6215                                                           | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $91924.49     | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| PLACEHOLD FNMA 10YR POOL                                                             | PLACEHOLD FNMA 10YR POOL                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100289.06    | 0.01%             | 2032-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1727                                                           | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186572 | PA      | $182697.94    | 0.03%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ5876                                                           | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83383 | PA      | $69266.47     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Company                                                    | PXD 2.15 01/15/31                                                   | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     570000 | PA      | $441021.89    | 0.06%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0338                                                           | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291398 | PA      | $277027.21    | 0.04%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3597                                                           | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76514 | PA      | $69729.00     | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA2672                                                           | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238420 | PA      | $218021.74    | 0.03%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5944                                                           | CUSIP: 3140X9TA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146628 | PA      | $120870.59    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5309                                                           | CUSIP: 3140X83T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87297 | PA      | $71965.49     | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.875 08/22/37                                                 | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     200000 | PA      | $170038.89    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.875 08/15/59                                                  | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      70000 | PA      | $51227.18     | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8576                                                           | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     589067 | PA      | $511228.00    | 0.07%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.25 10/15/27                                                   | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      12000 | PA      | $11898.96     | 0.00%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0786                                                           | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     148030 | PA      | $118049.16    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 4.3 06/18/29                                                   | CUSIP: 62954HAV0<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     393000 | PA      | $353639.50    | 0.05%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wamu Mortgage Pass-Through CTFS TR                                                   | WAMU 2006-AR13 1A                                                   | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     280874 | PA      | $233861.29    | 0.03%             | 2046-10-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                    | MASTR 2007-1 1A4                                                    | CUSIP: 55292AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     616221 | PA      | $159356.52    | 0.02%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BV3089                                                           | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95998 | PA      | $79187.03     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1403                                                           | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91582 | PA      | $80315.37     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 3.7 08/15/49                                                    | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     130000 | PA      | $96462.87     | 0.01%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS K095 XAM                                                       | CUSIP: 3137FNAJ9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |     500000 | PA      | $33921.45     | 0.00%             | 2029-06-25      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 4.03 10/15/47                                                   | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     100000 | PA      | $78675.58     | 0.01%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                      | CVS 4.3 03/25/28                                                    | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     217000 | PA      | $203616.49    | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                                | GILD 4.75 03/01/46                                                  | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |      33000 | PA      | $28348.02     | 0.00%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                               | UAL 3.1 07/07/28 AA                                                 | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2208 | PA      | $1902.92      | 0.00%             | 2030-01-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 4.5 02/15/27                                                    | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     335000 | PA      | $313633.83    | 0.04%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Company                                                           | MPC 4.5 04/01/48                                                    | CUSIP: 56585ABE1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |      35000 | PA      | $26289.06     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Clo 2016-1 Ltd/Llc                                  | CGMS 2014-3RA A1A                                                   | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     247958 | PA      | $242073.17    | 0.03%             | 2031-07-28      | Floating      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GN 784571                                                           | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68694 | PA      | $63255.83     | 0.01%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZA2471                                                           | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       6890 | PA      | $6205.99      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Biogen Inc                                                                           | BIIB 2.25 05/01/30                                                  | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     122000 | PA      | $95943.74     | 0.01%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.125 07/01/50                                                  | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     121000 | PA      | $79514.05     | 0.01%             | 2050-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Applied Materials Inc.                                                               | AMAT 2.75 06/01/50                                                  | CUSIP: 038222AP0<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |      38000 | PA      | $24332.31     | 0.00%             | 2050-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 BM7534                                                           | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31884 | PA      | $29408.05     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                                     | BPLN 3.633 04/06/30                                                 | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      80000 | PA      | $71431.82     | 0.01%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd                                                                      | SANLTD 5.125 08/08/25                                               | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     300000 | PA      | $264888.00    | 0.04%             | 2025-08-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Verizon Communications Inc.                                                          | VZ 4 03/22/50                                                       | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     190000 | PA      | $139215.80    | 0.02%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB8604                                                           | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      77257 | PA      | $61970.20     | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB9087                                                           | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     404365 | PA      | $323601.76    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.615 04/22/32                                                  | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     130000 | PA      | $99159.20     | 0.01%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V2.383 07/21/32                                                  | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      50000 | PA      | $37207.73     | 0.01%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Swedbank AB (publ)                                                                   | SWEDA 1.3 06/02/23 144A                                             | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     200000 | PA      | $195188.00    | 0.03%             | 2023-06-02      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                            | TD 1.15 06/12/25 MTN                                                | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     110000 | PA      | $98532.97     | 0.01%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 2.05 08/15/50                                                 | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      40000 | PA      | $22872.54     | 0.00%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 0.45 08/15/25                                                 | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |      30000 | PA      | $26796.07     | 0.00%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: —       |
| Sands China Ltd                                                                      | SANLTD 4.375 06/18/30                                               | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     900000 | PA      | $641024.72    | 0.09%             | 2030-06-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1092                                                           | CUSIP: 3140XGGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575380 | PA      | $507681.70    | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Basswood Park Clo Ltd / Llc                                                          | BARK 2021-1A A                                                      | CUSIP: 070252AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $765469.68    | 0.11%             | 2034-04-20      | Floating      | 2.06%                 | Yes           |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-E                                              | SMB 2021-E A1A                                                      | CUSIP: 78450MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     189510 | PA      | $167876.76    | 0.02%             | 2051-02-15      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| ARES LXIII CLO LTD                                                                   | ARES 2022-63A A1A                                                   | CUSIP: 039937AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $519902.50    | 0.07%             | 2035-04-20      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Workday Inc                                                                          | WDAY 3.7 04/01/29                                                   | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89042.53     | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1240                                                           | CUSIP: 3140XGLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92947 | PA      | $81964.00     | 0.01%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BS6688                                                           | CUSIP: 3140LHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $366938.83    | 0.05%             | 2032-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| L3 Harris Technologies Inc                                                           | LHX 4.854 04/27/35                                                  | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      60000 | PA      | $53668.89     | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 4.375 05/11/45                                               | CUSIP: 822582BF8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     150000 | PA      | $124056.83    | 0.02%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.299 07/21/32                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     260000 | PA      | $192535.56    | 0.03%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Southwestern Energy Services                                                         | Southwestern Energy Services Term Loan B 250 2027-05-30             | CUSIP: 84546SAU7<br>LEI: EFWMP121W54QV9MGOP87 | Long             | LON              | CORP              | US        |      74438 | PA      | $73181.74     | 0.01%             | 2027-05-30      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 3.55 01/15/26                                                   | CUSIP: 539830BH1<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57698.71     | 0.01%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| McDonald's Corporation                                                               | MCD 4.875 12/09/45 MTN                                              | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      30000 | PA      | $25957.04     | 0.00%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V3.615 03/15/28                                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     325000 | PA      | $292985.21    | 0.04%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1180                                                           | CUSIP: 3140XGJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113497 | PA      | $100512.28    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1309                                                           | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524301 | PA      | $414735.19    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNR 2020-80 EI                                                      | CUSIP: 3136BCZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      59687 | PA      | $11849.87     | 0.00%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6032                                                           | CUSIP: 3140QDV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939262 | PA      | $780581.11    | 0.11%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3376                                                           | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7842 | PA      | $7159.50      | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5020                                                           | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28897 | PA      | $27119.33     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc.                                                  | ABIBB 4 04/13/28                                                    | CUSIP: 035240AL4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     140000 | PA      | $132280.16    | 0.02%             | 2028-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.75 11/01/46                                                   | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      50000 | PA      | $36600.47     | 0.01%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3149                                                           | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41939 | PA      | $38973.53     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental Resources, Inc.                                                          | CLR 4.375 01/15/28                                                  | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     360000 | PA      | $322783.20    | 0.05%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                              | RSG 2.5 08/15/24                                                    | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |      70000 | PA      | $66641.67     | 0.01%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.65 11/20/40                                                    | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     460000 | PA      | $291990.70    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QB9482                                                           | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      79578 | PA      | $63541.19     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BF0499                                                           | CUSIP: 3140FXRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404401 | PA      | $349821.03    | 0.05%             | 2054-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM6780                                                           | CUSIP: 3140XARA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155962 | PA      | $128965.33    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                           | MORGN 2020-6A A1R                                                   | CUSIP: 33835AAJ8<br>LEI: 549300KX0ZCDOS2UGJ09 | Long             | ABS-CBDO         | CORP              | KY        |     610000 | PA      | $585506.91    | 0.08%             | 2034-10-23      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| SREIT COMMERCIAL MORTGAGE TRUST 2021-MFP                                             | SREIT 2021-MFP A                                                    | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     800000 | PA      | $759297.76    | 0.11%             | 2038-11-15      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 786082                                                           | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96093 | PA      | $84136.65     | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.85 12/15/25                                                   | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      90000 | PA      | $90576.97     | 0.01%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 2.875 05/10/26                                               | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     140000 | PA      | $130318.98    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru - Petroperu SA                                                    | PETRPE 4.75 06/19/32 144A                                           | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     700000 | PA      | $515384.04    | 0.07%             | 2032-06-19      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA5138                                                           | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32973 | PA      | $31754.86     | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission Llc                                             | FE 4.1 05/15/28 144A                                                | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40000 | PA      | $36689.58     | 0.01%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Shell International Finance B.V.                                                     | RDSALN 2.375 11/07/29                                               | CUSIP: 822582CD2<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $168622.61    | 0.02%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA4703                                                           | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     253570 | PA      | $203002.78    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                             | AESOP 2021-1A A                                                     | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     770000 | PA      | $655997.65    | 0.09%             | 2027-08-20      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.55 02/15/31                                                  | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      70000 | PA      | $55365.57     | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8669                                                           | CUSIP: 3140XCT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143470 | PA      | $129284.78    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AW9453                                                           | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31308 | PA      | $28269.45     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.375 05/01/47                                                 | CUSIP: 161175BL7<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     161000 | PA      | $123844.33    | 0.02%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BH9277                                                           | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57132 | PA      | $51296.41     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZM1677                                                           | CUSIP: 3131XU2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     669542 | PA      | $582234.11    | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Midamerican Energy Company                                                           | BRKHEC 3.15 04/15/50                                                | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      99000 | PA      | $64643.81     | 0.01%             | 2050-04-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 785944                                                           | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     289582 | PA      | $253259.06    | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.125 07/01/49                                                 | CUSIP: 161175BS2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      70000 | PA      | $51616.25     | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5 05/15/50                                                       | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     274000 | PA      | $208061.89    | 0.03%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Goldman Sachs Group, Inc.                                                            | GS 3.5 04/01/25                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     292000 | PA      | $276661.73    | 0.04%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.5 12/01/29                                                   | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     330000 | PA      | $284569.98    | 0.04%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BR5634                                                           | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86069 | PA      | $68449.81     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                             | BMARK 2021-B25 XA                                                   | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6731510 | PA      | $425716.87    | 0.06%             | 2054-04-17      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QC3690                                                           | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      90576 | PA      | $74872.25     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Company                                                     | CP 2.45 12/02/31                                                    | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     670000 | PA      | $531534.03    | 0.07%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0037                                                           | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82995 | PA      | $71646.41     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 3.6 04/13/32                                                   | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     460000 | PA      | $411859.56    | 0.06%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1241                                                           | CUSIP: 3140XGLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98857 | PA      | $87145.69     | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 4.5 04/01/56                                                 | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     247000 | PA      | $161921.67    | 0.02%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.7 04/01/51                                                   | CUSIP: 161175BV5<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     211000 | PA      | $126485.13    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V0.529 01/25/24 MTN                                              | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     631000 | PA      | $621552.00    | 0.09%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-15 GI                                                      | CUSIP: 38382MY37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      77326 | PA      | $13430.46     | 0.00%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                                     | NNN 3.5 04/15/51                                                    | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     107000 | PA      | $66361.65     | 0.01%             | 2051-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.55 03/21/31                                                    | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     132000 | PA      | $104309.46    | 0.01%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                                                           | VMW 2.2 08/15/31                                                    | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     271000 | PA      | $197251.18    | 0.03%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Gray Television                                                                      | Gray Television Term Loan D (Incremental) 300 2028-10-17            | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     110168 | PA      | $108446.68    | 0.02%             | 2028-10-17      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| Moodys Corp                                                                          | MCO 3.1 11/29/61                                                    | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |      63000 | PA      | $36357.97     | 0.01%             | 2061-11-29      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Dell International L.L.C. and EMC Corporation                                        | DELL 3.45 12/15/51 144A                                             | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      85000 | PA      | $48096.31     | 0.01%             | 2051-12-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V4.565 06/14/30                                                 | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     391000 | PA      | $358141.15    | 0.05%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2773                                                           | CUSIP: 3140XJCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121203 | PA      | $100037.65    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Air Lines, Inc.                                                               | UAL 3.45 12/01/27                                                   | CUSIP: 90932LAA5<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | ABS-O            | CORP              | US        |        710 | PA      | $620.03       | 0.00%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.85 12/15/25                                                   | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30192.32     | 0.00%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Exelon Corporation                                                                   | EXC 5.1 06/15/45                                                    | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      16000 | PA      | $13797.60     | 0.00%             | 2045-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 3.15 07/15/23                                                   | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       6000 | PA      | $5906.85      | 0.00%             | 2023-07-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 2.2 06/15/27                                                     | CUSIP: 02209SAY9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87338.05     | 0.01%             | 2027-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G61886                                                           | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31961 | PA      | $31410.10     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG G61079                                                           | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22531 | PA      | $21556.63     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Company, LLC                                                        | AEP 3.65 04/01/50 M                                                 | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      39000 | PA      | $27383.55     | 0.00%             | 2050-04-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                                                | MSFT 2.525 06/01/50                                                 | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      84000 | PA      | $52695.54     | 0.01%             | 2050-06-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM1543                                                           | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1715 | PA      | $1539.74      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4157                                                           | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252860 | PA      | $188645.49    | 0.03%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Atento Luxco 1 S.A.                                                                  | ATENTO 8 02/10/26 REGS                                              | CUSIP: L0427PAD8<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |       5000 | PA      | $1950.00      | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 2.625 04/15/26                                                 | CUSIP: 87264ABU8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     174000 | PA      | $157029.78    | 0.02%             | 2026-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V0.731 04/05/24                                                  | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1602000 | PA      | $1562911.94   | 0.22%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.572 10/20/32                                                 | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     201000 | PA      | $151642.68    | 0.02%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Banco Mercantil del Norte S.A.                                                       | BANORT V6.625 PERP REGS                                             | CUSIP: P1401KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $150000.00    | 0.02%             | 2049-12-31      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN CB2622                                                           | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493799 | PA      | $408056.65    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.65 02/15/32                                                  | CUSIP: 62954HAJ7<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     108000 | PA      | $80458.32     | 0.01%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| Fnma Pass-Thru I                                                                     | FN CA7598                                                           | CUSIP: 3140QFNQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560611 | PA      | $467326.99    | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V6.296 10/18/28                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     188000 | PA      | $189690.93    | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Company Inc                                                 | GM 4 01/15/25                                                       | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     506000 | PA      | $485761.06    | 0.07%             | 2025-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                              | BK V4.625 PERP F                                                    | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |      79000 | PA      | $68222.03     | 0.01%             | 2049-12-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3 10/15/28                                                      | CUSIP: 023771R91<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | ABS-O            | CORP              | US        |     106878 | PA      | $91391.27     | 0.01%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3121                                                           | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6185 | PA      | $5753.62      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3182                                                           | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123483 | PA      | $110601.89    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4838                                                           | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47961 | PA      | $44925.02     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4901                                                           | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23506 | PA      | $22016.97     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 5.125 07/01/49                                                 | CUSIP: 161175BS2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     216000 | PA      | $159272.99    | 0.02%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy Inc                                                               | FANG 3.5 12/01/29                                                   | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1079000 | PA      | $930457.61    | 0.13%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital PLC                                                           | AALLN 5.625 04/01/30 144A                                           | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     725000 | PA      | $684213.08    | 0.10%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group Inc.                                                              | UNH 2.9 05/15/50                                                    | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |      42000 | PA      | $26896.79     | 0.00%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                                        | XEL 2.6 06/01/51                                                    | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     104000 | PA      | $61916.86     | 0.01%             | 2051-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6849                                                           | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93869 | PA      | $86589.17     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 4.55 03/15/35                                                  | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     142000 | PA      | $126722.76    | 0.02%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA8391                                                           | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56464 | PA      | $52072.66     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7192                                                           | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89717 | PA      | $74176.60     | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Electronic Arts Inc.                                                                 | EA 1.85 02/15/31                                                    | CUSIP: 285512AE9<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |      39000 | PA      | $30078.50     | 0.00%             | 2031-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG J37706                                                           | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176300 | PA      | $162933.32    | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FG J37835                                                           | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252145 | PA      | $233082.20    | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7477                                                           | CUSIP: 3140XBJX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236656 | PA      | $223843.47    | 0.03%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1666                                                           | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340020 | PA      | $280323.70    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                           | RCICN 4.55 03/15/52 144A                                            | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     240000 | PA      | $185413.46    | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 2.937 11/01/56                                                | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     108000 | PA      | $62454.00     | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| PLACE HOLD FNS427C71                                                                 | PLACE HOLD FNS427C71                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $81462.27     | 0.01%             | 2024-09-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 4.85 07/15/47 C                                                  | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |       7000 | PA      | $5775.56      | 0.00%             | 2047-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3239                                                           | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52346 | PA      | $48564.07     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc. Pass Thru Trust                                                | DAL 3.204 04/25/24 AA                                               | CUSIP: 24737BAA3<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | ABS-O            | CORP              | US        |     137000 | PA      | $131343.89    | 0.02%             | 2025-10-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ4916                                                           | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70326 | PA      | $63135.06     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Company                                                             | CMS 3.75 02/15/50                                                   | CUSIP: 210518DE3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     198000 | PA      | $145796.06    | 0.02%             | 2050-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.6 04/01/50                                                   | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     509000 | PA      | $313301.69    | 0.04%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 4995 BI                                                         | CUSIP: 3137FUW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      39541 | PA      | $8067.25      | 0.00%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corporation                                                                | MSFT 2.921 03/17/52                                                 | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |      58000 | PA      | $39187.73     | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.687 04/22/32                                                 | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     133000 | PA      | $102789.45    | 0.01%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0026                                                           | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123861 | PA      | $102841.63    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                                | ARE 2.95 03/15/34                                                   | CUSIP: 015271AY5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     106000 | PA      | $79773.94     | 0.01%             | 2034-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9051                                                           | CUSIP: 3140XDBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106658 | PA      | $91202.74     | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Co                                                                   | TRGP 4.95 04/15/52                                                  | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     133000 | PA      | $99794.92     | 0.01%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1520                                                           | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45408 | PA      | $38934.35     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V4.897 07/25/33 MTN                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     670000 | PA      | $613013.26    | 0.09%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BE3702                                                           | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578341 | PA      | $536737.20    | 0.07%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                                             | COXENT 3.15 08/15/24 144A                                           | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      71000 | PA      | $67920.20     | 0.01%             | 2024-08-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET 5.4 10/01/47                                                     | CUSIP: 86765BAV1<br>LEI: 5493006LL0CKP8WQW329 | Long             | DBT              | CORP              | US        |     145000 | PA      | $115129.05    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3238                                                           | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74286 | PA      | $66796.07     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN CA0559                                                           | CUSIP: 3140Q7TR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6982 | PA      | $6679.04      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 5.282 04/02/50                                               | CUSIP: 05526DBQ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      38000 | PA      | $27134.54     | 0.00%             | 2050-04-02      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Servicenow Inc                                                                       | NOW 1.4 09/01/30                                                    | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     243000 | PA      | $178993.02    | 0.02%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 2.5 09/01/30 144A                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     196000 | PA      | $150793.65    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: —       |
| Apple Inc.                                                                           | AAPL 2.4 08/20/50                                                   | CUSIP: 037833DZ0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     147000 | PA      | $87248.06     | 0.01%             | 2050-08-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                  | HII 4.2 05/01/30                                                    | CUSIP: 446413AT3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |      81000 | PA      | $71604.99     | 0.01%             | 2030-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Federal Home Loan Mortgage Corporation                                               | FR RA4175                                                           | CUSIP: 3133KKT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     488234 | PA      | $405165.25    | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1430                                                           | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88733 | PA      | $81069.20     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5145 HI                                                         | CUSIP: 3137H2MZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      81763 | PA      | $12577.20     | 0.00%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-221 CI                                                     | CUSIP: 38383FRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      79707 | PA      | $11002.01     | 0.00%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5077                                                           | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1157360 | PA      | $957171.38    | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0290                                                           | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168459 | PA      | $134234.96    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FactSet Research Systems Inc.                                                        | FDS 3.45 03/01/32                                                   | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     237000 | PA      | $190202.94    | 0.03%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0592                                                           | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     279507 | PA      | $245740.80    | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS2040                                                           | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1567689 | PA      | $1236109.73   | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                             | CE 5.9 07/05/24                                                     | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     157000 | PA      | $154275.62    | 0.02%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM8309                                                           | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295026 | PA      | $234463.36    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3173                                                           | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7701 | PA      | $7018.10      | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 5.25 01/15/24 B                                                 | CUSIP: 02376YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85280 | PA      | $82261.65     | 0.01%             | 2025-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 5.875 03/31/25                                               | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     233000 | PA      | $233034.81    | 0.03%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS2947                                                           | CUSIP: 3138WCHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346989 | PA      | $324778.61    | 0.05%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5304                                                           | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28460 | PA      | $26766.72     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corporation                                                             | ATO 4.125 03/15/49                                                  | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      40000 | PA      | $30389.24     | 0.00%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                                    | CCI 3.3 07/01/30                                                    | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     174000 | PA      | $145143.05    | 0.02%             | 2030-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| The Interpublic Group of Companies, Inc.                                             | IPG 4.75 03/30/30                                                   | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |      60000 | PA      | $54475.97     | 0.01%             | 2030-03-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress Inc                                                             | DUK 2.5 08/15/50                                                    | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     100000 | PA      | $55874.59     | 0.01%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                                                            | GS V1.431 03/09/27                                                  | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     277000 | PA      | $236979.03    | 0.03%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 3.469 04/15/34 144A                                            | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     280000 | PA      | $209581.91    | 0.03%             | 2034-04-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5142 IP                                                         | CUSIP: 3137H2DS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      79532 | PA      | $13016.87     | 0.00%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0599                                                           | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42419 | PA      | $33802.85     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7553                                                           | CUSIP: 3132DVMA0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |    1939077 | PA      | $1663344.25   | 0.23%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2054                                                           | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271834 | PA      | $216469.57    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA6015                                                           | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      92095 | PA      | $78821.48     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7555                                                           | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1081316 | PA      | $926363.89    | 0.13%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                     | KMI 6.375 03/01/41                                                  | CUSIP: 494550BH8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     110000 | PA      | $101654.49    | 0.01%             | 2041-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| International Paper Company                                                          | IP 6 11/15/41                                                       | CUSIP: 460146CH4<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |      45000 | PA      | $41936.09     | 0.01%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Finance Inc.                                                    | ABIBB 4 01/17/43                                                    | CUSIP: 035242AB2<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |      62000 | PA      | $47956.89     | 0.01%             | 2043-01-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA3736                                                           | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     379686 | PA      | $346173.12    | 0.05%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V3.668 07/24/28                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     105000 | PA      | $94182.75     | 0.01%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA3384                                                           | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9151 | PA      | $8487.19      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cfk Trust 2019-Fax                                                                   | CFK 2019-FAX D                                                      | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $83525.99     | 0.01%             | 2039-01-15      | Floating      | 4.64%                 | Yes           |                  2 | On Loan: No      |
| AEP Transmission Company, LLC                                                        | AEP 3.8 06/15/49                                                    | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      65000 | PA      | $46819.48     | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Companies, Inc.                                                     | MMC 2.25 11/15/30                                                   | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     176000 | PA      | $137898.38    | 0.02%             | 2030-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDON 3.05 03/12/51                                                 | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     222000 | PA      | $141374.67    | 0.02%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.9 06/01/52                                                   | CUSIP: 161175CA0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     192000 | PA      | $118894.48    | 0.02%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PECO Energy Company                                                                  | EXC 3.05 03/15/51                                                   | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     144000 | PA      | $92078.84     | 0.01%             | 2051-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 2.1 03/22/28                                                     | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      36000 | PA      | $30253.84     | 0.00%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                               | MSI 2.75 05/24/31                                                   | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     511000 | PA      | $390783.36    | 0.05%             | 2031-05-24      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0598                                                           | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41774 | PA      | $33585.78     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1334                                                           | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246320 | PA      | $194911.20    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0876                                                           | CUSIP: 3132DM6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      17487 | PA      | $16294.20     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3101                                                           | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213393 | PA      | $169622.98    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5164 IB                                                         | CUSIP: 3137H3PZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      78713 | PA      | $12427.79     | 0.00%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors Company                                                               | GM 5.6 10/15/32                                                     | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     269000 | PA      | $244137.28    | 0.03%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA7722                                                           | CUSIP: 3140QFSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1046284 | PA      | $872188.26    | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5.6 07/15/41                                                    | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     151000 | PA      | $137928.48    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Peru (Republic of)                                                                   | PERU 4.125 08/25/27                                                 | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     137000 | PA      | $128787.27    | 0.02%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| Oracle Corporation                                                                   | ORCL 4 11/15/47                                                     | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      60000 | PA      | $39752.49     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Company                                                          | EXC 4 03/01/49                                                      | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |      67000 | PA      | $50272.07     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corporation                                                           | AMT 3.8 08/15/29                                                    | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     511000 | PA      | $445724.75    | 0.06%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR ZN2699                                                           | CUSIP: 3131Y87L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     276160 | PA      | $263453.09    | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.699 01/22/31 GMTN                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     491000 | PA      | $393167.48    | 0.05%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 2.05 03/01/25                                                    | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      22000 | PA      | $20223.53     | 0.00%             | 2025-03-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.15 11/15/30                                                  | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     154000 | PA      | $132451.08    | 0.02%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD7528                                                           | CUSIP: 3132DVLH6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | ABS-MBS          | USGA              | US        |      71543 | PA      | $57010.58     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7535                                                           | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     842838 | PA      | $738556.85    | 0.10%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Genneia S.A.                                                                         | GNNEIA 8.75 09/02/27 144A                                           | CUSIP: 372319AB9<br>LEI: 529900YZ70LX0XWS9P67 | Long             | DBT              | CORP              | AR        |      16330 | PA      | $15146.08     | 0.00%             | 2027-09-02      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V2.511 10/20/32 MTN                                              | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     496000 | PA      | $373432.94    | 0.05%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corporation                                                    | RTX 3.03 03/15/52                                                   | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     122000 | PA      | $77771.59     | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0615                                                           | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      52536 | PA      | $50136.08     | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2780                                                           | CUSIP: 3140QNCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154777 | PA      | $132182.02    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V3.35 03/02/33 MTN                                              | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      50000 | PA      | $40307.34     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                                             | HCA 3.625 03/15/32 144A                                             | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     351000 | PA      | $284586.02    | 0.04%             | 2032-03-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD0702                                                           | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     270505 | PA      | $226184.00    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6711                                                           | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121275 | PA      | $100670.93    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KLA Corporation                                                                      | KLAC 5.25 07/15/62                                                  | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     121000 | PA      | $106777.75    | 0.01%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                       | BCRED 4 01/15/29                                                    | CUSIP: 09261HAR8<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     154000 | PA      | $125363.07    | 0.02%             | 2029-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2045                                                           | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341804 | PA      | $282457.01    | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9492                                                           | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276614 | PA      | $228585.09    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Company                                                                | SO 3.75 03/01/45                                                    | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      38000 | PA      | $27613.71     | 0.00%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                              | AAL 3.575 01/15/28 AA                                               | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      71438 | PA      | $62799.03     | 0.01%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                                    | FE 3.9 07/15/27 B                                                   | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     159000 | PA      | $149318.49    | 0.02%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corporation                                                                  | CMCSA 3.969 11/01/47                                                | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      52000 | PA      | $38514.61     | 0.01%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: —       |
| Shell International Finance B.V.                                                     | RDSALN 3.875 11/13/28                                               | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     180000 | PA      | $168113.66    | 0.02%             | 2028-11-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BN1628                                                           | CUSIP: 3140JHY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255043 | PA      | $243308.73    | 0.03%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BK1958                                                           | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24351 | PA      | $21798.67     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MSC 2019-L2 XA                                                      | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2508892 | PA      | $121327.50    | 0.02%             | 2052-03-15      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Company                                                          | EXC 3 03/01/50                                                      | CUSIP: 202795JS0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     106000 | PA      | $67379.25     | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dessert Holdings                                                                     | Dessert Holdings First-lien Term Loan 400 2028-05-17                | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |      84361 | PA      | $78033.81     | 0.01%             | 2028-05-17      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2021-209 TJ                                                     | CUSIP: 38383DW46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      74281 | PA      | $11197.29     | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                           | RCICN 3.8 03/15/32 144A                                             | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     406000 | PA      | $345664.99    | 0.05%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS1335                                                           | CUSIP: 3140XGPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39446 | PA      | $36664.35     | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA4511                                                           | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113313 | PA      | $106132.01    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ0648                                                           | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39247 | PA      | $35229.62     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN AS0496                                                           | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12426 | PA      | $11890.84     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BM5896                                                           | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82361 | PA      | $79705.76     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                                        | XEL 2.9 03/01/50                                                    | CUSIP: 665772CR8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      50000 | PA      | $31761.41     | 0.00%             | 2050-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4158                                                           | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226357 | PA      | $179706.32    | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4280                                                           | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292615 | PA      | $218165.33    | 0.03%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Northern States Power Company                                                        | XEL 3.2 04/01/52                                                    | CUSIP: 665772CU1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      81000 | PA      | $53763.51     | 0.01%             | 2052-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Westlake Corporation                                                                 | WLK 3.375 08/15/61                                                  | CUSIP: 960413BA9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     103000 | PA      | $56615.51     | 0.01%             | 2061-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM9708                                                           | CUSIP: 3140XDYE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95748 | PA      | $85142.75     | 0.01%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB2863                                                           | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51101 | PA      | $42517.38     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM5386                                                           | CUSIP: 3140X86Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77811 | PA      | $67284.04     | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CA6341                                                           | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321668 | PA      | $266229.51    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR QD0776                                                           | CUSIP: 3133AW2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      42178 | PA      | $36183.07     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA8042                                                           | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405946 | PA      | $344326.79    | 0.05%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1310                                                           | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582465 | PA      | $460744.56    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NXP B V / NXP Funding LLC & NXP USA Inc                                              | NXPI 2.5 05/11/31                                                   | CUSIP: 62954HBA5<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | CORP              | NL        |     462000 | PA      | $347464.16    | 0.05%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5196 DI                                                         | CUSIP: 3137H5WD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     200747 | PA      | $32023.22     | 0.00%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.45 08/15/52 144A                                             | CUSIP: 30303M8E5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     146000 | PA      | $108351.85    | 0.02%             | 2052-08-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: —       |
| Federal National Mortgage Association                                                | FN AW1281                                                           | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5183 | PA      | $4849.74      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc.                                                          | VZ 4.4 11/01/34                                                     | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     178000 | PA      | $154104.51    | 0.02%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings, LLC                                                | CHCOCH 7 06/30/24                                                   | CUSIP: 16412XAD7<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     455000 | PA      | $460511.09    | 0.06%             | 2024-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corporation                                                         | NOC 4.03 10/15/47                                                   | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     146000 | PA      | $114866.35    | 0.02%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Citygroup Commercial Mortgage 2015-P1                                                | CGCMT 2016-C1 D                                                     | CUSIP: 17290YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $206564.95    | 0.03%             | 2049-05-12      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Lam Research Corporation                                                             | LRCX 4.875 03/15/49                                                 | CUSIP: 512807AT5<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |      34000 | PA      | $29975.43     | 0.00%             | 2049-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN BJ9172                                                           | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133507 | PA      | $127733.58    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KLA Corporation                                                                      | KLAC 3.3 03/01/50                                                   | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     355000 | PA      | $238598.12    | 0.03%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: —       |
| Verizon Communications Inc.                                                          | VZ 1.5 09/18/30                                                     | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     610000 | PA      | $452954.57    | 0.06%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHR 5052 KI                                                         | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     140481 | PA      | $26329.69     | 0.00%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2 MA7137                                                           | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     658396 | PA      | $577923.30    | 0.08%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8134                                                           | CUSIP: 3132DWBB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     429078 | PA      | $339588.23    | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Global Payments Inc                                                                  | GPN 1.2 03/01/26                                                    | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     210000 | PA      | $179165.61    | 0.03%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM7599                                                           | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2237303 | PA      | $1995769.45   | 0.28%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB1432                                                           | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69608 | PA      | $64286.09     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| International SOS                                                                    | International SOS Term Loan B 375 2028-07-21                        | CUSIP: 46033XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      74338 | PA      | $72851.49     | 0.01%             | 2028-07-21      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BQ0697                                                           | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54012 | PA      | $42757.23     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS0316                                                           | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2147643 | PA      | $1699985.82   | 0.24%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN CB3105                                                           | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148324 | PA      | $118072.54    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FM3481                                                           | CUSIP: 3140X62P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2073776 | PA      | $1719301.23   | 0.24%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PLACE HOLD FNS427C77                                                                 | PLACE HOLD FNS427C77                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $88759.57     | 0.01%             | 2025-09-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -28252 | NC      | $543.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13812 | NC      | $265.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -30365 | NC      | $106.