# EDGAR Filing Document

**Accession Number:** 0000778207
**File Stem:** 0001752724-25-206853
**Filing Date:** 2025-8
**Character Count:** 308687
**Document Hash:** 66dbc88ea8fd27584859afca89923dab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-206853.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-206853

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRANSAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000778207

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04419
- **FILM NUMBER:** 251260023

**BUSINESS ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202
- **BUSINESS PHONE:** 720-482-8836

**MAIL ADDRESS:**
- **STREET 1:** 1801 CALIFORNIA STREET
- **STREET 2:** SUITE 5200
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES TRUST
- **DATE OF NAME CHANGE:** 20050511

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AEGON/TRANSAMERICA SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010501

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

## Series and Classes Contracts Data

### Transamerica Aegon Core Bond VP (Series ID: S000007896)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000021437 | Initial      |  |
| C000021438 | Service      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TRANSAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-04419

- **c. CIK number of Registrant:** 0000778207

- **d. LEI of Registrant:** 5493000QR1WGXIM5V222

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

  - **Street Address 1:** 1801 CALIFORNIA STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80202

  - **Telephone number:** 720-493-4256

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

- **a. Name of Series:** Transamerica Aegon Core Bond VP

- **b. EDGAR series identifier (if any):** S000007896

- **c. LEI of Series:** 5493000FFMR7RP5KH592

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $444882353.20

**Total Liabilities:** $68721534.55

**Net Assets:** $376160818.65

**Delayed Delivery Securities:** $66882413.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -450.00000000 | **1-Year:** -7170.41000000 | **5-Year:** -26275.84000000 | **10-Year:** -34236.81000000 | **30-Year:** -10833.36000000