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - AUD                                                              | CURRENCY CONTRACT - AUD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14037 | NC      | $41.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -8000 | NC      | $395.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -8000 | NC      | $395.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $723.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $723.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $118.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $118.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $342.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -21000 | NC      | $611.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -2000 | NC      | $52.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -2000 | NC      | $52.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $238.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $238.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - BRL                                                              | CURRENCY CONTRACT - BRL                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -21000 | NC      | $643.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CAD                                                              | CURRENCY CONTRACT - CAD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -26000 | NC      | $378.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CHF                                                              | CURRENCY CONTRACT - CHF                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -250000 | NC      | $-10218.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CHF                                                              | CURRENCY CONTRACT - CHF                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -250000 | NC      | $-10167.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CHF                                                              | CURRENCY CONTRACT - CHF                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -251380 | NC      | $-8294.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CHF                                                              | CURRENCY CONTRACT - CHF                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $-73.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CHF                                                              | CURRENCY CONTRACT - CHF                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $-73.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CLP                                                              | CURRENCY CONTRACT - CLP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $318.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CLP                                                              | CURRENCY CONTRACT - CLP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -7000 | NC      | $174.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CLP                                                              | CURRENCY CONTRACT - CLP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $318.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CNH                                                              | CURRENCY CONTRACT - CNH                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-285.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CNH                                                              | CURRENCY CONTRACT - CNH                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-285.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -26116 | NC      | $-2412.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -53997 | NC      | $-5537.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $15.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $15.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - COP                                                              | CURRENCY CONTRACT - COP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -7000 | NC      | $1.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CZK                                                              | CURRENCY CONTRACT - CZK                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -52000 | NC      | $1253.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - CZK                                                              | CURRENCY CONTRACT - CZK                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -52000 | NC      | $1253.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1353600 | NC      | $-14634.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -553897 | NC      | $-7945.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -221334 | NC      | $-2953.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -198734 | NC      | $-206.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -197902 | NC      | $625.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1470195 | NC      | $3874.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -306308 | NC      | $1410.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -296728 | NC      | $1063.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -306783 | NC      | $935.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -307103 | NC      | $615.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -179218 | NC      | $-7383.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -243208 | NC      | $-11419.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -244463 | NC      | $-12862.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -254489 | NC      | $-14454.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -261915 | NC      | $6097.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1360286 | NC      | $-62021.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -386997 | NC      | $10058.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -250263 | NC      | $7823.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -144096 | NC      | $4799.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -192219 | NC      | $6308.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -204126 | NC      | $9792.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -31515 | NC      | $1513.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -235806 | NC      | $11140.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -235946 | NC      | $2287.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -197259 | NC      | $1268.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -285487 | NC      | $2378.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -240000 | NC      | $4043.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -337341 | NC      | $156.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -327983 | NC      | $-412.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1479889 | NC      | $-10783.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -239270 | NC      | $-1037.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -149379 | NC      | $-483.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -98474 | NC      | $790.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -137293 | NC      | $1676.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1703305 | NC      | $-434.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1703305 | NC      | $-434.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -77994 | NC      | $-480.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -77994 | NC      | $-480.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -147729 | NC      | $-983.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -173670 | NC      | $-1008.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -86715 | NC      | $-366.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2030569 | NC      | $172.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2030569 | NC      | $172.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -86444 | NC      | $-55.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13721 | NC      | $127.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13721 | NC      | $127.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -173101 | NC      | $-355.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1320763 | NC      | $14336.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -33745 | NC      | $-131.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -33745 | NC      | $-131.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13755 | NC      | $94.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13755 | NC      | $94.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -563635 | NC      | $2803.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -331898 | NC      | $-4129.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -236986 | NC      | $1247.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -180004 | NC      | $-1329.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -170249 | NC      | $-1500.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -119936 | NC      | $-818.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -34931 | NC      | $-308.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -34931 | NC      | $-308.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -230425 | NC      | $-2117.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -231580 | NC      | $-3272.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - EUR                                                              | CURRENCY CONTRACT - EUR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -231231 | NC      | $-2924.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -331952 | NC      | $12730.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -332835 | NC      | $11848.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -321561 | NC      | $11632.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -150774 | NC      | $10077.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -341686 | NC      | $14785.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -88314 | NC      | $3871.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -211406 | NC      | $18382.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -73982 | NC      | $6444.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -126846 | NC      | $11027.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -290000 | NC      | $15200.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1512000 | NC      | $76648.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -24277 | NC      | $2015.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -229724 | NC      | $19730.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -300000 | NC      | $5515.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -199010 | NC      | $7800.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -201569 | NC      | $5240.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -235008 | NC      | $6270.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -292799 | NC      | $5926.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -449117 | NC      | $2615.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1552000 | NC      | $21205.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -42085 | NC      | $227.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -378937 | NC      | $11703.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -2700 | NC      | $15.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -55329 | NC      | $478.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -331971 | NC      | $2621.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -53675 | NC      | $217.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -326325 | NC      | $1117.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13585 | NC      | $181.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13585 | NC      | $181.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -135471 | NC      | $2401.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -48605 | NC      | $373.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -129761 | NC      | $2138.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -17194 | NC      | $269.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - GBP                                                              | CURRENCY CONTRACT - GBP                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -331395 | NC      | $2589.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - IDR                                                              | CURRENCY CONTRACT - IDR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -114420 | NC      | $-4797.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -3705 | NC      | $-120.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -38000 | NC      | $-1155.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -15000 | NC      | $-455.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -32000 | NC      | $-440.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -32000 | NC      | $-440.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $-228.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - JPY                                                              | CURRENCY CONTRACT - JPY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $-228.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - KRW                                                              | CURRENCY CONTRACT - KRW                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $5.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - KRW                                                              | CURRENCY CONTRACT - KRW                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $5.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - KRW                                                              | CURRENCY CONTRACT - KRW                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $17.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - KRW                                                              | CURRENCY CONTRACT - KRW                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $17.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -37646 | NC      | $735.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -179142 | NC      | $3497.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -43153 | NC      | $892.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -76679 | NC      | $1106.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16000 | NC      | $187.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - MXN                                                              | CURRENCY CONTRACT - MXN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16000 | NC      | $188.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NOK                                                              | CURRENCY CONTRACT - NOK                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -28000 | NC      | $511.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - NOK                                                              | CURRENCY CONTRACT - NOK                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -28000 | NC      | $79.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16881 | NC      | $376.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16881 | NC      | $376.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -5119 | NC      | $120.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - TRY                                                              | CURRENCY CONTRACT - TRY                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      -5119 | NC      | $120.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1156538 | NC      | $-1430.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        | -596598000 | NC      | $15858.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -8258000 | NC      | $-8167.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2295582 | NC      | $32535.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1149000 | NC      | $14456.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -121000 | NC      | $2727.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -270000 | NC      | $3089.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -300000 | NC      | $1257.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -200000 | NC      | $863.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-5487.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -230590 | NC      | $-32.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -648010 | NC      | $-290.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2585057 | NC      | $-2646.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -230000 | NC      | $-3217.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -429220 | NC      | $-682.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -429220 | NC      | $-682.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -751400 | NC      | $1142.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-6167.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-5354.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -350000 | NC      | $-4367.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -360000 | NC      | $-4924.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -260000 | NC      | $-4926.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -310000 | NC      | $-6921.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -100000 | NC      | $-6635.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -40000 | NC      | $-2714.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -180000 | NC      | $-12431.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -180000 | NC      | $-13299.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -43367 | NC      | $-389.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -43367 | NC      | $-389.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -270000 | NC      | $-21604.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-17572.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-14120.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-15977.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13200 | NC      | $-934.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -226800 | NC      | $-16078.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -240000 | NC      | $-1686.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -360000 | NC      | $-14959.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -490000 | NC      | $555.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -275000 | NC      | $260.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -100000 | NC      | $861.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -195000 | NC      | $2214.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -100000 | NC      | $1129.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -210000 | NC      | $-3898.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -220000 | NC      | $-3806.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -200000 | NC      | $-3548.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -47486100 | NC      | $801.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -47486100 | NC      | $801.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -75282 | NC      | $-741.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -75282 | NC      | $-741.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -146786 | NC      | $17.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -183483 | NC      | $22.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16000 | NC      | $-271.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -16000 | NC      | $-271.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-664.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-664.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -129208 | NC      | $374.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -129208 | NC      | $374.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -407366 | NC      | $-152.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -3087896 | NC      | $200.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -23000 | NC      | $-432.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -23000 | NC      | $-432.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -148579 | NC      | $-298.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -340000 | NC      | $-8025.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -148164 | NC      | $-258.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -513258 | NC      | $88.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -74230 | NC      | $-360.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -74230 | NC      | $-360.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1167110 | NC      | $-63.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1167110 | NC      | $-63.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -68418000 | NC      | $200.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |  -68418000 | NC      | $200.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -74156 | NC      | $-346.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -250000 | NC      | $-6864.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -551043 | NC      | $-26.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -295571 | NC      | $-443.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -6922580 | NC      | $-318.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -110967 | NC      | $-467.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -240000 | NC      | $-2101.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -184693 | NC      | $-43.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -184693 | NC      | $-43.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -1633381 | NC      | $-1.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -61107 | NC      | $-276.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -61107 | NC      | $-276.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13018 | NC      | $-63.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -13018 | NC      | $-63.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $-9.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $-9.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -299273 | NC      | $-64.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -299251 | NC      | $-63.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -112413 | NC      | $-605.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10615 | NC      | $-53.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10615 | NC      | $-53.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -21000 | NC      | $173.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -21000 | NC      | $173.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2056798 | NC      | $146.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -557492 | NC      | $-62.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -110000 | NC      | $1973.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -120000 | NC      | $2412.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -180000 | NC      | $3180.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -120000 | NC      | $2172.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -170000 | NC      | $2806.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -22000 | NC      | $128.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -252357 | NC      | $276.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -144148 | NC      | $128.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -150000 | NC      | $754.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - USD                                                              | CURRENCY CONTRACT - USD                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    -150000 | NC      | $720.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -22000 | NC      | $-39.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -28000 | NC      | $-317.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-44.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -18000 | NC      | $-44.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -14000 | NC      | $-64.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $-218.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CURRENCY CONTRACT - ZAR                                                              | CURRENCY CONTRACT - ZAR                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -10000 | NC      | $-218.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOSCOW EXCHANGE                                                                      | MOSCOW EXCHANGE                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | RU        |         42 | NC      | $9948750.00   | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW ZEALAND FUTURES & OPTIONS                                                        | Otahuhu Base Load Month Electricity Futures                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | NZ        |         57 | NC      | $13508287.50  | 1.89%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Eurodollar Futures,Dec-2023,ETH                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         57 | NC      | $13566000.00  | 1.89%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Eurodollar Futures,Sep-2023,ETH                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         25 | NC      | $5937500.00   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| MOSCOW EXCHANGE                                                                      | MOSCOW EXCHANGE                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | RU        |         61 | NC      | $14470725.00  | 2.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION                                     | Three Month Euro (Euribor) Future - ICEU - Jun23                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         26 | NC      | $6230916.27   | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Sep-2022,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -156 | NC      | $-37644750.00 | -5.25%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION                                     | Three Month SONIA - ICEU - Dec22                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         25 | NC      | $6891193.10   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION                                     | Three Month SONIA - ICEU - Dec24                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         23 | NC      | $6302641.01   | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                               | Thirty-Day Fed Fund Futures,Oct-2022,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -131 | NC      | $-52906398.84 | -7.38%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                               | Thirty-Day Fed Fund Futures,Nov-2022,ETH                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -101 | NC      | $-40494770.57 | -5.65%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION                                     | Three Month SONIA - ICEU - Jun23                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          8 | NC      | $2182933.87   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Mar-2023,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         45 | NC      | $10694250.00  | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Jun-2023,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          2 | NC      | $475525.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Dec-2023,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -385 | NC      | $-91880250.00 | -12.82%           |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Dec-2024,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        147 | NC      | $35342475.00  | 4.93%             |  |  |  | No            |                  1 | On Loan: No      |
| CME GLOBEX                                                                           | Three-Month SOFR Futures,Dec-2025,ETH                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         35 | NC      | $8431937.50   | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -84 | NC      | $-9289875.00  | -1.30%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -74 | NC      | $-8183937.50  | -1.14%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EURO-Buxl Futures,Dec-2022,Composite                                | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DIR              | CORP              | DE        |         -2 | NC      | $-285050.83   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         58 | NC      | $6989000.00   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         10 | NC      | $1205000.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          8 | NC      | $927875.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -58 | NC      | $-6727093.75  | -0.94%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND ULTRA                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         52 | NC      | $6638125.00   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND ULTRA                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        113 | NC      | $14425156.25  | 2.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1120 | NC      | $119385000.00 | 16.66%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        218 | NC      | $23237437.50  | 3.24%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | Euro-Bund Futures,Dec-2022,Composite                                | CUSIP: 000000000<br>LEI: 529900UT4DG0LG5R9O07 | N/A              | DIR              | CORP              | DE        |        -11 | NC      | $-1504946.63  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 2YR                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        137 | NC      | $28000445.30  | 3.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 2YR                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        146 | NC      | $29839890.61  | 4.16%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE                                                                       | 10-year JGB Trade Future DEC 2022                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |        -12 | NC      | $-12006052.68 | -1.68%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -1 | NC      | $-140.63      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          1 | NC      | $390.63       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FXO AUDUSD CALL 0.653 101                                                            | FXO AUDUSD CALL 0.653 101                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |      68000 | NC      | $164.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD CALL 0.653 101                                                            | FXO AUDUSD CALL 0.653 101                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |      68000 | NC      | $164.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD CALL 0.67 1011                                                            | FXO AUDUSD CALL 0.67 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |    -101000 | NC      | $-38.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO AUDUSD CALL 0.67 1011                                                            | FXO AUDUSD CALL 0.67 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | AU        |    -101000 | NC      | $-38.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURCZK PUT 24.5 01112                                                            | FXO EURCZK PUT 24.5 01112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      53000 | NC      | $68.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURCZK PUT 24.5 01112                                                            | FXO EURCZK PUT 24.5 01112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      53000 | NC      | $68.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1 221222                                                             | FXO EURUSD CALL 1 221222                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -35000 | NC      | $-474.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1 221222                                                             | FXO EURUSD CALL 1 221222                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -35000 | NC      | $-474.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.04 0401                                                            | FXO EURUSD CALL 1.04 0401                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    2970000 | NC      | $11123.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD CALL 1.06 0401                                                            | FXO EURUSD CALL 1.06 0401                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -2970000 | NC      | $-4611.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.93 15112                                                            | FXO EURUSD PUT 0.93 15112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -6388000 | NC      | $-1371.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.93 15112                                                            | FXO EURUSD PUT 0.93 15112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    6388000 | NC      | $1371.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.95 03112                                                            | FXO EURUSD PUT 0.95 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -65000 | NC      | $-1.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.95 03112                                                            | FXO EURUSD PUT 0.95 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |     -65000 | NC      | $-1.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.95 03112                                                            | FXO EURUSD PUT 0.95 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      65000 | NC      | $1.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.95 03112                                                            | FXO EURUSD PUT 0.95 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      65000 | NC      | $1.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.955 1511                                                            | FXO EURUSD PUT 0.955 1511                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |    6388000 | NC      | $7792.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.955 1511                                                            | FXO EURUSD PUT 0.955 1511                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |   -6388000 | NC      | $-7792.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.97 23112                                                            | FXO EURUSD PUT 0.97 23112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      35000 | NC      | $164.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.97 23112                                                            | FXO EURUSD PUT 0.97 23112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      35000 | NC      | $164.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.98 03112                                                            | FXO EURUSD PUT 0.98 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      43000 | NC      | $76.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO EURUSD PUT 0.98 03112                                                            | FXO EURUSD PUT 0.98 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | XX        |      43000 | NC      | $76.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDBRL PUT 5.3 231122                                                            | FXO USDBRL PUT 5.3 231122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      30000 | NC      | $1070.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDBRL PUT 5.3 231122                                                            | FXO USDBRL PUT 5.3 231122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      30000 | NC      | $1070.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 940 03112                                                            | FXO USDCLP CALL 940 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      29000 | NC      | $317.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 940 03112                                                            | FXO USDCLP CALL 940 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      29000 | NC      | $317.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 940 03112                                                            | FXO USDCLP CALL 940 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -29000 | NC      | $-317.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 940 03112                                                            | FXO USDCLP CALL 940 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -29000 | NC      | $-317.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 960 29122                                                            | FXO USDCLP CALL 960 29122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      29000 | NC      | $981.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 960 29122                                                            | FXO USDCLP CALL 960 29122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      29000 | NC      | $981.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 980 03112                                                            | FXO USDCLP CALL 980 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -43000 | NC      | $-40.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 980 03112                                                            | FXO USDCLP CALL 980 03112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -43000 | NC      | $-40.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 990 29122                                                            | FXO USDCLP CALL 990 29122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -29000 | NC      | $-665.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCLP CALL 990 29122                                                            | FXO USDCLP CALL 990 29122                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -29000 | NC      | $-665.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.2 10112                                                            | FXO USDCNH CALL 7.2 10112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      50000 | NC      | $988.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.2 10112                                                            | FXO USDCNH CALL 7.2 10112                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      50000 | NC      | $988.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.35 1011                                                            | FXO USDCNH CALL 7.35 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -72000 | NC      | $-490.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.35 1011                                                            | FXO USDCNH CALL 7.35 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -72000 | NC      | $-490.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.42 2311                                                            | FXO USDCNH CALL 7.42 2311                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      63000 | NC      | $394.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.42 2311                                                            | FXO USDCNH CALL 7.42 2311                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      63000 | NC      | $394.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.52 2311                                                            | FXO USDCNH CALL 7.52 2311                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -63000 | NC      | $-213.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDCNH CALL 7.52 2311                                                            | FXO USDCNH CALL 7.52 2311                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -63000 | NC      | $-213.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY CALL 20 091222                                                            | FXO USDTRY CALL 20 091222                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      22000 | NC      | $184.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY CALL 20 091222                                                            | FXO USDTRY CALL 20 091222                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      22000 | NC      | $184.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY CALL 21 091222                                                            | FXO USDTRY CALL 21 091222                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -22000 | NC      | $-97.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDTRY CALL 21 091222                                                            | FXO USDTRY CALL 21 091222                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -22000 | NC      | $-97.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FXO USDZAR CALL 18.5 1011                                                            | FXO USDZAR CALL 18.5 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -22000 | NC      | $-202.79      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FXO USDZAR CALL 18.5 1011                                                            | FXO USDZAR CALL 18.5 1011                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |     -22000 | NC      | $-202.79      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FXOBAR GBPUSD PUT 1.04 DO                                                            | FXOBAR GBPUSD PUT 1.04 DO                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |      35000 | NC      | $58.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXOBAR GBPUSD PUT 1.04 DO                                                            | FXOBAR GBPUSD PUT 1.04 DO                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |      35000 | NC      | $58.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDBRL PUT 4.65 2                                                             | FXODIG USDBRL PUT 4.65 2                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       5000 | NC      | $565.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDBRL PUT 4.65 2                                                             | FXODIG USDBRL PUT 4.65 2                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |       5000 | NC      | $565.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDJPY PUT 122 1T                                                             | FXODIG USDJPY PUT 122 1T                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      12000 | NC      | $0.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FXODIG USDJPY PUT 122 1T                                                             | FXODIG USDJPY PUT 122 1T                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              | CORP              | US        |      12000 | NC      | $0.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PUT DEC 22 5YR PUT DEC                                                               | PUT DEC 22 5YR PUT DEC                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -1 | NC      | $-203.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 US 2YR PUT DEC                                                            | PUT DEC 22 US 2YR PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -1 | NC      | $-656.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SWO EUR RCV 1.821 PAY EUR                                                            | SWO EUR RCV 1.821 PAY EUR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     -78500 | NC      | $-8185.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO EUR RCV EURIB 6M PAY                                                             | SWO EUR RCV EURIB 6M PAY                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     -78500 | NC      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 2.96 PAY SOFR                                                            | SWO USD RCV 2.96 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     558300 | NC      | $15054.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.1 PAY SOFR                                                             | SWO USD RCV 3.1 PAY SOFR                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -2513685 | NC      | $-172551.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.14 PAY SOFR                                                            | SWO USD RCV 3.14 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     271000 | NC      | $10465.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.2 PAY SOFR                                                             | SWO USD RCV 3.2 PAY SOFR                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -2513685 | NC      | $-158542.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.28 PAY SOFR                                                            | SWO USD RCV 3.28 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     592600 | NC      | $21954.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.395 PAY SOF                                                            | SWO USD RCV 3.395 PAY SOF                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     300123 | NC      | $14184.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.44 PAY SOFR                                                            | SWO USD RCV 3.44 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     300123 | NC      | $14691.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.475 PAY SOF                                                            | SWO USD RCV 3.475 PAY SOF                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     235134 | NC      | $12474.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.48 PAY SOFR                                                            | SWO USD RCV 3.48 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -33990022 | NC      | $-405891.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 3.48 PAY SOFR                                                            | SWO USD RCV 3.48 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -33990022 | NC      | $-405891.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 4.42 PAY SOFR                                                            | SWO USD RCV 4.42 PAY SOFR                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -4752045 | NC      | $-98422.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 5 PAY SOFR 1D                                                            | SWO USD RCV 5 PAY SOFR 1D                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -16523309 | NC      | $-75822.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV 5.2 PAY SOFR                                                             | SWO USD RCV 5.2 PAY SOFR                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -18622200 | NC      | $-69714.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    3775000 | NC      | $401057.89    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     558300 | NC      | $44854.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    3775000 | NC      | $408921.21    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 2                                                            | SWO USD RCV SOFR 1D PAY 2                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |   -4752045 | NC      | $-50959.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     271000 | NC      | $20554.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     300123 | NC      | $19720.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     300123 | NC      | $19231.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     592600 | NC      | $38966.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -16523309 | NC      | $-82973.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     235134 | NC      | $14557.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWO USD RCV SOFR 1D PAY 3                                                            | SWO USD RCV SOFR 1D PAY 3                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |  -18622200 | NC      | $-83101.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -60 | NC      | $-14531.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -19 | NC      | $-2375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         16 | NC      | $10625.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -20 | NC      | $-15781.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -44 | NC      | $-16156.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          8 | NC      | $7437.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-1875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          6 | NC      | $93.75        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -51 | NC      | $-1992.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -41 | NC      | $-3843.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 CBT 5YCALL DE                                                            | CALL DEC 22 CBT 5YCALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -83 | NC      | $-6484.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 EURO CALL DE                                                             | CALL DEC 22 EURO CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -309 | NC      | $-3862.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 EURO CALL DE                                                             | CALL DEC 22 EURO CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -75 | NC      | $-1406.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         39 | NC      | $34734.57     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -57 | NC      | $-29390.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          5 | NC      | $5703.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          5 | NC      | $6406.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         13 | NC      | $10156.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -38 | NC      | $-5343.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -91 | NC      | $-25593.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -13 | NC      | $-1015.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -3 | NC      | $-93.75       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -54 | NC      | $-21094.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -13 | NC      | $-2640.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 T-NOTECALL DE                                                            | CALL DEC 22 T-NOTECALL DE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -26 | NC      | $-17875.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 U.S. CALL DE                                                             | CALL DEC 22 U.S. CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          5 | NC      | $7031.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 U.S. CALL DE                                                             | CALL DEC 22 U.S. CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -3 | NC      | $-656.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 U.S. CALL DE                                                             | CALL DEC 22 U.S. CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -6 | NC      | $-750.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 U.S. CALL DE                                                             | CALL DEC 22 U.S. CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          5 | NC      | $5234.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CALL DEC 22 U.S. CALL DE                                                             | CALL DEC 22 U.S. CALL DE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -10 | NC      | $-4062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 CBT 5Y PUT DEC                                                            | PUT DEC 22 CBT 5Y PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -8 | NC      | $-4687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 CBT 5Y PUT DEC                                                            | PUT DEC 22 CBT 5Y PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -7 | NC      | $-5742.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          3 | NC      | $2812.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |          3 | NC      | $4781.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-9937.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -41 | NC      | $-42922.08    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -70 | NC      | $-82031.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        -18 | NC      | $-11531.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PUT DEC 22 T-NOTE PUT DEC                                                            | PUT DEC 22 T-NOTE PUT DEC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         -3 | NC      | $-2203.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds LIQ ASET PORTF                                    | CUSIP: 665279105<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    4942138 | NS      | $4942137.98   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds LIQ ASET PORTF                                    | CUSIP: 665279105<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |    3746904 | NS      | $3746903.50   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Northern Inst Fds                                                                    | Northern Inst Fds LIQ ASET PORTF                                    | CUSIP: 665279105<br>LEI: 549300Y178DO5JBR1S04 | Long             | STIV             | RF                | US        |      10000 | NS      | $10000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CDS_SN REPUBLIC OF CHILE 3.2 1% 20271220                                             | CDS_SN REPUBLIC OF CHILE 3.2 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      79000 | OU      | $1867.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN UNITED MEXICAN STATES 1% 20271220                                             | CDS_SN UNITED MEXICAN STATES 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      34530 | OU      | $957.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      70000 | OU      | $565.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      55000 | OU      | $444.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN PETROLEOS MEXICANOS 6 1% 20241220                                             | CDS_SN PETROLEOS MEXICANOS 6 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      18000 | OU      | $-1382.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF COLOMBIA 1% 20271220                                              | CDS_SN REPUBLIC OF COLOMBIA 1% 20271220                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      93334 | OU      | $9925.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_IX_CCP CDX.NA.IG.39 1% 20271220                                                  | CDS_IX_CCP CDX.NA.IG.39 1% 20271220                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |    5818000 | OU      | $-26022.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF PHILIPPIN 1% 20271220                                             | CDS_SN REPUBLIC OF PHILIPPIN 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      99269 | OU      | $1186.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      56000 | OU      | $452.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      40000 | OU      | $323.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      55000 | OU      | $444.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20241220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |      60000 | OU      | $484.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20271220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |     297000 | OU      | $22550.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN ABBOTT LABORATORIES 3 1% 20270620                                             | CDS_SN ABBOTT LABORATORIES 3 1% 20270620                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |     129278 | OU      | $-3476.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN REPUBLIC OF INDONESIA 1% 20271220                                             | CDS_SN REPUBLIC OF INDONESIA 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |     117000 | OU      | $1979.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_SN FED REPUBLIC OF BRAZI 1% 20271220                                             | CDS_SN FED REPUBLIC OF BRAZI 1% 20271220                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |     116000 | OU      | $8807.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDS_IX_CCP ITRAXX EUROPE CROSSOV 5% 20271220                                         | CDS_IX_CCP ITRAXX EUROPE CROSSOV 5% 20271220                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | XX        |     116000 | OU      | $-2483.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CDS_IX_CCP CDX.NA.IG.39 1% 20271220                                                  | CDS_IX_CCP CDX.NA.IG.39 1% 20271220                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |  121590000 | OU      | $543847.75    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.83% 30-MAY-2052                                        | OIS_CCP JPY RCV TONAR1D PAY 0.83% 30-MAY-2052                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   20918500 | OU      | $10655.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.424% 14-JUN-2032                                       | OIS_CCP JPY RCV TONAR1D PAY 0.424% 14-JUN-2032                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |  128534257 | OU      | $4315.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.42% 14-JUN-2032                                        | OIS_CCP JPY RCV TONAR1D PAY 0.42% 14-JUN-2032                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |  113983209 | OU      | $4128.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 2.442% PAY EURIB6M 14-JUL-2032                                       | IRS_CCP EUR RCV 2.442% PAY EURIB6M 14-JUL-2032                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     157000 | OU      | $-4387.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 11.65% PAY BZDIO1D 02-JAN-2025                                           | OIS BRL RCV 11.65% PAY BZDIO1D 02-JAN-2025                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |     190918 | OU      | $-131.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS BRL RCV 11.694% PAY BZDIO1D 02-JAN-2025                                          | OIS BRL RCV 11.694% PAY BZDIO1D 02-JAN-2025                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | BR        |     266000 | OU      | $-133.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV EURIB6M PAY 2.22% 12-SEP-2024                                        | IRS_CCP EUR RCV EURIB6M PAY 2.22% 12-SEP-2024                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     155000 | OU      | $1334.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP MXN RCV 10.17% PAY TIIE28D 14-SEP-2023                                       | IRS_CCP MXN RCV 10.17% PAY TIIE28D 14-SEP-2023                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |    3865000 | OU      | $-996.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP MXN RCV 10.3% PAY TIIE28D 18-SEP-2023                                        | IRS_CCP MXN RCV 10.3% PAY TIIE28D 18-SEP-2023                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |    3078000 | OU      | $-630.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 6.99% 30-SEP-2027                                        | IRS_CCP PLN RCV WIBOR6M PAY 6.99% 30-SEP-2027                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |     133000 | OU      | $578.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR3M PAY 6.87% 29-SEP-2027                                        | IRS_CCP PLN RCV WIBOR3M PAY 6.87% 29-SEP-2027                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |      92600 | OU      | $434.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 7.15% 21-DEC-2027                                        | IRS_CCP PLN RCV WIBOR6M PAY 7.15% 21-DEC-2027                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |     184000 | OU      | $574.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP MXN RCV TIIE28D PAY 9.25% 17-SEP-2032                                        | IRS_CCP MXN RCV TIIE28D PAY 9.25% 17-SEP-2032                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | MX        |    1824000 | OU      | $168.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR6M PAY 7.77% 21-DEC-2027                                        | IRS_CCP PLN RCV WIBOR6M PAY 7.77% 21-DEC-2027                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |     173000 | OU      | $-318.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP GBP RCV SONIA1D PAY 3.2359% 20-OCT-2072                                      | OIS_CCP GBP RCV SONIA1D PAY 3.2359% 20-OCT-2072                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | GB        |     377000 | OU      | $-40347.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV 2.8625% PAY ESTR1D 26-OCT-2025                                       | OIS_CCP EUR RCV 2.8625% PAY ESTR1D 26-OCT-2025                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    2490000 | OU      | $6676.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV ESTR1D PAY 3.007% 26-OCT-2033                                        | OIS_CCP EUR RCV ESTR1D PAY 3.007% 26-OCT-2033                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     560000 | OU      | $-9297.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV 2.707% PAY ESTR1D 27-OCT-2025                                        | OIS_CCP EUR RCV 2.707% PAY ESTR1D 27-OCT-2025                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    1200000 | OU      | $-288.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 4.0035% PAY SOFR1D 25-OCT-2025                                       | OIS_CCP USD RCV 4.0035% PAY SOFR1D 25-OCT-2025                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |   15065000 | OU      | $-21024.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV ESTR1D PAY 2.78796% 30-OCT-2033                                      | OIS_CCP EUR RCV ESTR1D PAY 2.78796% 30-OCT-2033                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     260000 | OU      | $498.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV 2.71633% PAY ESTR1D 30-OCT-2025                                      | OIS_CCP EUR RCV 2.71633% PAY ESTR1D 30-OCT-2025                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    1230000 | OU      | $-59.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV 2.6025% PAY CPI1D 27-OCT-2052                                        | RPI_CCP USD RCV 2.6025% PAY CPI1D 27-OCT-2052                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     587600 | OU      | $-1280.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.73% 25-OCT-2033                                         | OIS_CCP USD RCV SOFR1D PAY 3.73% 25-OCT-2033                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    3508000 | OU      | $-5410.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV 2.5115% PAY ESTR1D 31-OCT-2025                                       | OIS_CCP EUR RCV 2.5115% PAY ESTR1D 31-OCT-2025                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    2420000 | OU      | $-9417.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV ESTR1D PAY 2.708% 31-OCT-2033                                        | OIS_CCP EUR RCV ESTR1D PAY 2.708% 31-OCT-2033                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     540000 | OU      | $4679.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV 2.738% PAY ESTR1D 01-NOV-2024                                        | OIS_CCP EUR RCV 2.738% PAY ESTR1D 01-NOV-2024                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    1950000 | OU      | $-1248.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV ESTR1D PAY 2.7255% 02-NOV-2027                                       | OIS_CCP EUR RCV ESTR1D PAY 2.7255% 02-NOV-2027                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |    2110000 | OU      | $-981.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP EUR RCV ESTR1D PAY 2.8025% 27-OCT-2033                                       | OIS_CCP EUR RCV ESTR1D PAY 2.8025% 27-OCT-2033                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     270000 | OU      | $180.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS CLP RCV CAMAR1D PAY 1.42% 01-APR-2023                                            | OIS CLP RCV CAMAR1D PAY 1.42% 01-APR-2023                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CL        |  357254000 | OU      | $18418.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS CLP RCV 1.65% PAY CLICP1D 28-MAY-2023                                            | OIS CLP RCV 1.65% PAY CLICP1D 28-MAY-2023                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CL        |  357254000 | OU      | $-33996.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1N PAY 0.306% 07-APR-2032                                       | OIS_CCP JPY RCV TONAR1N PAY 0.306% 07-APR-2032                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   88885710 | OU      | $8858.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1N PAY 0.3058% 07-APR-2032                                      | OIS_CCP JPY RCV TONAR1N PAY 0.3058% 07-APR-2032                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   78823177 | OU      | $7865.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1N PAY 0.3029% 07-APR-2032                                      | OIS_CCP JPY RCV TONAR1N PAY 0.3029% 07-APR-2032                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   90304785 | OU      | $9710.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1N PAY 0.298% 07-APR-2032                                       | OIS_CCP JPY RCV TONAR1N PAY 0.298% 07-APR-2032                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   89907875 | OU      | $9951.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1N PAY 0.30125% 07-APR-2032                                     | OIS_CCP JPY RCV TONAR1N PAY 0.30125% 07-APR-2032                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   90653453 | OU      | $9844.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP PLN RCV WIBOR3M PAY 6.15% 11-APR-2024                                        | IRS_CCP PLN RCV WIBOR3M PAY 6.15% 11-APR-2024                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | PL        |     558000 | OU      | $2277.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.53779% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.53779% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     299505 | OU      | $-30504.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.59176% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.59176% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     149666 | OU      | $-14657.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.56841% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.56841% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     299632 | OU      | $-29851.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.54832% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.54832% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     150220 | OU      | $-15185.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.55937% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.55937% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     299505 | OU      | $-30035.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.396% 02-MAY-2032                                       | OIS_CCP JPY RCV TONAR1D PAY 0.396% 02-MAY-2032                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |    4083500 | OU      | $183.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.3935% 02-MAY-2032                                      | OIS_CCP JPY RCV TONAR1D PAY 0.3935% 02-MAY-2032                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   58850500 | OU      | $2737.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.52196% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.52196% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     117823 | OU      | $-12135.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.52201% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.52201% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      88132 | OU      | $-9077.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.64714% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.64714% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     118014 | OU      | $-11082.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.55487% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.55487% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      88127 | OU      | $-8866.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.861% 09-MAY-2052                                       | OIS_CCP JPY RCV TONAR1D PAY 0.861% 09-MAY-2052                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   37819009 | OU      | $16988.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.64456% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.64456% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      58417 | OU      | $-5496.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.6463% PAY EURIB6M 15-FEB-2031                                      | IRS_CCP EUR RCV 1.6463% PAY EURIB6M 15-FEB-2031                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      58417 | OU      | $-5489.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.855% 09-MAY-2052                                       | OIS_CCP JPY RCV TONAR1D PAY 0.855% 09-MAY-2052                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   38201020 | OU      | $17565.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.68867% PAY EURIB6M 15-FEB-2031                                     | IRS_CCP EUR RCV 1.68867% PAY EURIB6M 15-FEB-2031                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |      60187 | OU      | $-5470.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IRS_CCP EUR RCV 1.8183% PAY EURIB6M 15-FEB-2031                                      | IRS_CCP EUR RCV 1.8183% PAY EURIB6M 15-FEB-2031                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | XX        |     238235 | OU      | $-19412.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.819% 30-MAY-2052                                       | OIS_CCP JPY RCV TONAR1D PAY 0.819% 30-MAY-2052                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   20918500 | OU      | $11063.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.867% 30-MAY-2052                                       | OIS_CCP JPY RCV TONAR1D PAY 0.867% 30-MAY-2052                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |   20918500 | OU      | $9285.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP JPY RCV TONAR1D PAY 0.812% 30-MAY-2052                                       | OIS_CCP JPY RCV TONAR1D PAY 0.812% 30-MAY-2052                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | JP        |    9969500 | OU      | $5396.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.27% 30-APR-2029                                         | OIS_CCP USD RCV SOFR1D PAY 3.27% 30-APR-2029                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    4174000 | OU      | $156763.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.05% 15-FEB-2048                                         | OIS_CCP USD RCV SOFR1D PAY 3.05% 15-FEB-2048                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    1807000 | OU      | $152085.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV 3.37% PAY CPI1D 18-NOV-2026                                          | RPI_CCP USD RCV 3.37% PAY CPI1D 18-NOV-2026                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    1170000 | OU      | $-34007.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RPI_CCP USD RCV CPI1D PAY 3.97% 18-NOV-2023                                          | RPI_CCP USD RCV CPI1D PAY 3.97% 18-NOV-2023                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    1170000 | OU      | $41246.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 1.63% PAY SOFR1O 15-MAY-2047                                         | OIS_CCP USD RCV 1.63% PAY SOFR1O 15-MAY-2047                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     310000 | OU      | $-98020.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV 1.55% PAY SOFR1O 04-MAR-2027                                         | OIS_CCP USD RCV 1.55% PAY SOFR1O 04-MAR-2027                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    4175000 | OU      | $-417595.99   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 1.65% 15-AUG-2047                                         | OIS_CCP USD RCV SOFR1O PAY 1.65% 15-AUG-2047                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    6080000 | OU      | $1911674.76   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 2% 18-MAR-2032                                            | OIS_CCP USD RCV SOFR1O PAY 2% 18-MAR-2032                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    2112000 | OU      | $297008.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 2.5% 21-APR-2052                                          | OIS_CCP USD RCV SOFR1O PAY 2.5% 21-APR-2052                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    2600000 | OU      | $443383.43    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 2.85% 15-FEB-2029                                         | OIS_CCP USD RCV SOFR1D PAY 2.85% 15-FEB-2029                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    2329000 | OU      | $137016.45    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 2.62% 15-FEB-2048                                         | OIS_CCP USD RCV SOFR1D PAY 2.62% 15-FEB-2048                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    2503000 | OU      | $390950.30    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 2.6% 15-FEB-2048                                          | OIS_CCP USD RCV SOFR1D PAY 2.6% 15-FEB-2048                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |     841000 | OU      | $131894.19    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 1.22% 15-AUG-2028                                         | OIS_CCP USD RCV SOFR1O PAY 1.22% 15-AUG-2028                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    4412000 | OU      | $635935.49    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 1.13% 15-AUG-2028                                         | OIS_CCP USD RCV SOFR1O PAY 1.13% 15-AUG-2028                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |   15840000 | OU      | $2359079.55   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 1.52% 15-FEB-2047                                         | OIS_CCP USD RCV SOFR1O PAY 1.52% 15-FEB-2047                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    3125000 | OU      | $1031473.10   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1O PAY 1.72875% 15-FEB-2047                                      | OIS_CCP USD RCV SOFR1O PAY 1.72875% 15-FEB-2047                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    2710000 | OU      | $800617.44    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| OIS_CCP USD RCV SOFR1D PAY 3.85% 30-JUN-2029                                         | OIS_CCP USD RCV SOFR1D PAY 3.85% 30-JUN-2029                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |    5264000 | OU      | $21851.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-01

**Name of Applicant:** Morningstar Funds Trust

**Signature:** Marc Peirce

**Name of Signer:** Marc Peirce

**Title:** Director Mutual Fund Compliance