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

- **3-Month:** -23.13000000 | **1-Year:** -907.71000000 | **5-Year:** -2940.27000000 | **10-Year:** -1532.34000000 | **30-Year:** -20.86000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021438 | 0.26%                | -0.59%               | 1.71%                |
| Class ID C000021437 | 0.28%                | -0.65%               | 1.68%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $404781.34               | $-820837.57                                |
| Month 2  | $-1299951.18             | $-2663962.65                               |
| Month 3  | $-931669.02              | $5755483.82                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SAFEHOLD GL HOLDINGS LLC                                                        | Safehold GL Holdings LLC                                                              | CUSIP: 785931AA4<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |    460000 | PA      | $478800.82    | 0.13%             | 2034-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS I LLC                                                            | QTS Issuer ABS I LLC                                                                  | CUSIP: 74690DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1120000 | PA      | $1134980.56   | 0.30%             | 2055-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18621 | PA      | $18593.64     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436189 | PA      | $427214.76    | 0.11%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1172000 | PA      | $1024996.40   | 0.27%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    249000 | PA      | $254576.59    | 0.07%             | 2031-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | Boeing Co.                                                                            | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    304000 | PA      | $332793.63    | 0.09%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    791100 | PA      | $774675.40    | 0.21%             | 2026-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    880000 | PA      | $859606.33    | 0.23%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5374 | PA      | $5505.95      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                             | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    463000 | PA      | $473717.22    | 0.13%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2388000 | PA      | $1146986.25   | 0.30%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17368 | PA      | $16607.15     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                                           | Chile Electricity Lux MPC II SARL                                                     | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    628536 | PA      | $628587.32    | 0.17%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    367300 | PA      | $274628.49    | 0.07%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27225 | PA      | $28533.94     | 0.01%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Owens Corning                                                                   | Owens Corning                                                                         | CUSIP: 690742AG6<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |    573000 | PA      | $461771.68    | 0.12%             | 2047-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30155 | PA      | $27855.08     | 0.01%             | 2029-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    529000 | PA      | $509431.13    | 0.14%             | 2029-02-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2457000 | PA      | $1751188.37   | 0.47%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |    299416 | PA      | $301465.48    | 0.08%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7644 | PA      | $7640.57      | 0.00%             | 2037-10-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16418 | PA      | $17039.85     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                 | Cigna Group                                                                           | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    536000 | PA      | $489110.45    | 0.13%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1681000 | PA      | $1672660.66   | 0.44%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1672000 | PA      | $1702860.10   | 0.45%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4215000 | PA      | $3794365.68   | 1.01%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP S                                                        | Tyco Electronics Group SA                                                             | CUSIP: 902133BD8<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |    691000 | PA      | $688159.29    | 0.18%             | 2035-05-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                                         | Shell International Finance BV                                                        | CUSIP: 822582BX9<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    323000 | PA      | $317392.15    | 0.08%             | 2026-09-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71654QDC3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    585000 | PA      | $565165.28    | 0.15%             | 2030-01-23      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                          | Roper Technologies, Inc.                                                              | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    528000 | PA      | $520693.99    | 0.14%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DBS Bank Ltd                                                                    | DBS Bank Ltd.                                                                         | CUSIP: 23305DV44<br>LEI: ATUEL7OJR5057F2PV266 | Long             | STIV             | CORP              | SG        |   4000000 | PA      | $3983115.60   | 1.06%             | 2025-08-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                                        | Cleveland Electric Illuminating Co.                                                   | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58000 | PA      | $60429.20     | 0.02%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1168000 | PA      | $1113590.17   | 0.30%             | 2039-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                                         | Colombia Government International Bonds                                               | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    447000 | PA      | $366592.44    | 0.10%             | 2031-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215353 | PA      | $194233.90    | 0.05%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | General Electric Co.                                                                  | CUSIP: 369604BH5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    919000 | PA      | $809779.97    | 0.22%             | 2044-03-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799767 | PA      | $692427.30    | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3884 | PA      | $3999.76      | 0.00%             | 2036-10-01      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd                                                              | Macquarie Bank Ltd.                                                                   | CUSIP: 55607KVK9<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | STIV             | CORP              | AU        |   4370000 | PA      | $4343092.16   | 1.15%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94990 | PA      | $11719.18     | 0.00%             | 2041-01-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                                                 | Renew Financial                                                                       | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     84002 | PA      | $77910.01     | 0.02%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22482 | PA      | $324.81       | 0.00%             | 2038-02-20      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                                     | Hertz Vehicle Financing III LLC                                                       | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    955000 | PA      | $970294.90    | 0.26%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5359 | PA      | $5198.45      | 0.00%             | 2033-07-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    751000 | PA      | $816852.65    | 0.22%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                               | CUSIP: 00774MBM6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    400000 | PA      | $391268.76    | 0.10%             | 2034-09-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                                 | SBA Tower Trust                                                                       | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   2168000 | PA      | $2227985.31   | 0.59%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                           | Micron Technology, Inc.                                                               | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    616000 | PA      | $630821.60    | 0.17%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                              | BMW U.S. Capital LLC                                                                  | CUSIP: 05565EAH8<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    550000 | PA      | $543151.53    | 0.14%             | 2026-04-11      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    764637 | PA      | $662013.60    | 0.18%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14640 | PA      | $15128.88     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    426000 | PA      | $423736.88    | 0.11%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3136AAJ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7981 | PA      | $7966.18      | 0.00%             | 2041-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                                      | MFA Trust                                                                             | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585606 | PA      | $532451.60    | 0.14%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Glencove Funding LLC                                                            | Glencove Funding LLC                                                                  | CUSIP: 37828VW25<br>LEI: 549300XUUQZO7I38ZR06 | Long             | STIV             | CORP              | IE        |   3750000 | PA      | $3720724.50   | 0.99%             | 2025-09-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    290000 | PA      | $228109.71    | 0.06%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| TAKEDA US FIN                                                                   | Takeda U.S. Financing, Inc.                                                           | CUSIP: 87406BAA0<br>LEI: 254900ZGPIBGBZ2N3A33 | Long             | DBT              | CORP              | US        |    692000 | PA      | $692073.08    | 0.18%             | 2035-07-07      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                                              | Viterra Finance BV                                                                    | CUSIP: 92852LAC3<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |    634000 | PA      | $635637.55    | 0.17%             | 2027-04-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2104000 | PA      | $2144600.64   | 0.57%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12782 | PA      | $12666.85     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040876 | PA      | $1073607.15   | 0.29%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | Broadcom, Inc.                                                                        | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    609000 | PA      | $513654.48    | 0.14%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                             | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67203 | PA      | $62977.26     | 0.02%             | 2035-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2349000 | PA      | $2375976.81   | 0.63%             | 2031-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2903000 | PA      | $2621204.89   | 0.70%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4243000 | PA      | $4253110.26   | 1.13%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCKET COS INC                                                                  | Rocket Cos., Inc.                                                                     | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $499324.70    | 0.13%             | 2030-08-01      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association Whole Loan                                      | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31927 | PA      | $31668.44     | 0.01%             | 2046-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                                                | ArcelorMittal SA                                                                      | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    745000 | PA      | $776577.00    | 0.21%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                           | Amrize Finance U.S. LLC                                                               | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    403000 | PA      | $408908.48    | 0.11%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | Truist Financial Corp.                                                                | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    978000 | PA      | $978611.84    | 0.26%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238794 | PA      | $222239.15    | 0.06%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3672 | PA      | $3733.93      | 0.00%             | 2037-03-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3158 | PA      | $3429.58      | 0.00%             | 2037-09-20      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                          | Philip Morris International, Inc.                                                     | CUSIP: 718172DQ9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    751000 | PA      | $747424.36    | 0.20%             | 2034-11-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUS                                                        | Huntington Ingalls Industries, Inc.                                                   | CUSIP: 446413AZ9<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    914000 | PA      | $850958.41    | 0.23%             | 2028-08-16      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       446 | PA      | $445.23       | 0.00%             | 2062-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1041800 | PA      | $579582.64    | 0.15%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1696764 | PA      | $1700238.07   | 0.45%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10093 | PA      | $10271.92     | 0.00%             | 2036-10-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    791000 | PA      | $792235.94    | 0.21%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | Barclays PLC                                                                          | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1070000 | PA      | $1078882.77   | 0.29%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                | Duke Energy Corp.                                                                     | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1018000 | PA      | $753774.29    | 0.20%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                             | Intesa Sanpaolo SpA                                                                   | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    672000 | PA      | $780056.77    | 0.21%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LKQ CORP                                                                        | LKQ Corp.                                                                             | CUSIP: 501889AF6<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | DBT              | CORP              | US        |    337000 | PA      | $355097.14    | 0.09%             | 2033-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | Truist Financial Corp.                                                                | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    287000 | PA      | $310444.21    | 0.08%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19805 | PA      | $19480.04     | 0.01%             | 2040-02-15      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1692800 | PA      | $1191704.76   | 0.32%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       912 | PA      | $953.83       | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7363 | PA      | $6357.40      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC                               | Ladder Capital Commercial Mortgage Trust                                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154000 | PA      | $145763.23    | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                                                 | Fair Isaac Corp.                                                                      | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    272000 | PA      | $274493.09    | 0.07%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mont Blanc Capital Corp                                                         | Mont Blanc Capital Corp.                                                              | CUSIP: 6117P4VF4<br>LEI: 549300NC8BUDZTUFIQ67 | Long             | STIV             | CORP              | US        |   4100000 | PA      | $4077001.46   | 1.08%             | 2025-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                                          | Anglo American Capital PLC                                                            | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    972000 | PA      | $972098.84    | 0.26%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                        | Duke Energy Progress LLC                                                              | CUSIP: 26442UAE4<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    706000 | PA      | $517209.39    | 0.14%             | 2047-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1669000 | PA      | $1653874.69   | 0.44%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                           | Venture Global Plaquemines LNG LLC                                                    | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    956000 | PA      | $1034795.43   | 0.28%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    696000 | PA      | $707225.09    | 0.19%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                                | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Principal Only STRIPS | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99 | PA      | $79.22        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6567 | PA      | $634.65       | 0.00%             | 2032-03-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4191 | PA      | $4042.42      | 0.00%             | 2034-11-21      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust                                                                   | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146919 | PA      | $146595.34    | 0.04%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                | Markel Group, Inc.                                                                    | CUSIP: 570535AT1<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |     96000 | PA      | $84168.06     | 0.02%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10101000 | PA      | $8738784.59   | 2.32%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    773500 | PA      | $454189.53    | 0.12%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                          | Williams Cos., Inc.                                                                   | CUSIP: 96950FAN4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     59000 | PA      | $55429.89     | 0.01%             | 2044-03-04      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828763 | PA      | $807444.88    | 0.21%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3648 | PA      | $3232.92      | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                   | J.M. Smucker Co.                                                                      | CUSIP: 832696AY4<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    296000 | PA      | $314010.14    | 0.08%             | 2043-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                               | Citigroup Mortgage Loan Trust, Inc.                                                   | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      1944 | PA      | $1856.87      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                                          | Diamondback Energy, Inc.                                                              | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    788000 | PA      | $790331.89    | 0.21%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated LLC                                                                       | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490304 | PA      | $457213.21    | 0.12%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17933 | PA      | $17761.22     | 0.00%             | 2035-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                                                 | CMS Energy Corp.                                                                      | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    103000 | PA      | $91844.47     | 0.02%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2010000 | PA      | $2064803.90   | 0.55%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                                   | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5959000 | PA      | $5884753.48   | 1.56%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2088300 | PA      | $1368081.23   | 0.36%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                                    | MASTR Resecuritization Trust, Principal Only STRIPS                                   | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3416 | PA      | $2671.00      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37 | PA      | $38.96        | 0.00%             | 2034-05-18      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16062000 | PA      | $13314926.26  | 3.54%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                 | Weyerhaeuser Co.                                                                      | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |    638000 | PA      | $622276.53    | 0.17%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                                            | COPT Defense Properties LP                                                            | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    355000 | PA      | $323429.90    | 0.09%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                                    | State Street Navigator Securities Lending Government Money Market Portfolio           | CUSIP: 857509301<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |    448350 | NS      | $448350.00    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31371LFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3760 | PA      | $3750.41      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    513000 | PA      | $389218.71    | 0.10%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17005 | PA      | $17800.74     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS Group AG                                                                          | CUSIP: 902613BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $385641.28    | 0.10%             | 2045-09-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9430000 | PA      | $9427842.60   | 2.51%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5211000 | PA      | $5247029.17   | 1.39%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    614000 | PA      | $621831.12    | 0.17%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14294 | PA      | $813.02       | 0.00%             | 2038-12-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                        | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    730000 | PA      | $735739.35    | 0.20%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10435 | PA      | $9445.98      | 0.00%             | 2034-12-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                                                   | ZF North America Capital, Inc.                                                        | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    406000 | PA      | $375241.82    | 0.10%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                    | MetLife Securitization Trust                                                          | CUSIP: 59166EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548161 | PA      | $538822.47    | 0.14%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13896 | PA      | $987.78       | 0.00%             | 2039-04-20      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1883 | PA      | $1911.67      | 0.00%             | 2036-12-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Hin Timeshare Trust                                                             | HINNT LLC                                                                             | CUSIP: 40472QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257674 | PA      | $261971.15    | 0.07%             | 2043-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11868 | PA      | $10543.11     | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21197 | PA      | $172.91       | 0.00%             | 2037-11-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                          | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    451000 | PA      | $457610.30    | 0.12%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3750 | PA      | $281.61       | 0.00%             | 2039-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                                        | JBS USA Holding Lux SARL/JBS USA Foods Group Holdings, Inc./JBS USA Food Co.          | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    971000 | PA      | $972427.37    | 0.26%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                               | Brown & Brown, Inc.                                                                   | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    780000 | PA      | $795394.88    | 0.21%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                         | Dell International LLC/EMC Corp.                                                      | CUSIP: 24703DBQ3<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    710000 | PA      | $685147.88    | 0.18%             | 2035-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                             | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    828000 | PA      | $731662.47    | 0.19%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKUQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2212915 | PA      | $2177130.99   | 0.58%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                                  | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    671000 | PA      | $635104.86    | 0.17%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                                                     | Cargill, Inc.                                                                         | CUSIP: 141781CD4<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    543000 | PA      | $546897.26    | 0.15%             | 2035-02-11      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | Allstate Corp.                                                                        | CUSIP: 020002BL4<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    966000 | PA      | $991335.02    | 0.26%             | 2029-06-24      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | Amgen, Inc.                                                                           | CUSIP: 031162DA5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    356000 | PA      | $257221.24    | 0.07%             | 2041-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                              | CUSIP: 91324PEX6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    542000 | PA      | $482959.22    | 0.13%             | 2063-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1862000 | PA      | $1701040.84   | 0.45%             | 2039-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    290000 | PA      | $314521.42    | 0.08%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                          | Aviation Capital Group LLC                                                            | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    322000 | PA      | $316892.83    | 0.08%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                         | Public Service Co. of Oklahoma                                                        | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    125000 | PA      | $135870.23    | 0.04%             | 2037-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       606 | PA      | $636.46       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3883 | PA      | $3156.53      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74209 | PA      | $72126.51     | 0.02%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                                     | Equifax, Inc.                                                                         | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    288000 | PA      | $292590.99    | 0.08%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7346 | PA      | $6216.51      | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                                             | Georgia-Pacific LLC                                                                   | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    381000 | PA      | $385573.11    | 0.10%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                          | PNC Financial Services Group, Inc.                                                    | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    587000 | PA      | $620974.85    | 0.17%             | 2034-08-18      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8936 | PA      | $9303.67      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    718000 | PA      | $740552.55    | 0.20%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                                  | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1929 | PA      | $1957.15      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-2 AA PTT                                                        | American Airlines Pass-Through Trust                                                  | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252512 | PA      | $242026.04    | 0.06%             | 2028-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                     | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    642000 | PA      | $658587.68    | 0.18%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591738 | PA      | $509340.34    | 0.14%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36400 | PA      | $1590.09      | 0.00%             | 2037-07-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2160 | PA      | $2139.59      | 0.00%             | 2037-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1204000 | PA      | $1160919.38   | 0.31%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | Synopsys, Inc.                                                                        | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    368000 | PA      | $370921.57    | 0.10%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |    622079 | PA      | $624302.72    | 0.17%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 82650BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222281 | PA      | $227138.17    | 0.06%             | 2040-04-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                                       | Kroger Co.                                                                            | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    376000 | PA      | $373310.83    | 0.10%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                           | Amrize Finance U.S. LLC                                                               | CUSIP: 43475RAK2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    220000 | PA      | $186691.12    | 0.05%             | 2046-09-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                    | WP Carey, Inc.                                                                        | CUSIP: 92936UAM1<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    486000 | PA      | $490300.85    | 0.13%             | 2034-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| First National Master Note Trust                                                | First National Master Note Trust                                                      | CUSIP: 32113CBV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1376704.92   | 0.37%             | 2029-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65539 | PA      | $67104.53     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747437 | PA      | $593322.60    | 0.16%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                         | Wachovia Bank Commercial Mortgage Trust, Interest Only STRIPS                         | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3355 | PA      | $0.03         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                                   | 321 Henderson Receivables VI LLC                                                      | CUSIP: 88576XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    393008 | PA      | $394090.34    | 0.10%             | 2059-07-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24380 | PA      | $1315.48      | 0.00%             | 2034-10-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    939000 | PA      | $964529.06    | 0.26%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    493000 | PA      | $499018.34    | 0.13%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1263200 | PA      | $906790.09    | 0.24%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5941000 | PA      | $5682100.01   | 1.51%             | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |    237452 | PA      | $240457.53    | 0.06%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                           | Vendee Mortgage Trust                                                                 | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24240 | PA      | $24583.50     | 0.01%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8853 | PA      | $695.06       | 0.00%             | 2036-06-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5953000 | PA      | $5534663.76   | 1.47%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    101204 | PA      | $2817.86      | 0.00%             | 2039-03-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Nieuw Amsterdam Receivables Corp BV                                             | Nieuw Amsterdam Receivables Corp. BV                                                  | CUSIP: 65409RVD9<br>LEI: 724500BM7HQ28ZIB2058 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4177604.76   | 1.11%             | 2025-08-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bills                                                                   | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1640000 | PA      | $1620945.25   | 0.43%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    668000 | PA      | $692502.95    | 0.18%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                        | Volkswagen Group of America Finance LLC                                               | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    650000 | PA      | $604890.04    | 0.16%             | 2027-11-24      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                        | Sabine Pass Liquefaction LLC                                                          | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    309000 | PA      | $307363.56    | 0.08%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10631 | PA      | $10833.57     | 0.00%             | 2036-07-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788720 | PA      | $662205.00    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132HT3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2328 | PA      | $2317.46      | 0.00%             | 2044-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6437 | PA      | $6752.36      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                       | ONEOK, Inc.                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    738000 | PA      | $780463.38    | 0.21%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                | BAT Capital Corp.                                                                     | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    921000 | PA      | $937182.75    | 0.25%             | 2035-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                                                        | Aptiv Swiss Holdings Ltd.                                                             | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    382000 | PA      | $341897.22    | 0.09%             | 2032-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SENSATA TECH INC                                                                | Sensata Technologies, Inc.                                                            | CUSIP: 81728UAA2<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    471000 | PA      | $449665.68    | 0.12%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                             | Thornburg Mortgage Securities Trust                                                   | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16020 | PA      | $15454.33     | 0.00%             | 2044-12-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAJ3<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |    303000 | PA      | $308674.86    | 0.08%             | 2027-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| EATON CAPITAL ULC                                                               | Eaton Capital ULC                                                                     | CUSIP: 27806HAA9<br>LEI: 549300OLS85LSODKAF64 | Long             | DBT              | CORP              | IE        |    365000 | PA      | $366709.95    | 0.10%             | 2030-05-09      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2296 | PA      | $2365.93      | 0.00%             | 2033-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                         | Bristol-Myers Squibb Co.                                                              | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    222000 | PA      | $215541.31    | 0.06%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                  | Structured Adjustable Rate Mortgage Loan Trust                                        | CUSIP: 86359BGJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38804 | PA      | $37785.66     | 0.01%             | 2034-02-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12206 | PA      | $809.36       | 0.00%             | 2041-04-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    857000 | PA      | $840429.10    | 0.22%             | 2044-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2425 | PA      | $164.98       | 0.00%             | 2037-11-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co                                                             | Emerson Electric Co.                                                                  | CUSIP: 29101AVJ0<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | STIV             | CORP              | US        |   2400000 | PA      | $2385822.72   | 0.63%             | 2025-08-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                              | Ingersoll Rand, Inc.                                                                  | CUSIP: 45687VAF3<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |    457000 | PA      | $469964.13    | 0.12%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                                 | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $2067809.99   | 0.55%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    110333 | PA      | $2022.93      | 0.00%             | 2038-08-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS                                          | CUSIP: 31394AB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21663 | PA      | $22247.81     | 0.01%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Bonds                                       | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3690628 | PA      | $3839894.66   | 1.02%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83301 | PA      | $81895.09     | 0.02%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                              | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8M7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    550000 | PA      | $566260.50    | 0.15%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| VERALTO CORP                                                                    | Veralto Corp.                                                                         | CUSIP: 92338CAF0<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |    380000 | PA      | $391912.63    | 0.10%             | 2033-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5566 | PA      | $6120.22      | 0.00%             | 2031-11-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Barton Capital SA                                                               | Barton Capital SA                                                                     | CUSIP: 06945LVD7<br>LEI: 549300KOFKIMD0C37W24 | Long             | STIV             | CORP              | US        |   2700000 | PA      | $2685453.48   | 0.71%             | 2025-08-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1119300 | PA      | $709749.88    | 0.19%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Lexington Parker Capital Co LLC                                                 | Lexington Parker Capital Co. LLC                                                      | CUSIP: 52953AVK8<br>LEI: 5493005MSQJBO8BDMA02 | Long             | STIV             | CORP              | US        |   2286000 | PA      | $2272061.80   | 0.60%             | 2025-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17737 | PA      | $1511.62      | 0.00%             | 2040-01-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11827 | PA      | $11152.43     | 0.00%             | 2034-12-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2208000 | PA      | $1883096.24   | 0.50%             | 2030-08-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 105698AC8<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |   1596588 | PA      | $1601404.22   | 0.43%             | 2064-10-27      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6280 | PA      | $864.76       | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9478 | PA      | $8054.42      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                               | General Motors Co.                                                                    | CUSIP: 37045VBC3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    306000 | PA      | $310651.77    | 0.08%             | 2028-04-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                       | GSMPS Mortgage Loan Trust                                                             | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47454 | PA      | $40758.04     | 0.01%             | 2035-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CORP FINANCIERA DE DESAR                                                        | Corp. Financiera de Desarrollo SA                                                     | CUSIP: 21987DAH7<br>LEI: 254900BOM7T4MG6T0J30 | Long             | DBT              | NUSS              | PE        |    392000 | PA      | $396096.40    | 0.11%             | 2030-05-06      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                         | Goldman Sachs Group, Inc.                                                             | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    487000 | PA      | $486913.11    | 0.13%             | 2056-01-28      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    832000 | PA      | $758940.00    | 0.20%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14963 | PA      | $1229.80      | 0.00%             | 2037-09-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QUVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612436 | PA      | $1640688.46   | 0.44%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                          | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1142000 | PA      | $687316.33    | 0.18%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31392ET34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113141 | PA      | $4275.26      | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | General Electric Co.                                                                  | CUSIP: 369604BF9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    442000 | PA      | $366850.62    | 0.10%             | 2042-10-09      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31456 | PA      | $13152.53     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137B2JP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295190 | PA      | $289450.47    | 0.08%             | 2043-06-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4435 | PA      | $3973.83      | 0.00%             | 2034-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                               | GXO Logistics, Inc.                                                                   | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   1236000 | PA      | $1075486.19   | 0.29%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                        | AerCap Ireland Capital DAC/AerCap Global Aviation Trust                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    864000 | PA      | $862540.01    | 0.23%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                                         | Laboratory Corp. of America Holdings                                                  | CUSIP: 50540RBB7<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    673000 | PA      | $657919.34    | 0.17%             | 2034-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12365 | PA      | $316.29       | 0.00%             | 2038-06-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                   | Boeing Co.                                                                            | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    894000 | PA      | $971356.41    | 0.26%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4172 | PA      | $3628.74      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                               | General Motors Co.                                                                    | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    162000 | PA      | $158901.95    | 0.04%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82486 | PA      | $62008.35     | 0.02%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6457 | PA      | $6943.85      | 0.00%             | 2034-04-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5626 | PA      | $5792.32      | 0.00%             | 2036-01-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5111 | PA      | $4270.73      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                        | Western Midstream Operating LP                                                        | CUSIP: 958667AE7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    501000 | PA      | $521394.85    | 0.14%             | 2033-04-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                 | CVS Health Corp.                                                                      | CUSIP: 126650EE6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    543000 | PA      | $536701.80    | 0.14%             | 2044-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2544000 | PA      | $2176610.63   | 0.58%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                                      | BXG Receivables Note Trust                                                            | CUSIP: 123919AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    639768 | PA      | $651547.53    | 0.17%             | 2038-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION INSURC INC                                                        | Constellation Insurance, Inc.                                                         | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |   1614000 | PA      | $1604785.80   | 0.43%             | 2030-01-24      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14267 | PA      | $14245.20     | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association, Principal Only STRIPS                          | CUSIP: 3136FAQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9219 | PA      | $8451.88      | 0.00%             | 2032-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10809 | PA      | $11027.45     | 0.00%             | 2037-02-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277778 | PA      | $268117.51    | 0.07%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9336500 | PA      | $8448803.13   | 2.25%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140HJHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156486 | PA      | $148052.97    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266526 | PA      | $255880.21    | 0.07%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3328000 | PA      | $3381656.81   | 0.90%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                                                 | DTE Electric Co.                                                                      | CUSIP: 23338VAD8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   1041000 | PA      | $878012.10    | 0.23%             | 2044-07-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                                          | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    360000 | PA      | $368652.67    | 0.10%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58903 | PA      | $50508.49     | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9735 | PA      | $9856.79      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                                    | Synopsys, Inc.                                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    265000 | PA      | $263478.47    | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22918 | PA      | $24240.88     | 0.01%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1427 | PA      | $1464.20      | 0.00%             | 2032-12-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4227300 | PA      | $4265775.02   | 1.13%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12042 | PA      | $9977.97      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       816 | PA      | $816.10       | 0.00%             | 2062-09-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                      | Fiserv, Inc.                                                                          | CUSIP: 337738BD9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    515000 | PA      | $529213.69    | 0.14%             | 2028-03-02      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4920 | PA      | $365.01       | 0.00%             | 2038-03-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                           | Keysight Technologies, Inc.                                                           | CUSIP: 49338LAE3<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    509000 | PA      | $511001.17    | 0.14%             | 2027-04-06      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                                         | SCF Equipment Trust LLC                                                               | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $836463.71    | 0.22%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62774 | PA      | $54823.24     | 0.01%             | 2034-09-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1966142 | PA      | $1936326.89   | 0.51%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust                                                                | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16581 | PA      | $12718.08     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | Corebridge Financial, Inc.                                                            | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    345000 | PA      | $358427.26    | 0.10%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS INC                                                           | Arrow Electronics, Inc.                                                               | CUSIP: 04273WAE1<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    300000 | PA      | $309804.09    | 0.08%             | 2034-04-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                     | Ovintiv, Inc.                                                                         | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    486000 | PA      | $501766.12    | 0.13%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                           | United Parcel Service, Inc.                                                           | CUSIP: 911312CJ3<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    372000 | PA      | $379359.95    | 0.10%             | 2035-05-14      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1334600 | PA      | $987030.54    | 0.26%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                           | MASTR Adjustable Rate Mortgages Trust                                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7592 | PA      | $7489.75      | 0.00%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                                              | RGA Global Funding                                                                    | CUSIP: 76209PAF0<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    906000 | PA      | $907968.79    | 0.24%             | 2031-12-06      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1208 | PA      | $1342.17      | 0.00%             | 2036-12-25      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | Citigroup, Inc.                                                                       | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    287000 | PA      | $300439.88    | 0.08%             | 2034-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                                                        | RenaissanceRe Holdings Ltd.                                                           | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |    139000 | PA      | $142812.13    | 0.04%             | 2035-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2250223 | PA      | $2259398.04   | 0.60%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138WU4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149369 | PA      | $145884.40    | 0.04%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9615 | PA      | $8282.10      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1412000 | PA      | $1371405.00   | 0.36%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2395361 | PA      | $2355638.75   | 0.63%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                             | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    277000 | PA      | $291013.10    | 0.08%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    895000 | PA      | $921291.25    | 0.24%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    371000 | PA      | $379551.61    | 0.10%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7884 | PA      | $8196.62      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $11.67        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1073000 | PA      | $875165.63    | 0.23%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    949000 | PA      | $689211.25    | 0.18%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273RAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    367000 | PA      | $321138.68    | 0.09%             | 2043-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust, Interest Only STRIPS                                          | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303195 | PA      | $20644.27     | 0.01%             | 2035-06-25      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37710 | PA      | $3434.12      | 0.00%             | 2035-09-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15090 | PA      | $1560.09      | 0.00%             | 2038-04-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280162 | PA      | $265838.32    | 0.07%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9437 | PA      | $733.16       | 0.00%             | 2039-02-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                           | Keysight Technologies, Inc.                                                           | CUSIP: 49338LAG8<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    244000 | PA      | $241230.09    | 0.06%             | 2034-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269387 | PA      | $251029.94    | 0.07%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    339000 | PA      | $322047.35    | 0.09%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                                                  | PHH Alternative Mortgage Trust, Interest Only STRIPS                                  | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45468 | PA      | $8331.73      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545100 | PA      | $537757.97    | 0.14%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10086 | PA      | $724.98       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247365 | PA      | $251411.73    | 0.07%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7244 | PA      | $7443.72      | 0.00%             | 2034-09-01      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145957 | PA      | $13061.47     | 0.00%             | 2037-10-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                                         | Oncor Electric Delivery Co. LLC                                                       | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     38000 | PA      | $36316.91     | 0.01%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4850 | PA      | $4636.34      | 0.00%             | 2034-05-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                          | Pacific Gas & Electric Co.                                                            | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $49901.59     | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                                  | Credit Suisse First Boston Mortgage Securities Corp.                                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4915 | PA      | $4916.03      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5359 | PA      | $5943.59      | 0.00%             | 2034-09-20      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                    | Comcast Corp.                                                                         | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    295000 | PA      | $173209.61    | 0.05%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26050 | PA      | $3542.71      | 0.00%             | 2037-07-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP                                                        | Health Care Service Corp. A Mutual Legal Reserve Co.                                  | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    227000 | PA      | $221091.34    | 0.06%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                                        | Canadian Pacific Railway Co.                                                          | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |   1146000 | PA      | $1005986.90   | 0.27%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NBCUniversal Media LLC                                                          | NBCUniversal Media LLC                                                                | CUSIP: 63946BAJ9<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |    362000 | PA      | $311799.49    | 0.08%             | 2043-01-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                 | MVW LLC                                                                               | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522852 | PA      | $526767.72    | 0.14%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22062 | PA      | $20952.38     | 0.01%             | 2033-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8744 | PA      | $8683.96      | 0.00%             | 2037-02-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS                                                        | Fortitude Group Holdings LLC                                                          | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |    272000 | PA      | $279836.22    | 0.07%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                                             | Charles Schwab Corp.                                                                  | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    258000 | PA      | $274076.31    | 0.07%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7241 | PA      | $25.25        | 0.00%             | 2039-02-16      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420217 | PA      | $424058.68    | 0.11%             | 2064-02-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | Ford Motor Credit Co. LLC                                                             | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1063867.16   | 0.28%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | Banco Santander SA                                                                    | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $609650.11    | 0.16%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8038 | PA      | $8481.50      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAFCO LLC                                                                       | CAFCO LLC                                                                             | CUSIP: 1247P2WA8<br>LEI: 8O46YQAGJ63WE5QHIG35 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4163174.40   | 1.11%             | 2025-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust                                                 | CUSIP: 95000FAT3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |   1103000 | PA      | $1082132.01   | 0.29%             | 2048-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $1010.60      | 0.00%             | 2032-02-25      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                                                          | Boardwalk Pipelines LP                                                                | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    322000 | PA      | $297445.14    | 0.08%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                         | Hyundai Capital America                                                               | CUSIP: 44891ADX2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    976000 | PA      | $988499.80    | 0.26%             | 2032-06-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3385 | PA      | $3522.98      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8655 | PA      | $8944.46      | 0.00%             | 2035-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MARKEL GROUP INC                                                                | Markel Group, Inc.                                                                    | CUSIP: 570535AY0<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    369000 | PA      | $368480.63    | 0.10%             | 2054-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178282 | PA      | $16964.43     | 0.00%             | 2036-03-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256802 | PA      | $1094277.94   | 0.29%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                                             | Cardinal Health, Inc.                                                                 | CUSIP: 14149YBP2<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    366000 | PA      | $376608.37    | 0.10%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    318000 | PA      | $327172.26    | 0.09%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    662000 | PA      | $646355.08    | 0.17%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9120 | PA      | $534.66       | 0.00%             | 2038-01-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Sheffield Receivables Co LLC                                                    | Sheffield Receivables Co. LLC                                                         | CUSIP: 82124LWA6<br>LEI: 549300MYF6MOTU9T3G29 | Long             | STIV             | CORP              | US        |    840000 | PA      | $832628.16    | 0.22%             | 2025-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H33Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301642 | PA      | $287295.89    | 0.08%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HEICO CORP                                                                      | HEICO Corp.                                                                           | CUSIP: 422806AB5<br>LEI: 529900O1DTDLCJ7L0I14 | Long             | DBT              | CORP              | US        |    618000 | PA      | $632498.79    | 0.17%             | 2033-08-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8387 | PA      | $1019.66      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                           | Wells Fargo & Co.                                                                     | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    832000 | PA      | $858646.86    | 0.23%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                             | Quanta Services, Inc.                                                                 | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     31000 | PA      | $31379.60     | 0.01%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                                                  | Merck & Co., Inc.                                                                     | CUSIP: 58933YBM6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    232000 | PA      | $213280.88    | 0.06%             | 2053-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2822000 | PA      | $2807669.55   | 0.75%             | 2028-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                          | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    530000 | PA      | $589540.10    | 0.16%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3998 | PA      | $3928.56      | 0.00%             | 2033-06-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Principal Only STRIPS                | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5103 | PA      | $4118.88      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                                 | Securitized Asset-Backed Receivables LLC Trust                                        | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12352 | PA      | $10544.84     | 0.00%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    833598 | PA      | $838273.17    | 0.22%             | 2042-01-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                            | Bank of America Corp.                                                                 | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1064000 | PA      | $1091039.43   | 0.29%             | 2036-05-09      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1799000 | PA      | $1735843.80   | 0.46%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                                        | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    408000 | PA      | $426556.66    | 0.11%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26629 | PA      | $23171.34     | 0.01%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | Banco Santander SA                                                                    | CUSIP: 05964HBK0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $421411.97    | 0.11%             | 2035-01-17      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3610 | PA      | $3586.07      | 0.00%             | 2060-03-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                      | Intuit, Inc.                                                                          | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    227000 | PA      | $225373.50    | 0.06%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160572 | PA      | $149439.82    | 0.04%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29443 | PA      | $29972.34     | 0.01%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $1660.57      | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       453 | PA      | $450.42       | 0.00%             | 2060-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564160 | PA      | $536258.89    | 0.14%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2798 | PA      | $2778.27      | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                                      | Impac Secured Assets Trust                                                            | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9668 | PA      | $8910.73      | 0.00%             | 2036-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                               | Expedia Group, Inc.                                                                   | CUSIP: 30212PBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    727000 | PA      | $732011.12    | 0.19%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                            | FREMF Mortgage Trust                                                                  | CUSIP: 30307MAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $852109.92    | 0.23%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1698 | PA      | $1845.65      | 0.00%             | 2033-09-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                          | PNC Financial Services Group, Inc.                                                    | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    104000 | PA      | $108055.58    | 0.03%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| GTA Funding LLC                                                                 | GTA Funding LLC                                                                       | CUSIP: 40060WVU3<br>LEI: 254900AKBBBSYOV90641 | Long             | STIV             | CORP              | US        |   3750000 | PA      | $3723019.88   | 0.99%             | 2025-08-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC                                                               | GXO Logistics, Inc.                                                                   | CUSIP: 36262GAG6<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    347000 | PA      | $362966.62    | 0.10%             | 2034-05-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2636700 | PA      | $2720332.83   | 0.72%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    230000 | PA      | $235394.62    | 0.06%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826943AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620380 | PA      | $625471.80    | 0.17%             | 2040-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                                        | EQT Corp.                                                                             | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    234000 | PA      | $241369.74    | 0.06%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                             | Gilead Sciences, Inc.                                                                 | CUSIP: 375558CC5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    591000 | PA      | $598567.32    | 0.16%             | 2035-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust, Interest Only STRIPS      | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60275 | PA      | $9385.31      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Manhattan Asset Funding Co LLC                                                  | Manhattan Asset Funding Co. LLC                                                       | CUSIP: 56274LZB3<br>LEI: 549300S0NSJYSOB32S63 | Long             | STIV             | CORP              | US        |   2700000 | PA      | $2646781.92   | 0.70%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                             | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AQ6<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    334000 | PA      | $337315.48    | 0.09%             | 2033-05-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                                    | Centene Corp.                                                                         | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    422000 | PA      | $388676.14    | 0.10%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                                             | Vulcan Materials Co.                                                                  | CUSIP: 929160BC2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |    450000 | PA      | $458085.32    | 0.12%             | 2034-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                                     | Bear Stearns ARM Trust                                                                | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10193 | PA      | $9705.94      | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                              | Alcon Finance Corp.                                                                   | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    324000 | PA      | $321566.55    | 0.09%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                         | Bayer U.S. Finance II LLC                                                             | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    575000 | PA      | $569645.69    | 0.15%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1154 | PA      | $1026.23      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                                              | Accelerated LLC                                                                       | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64258 | PA      | $59741.96     | 0.02%             | 2040-10-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227445 | PA      | $231675.62    | 0.06%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38373MA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10108 | PA      | $11146.21     | 0.00%             | 2037-04-20      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                                    | Hudson Yards Mortgage Trust                                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $845298.23    | 0.22%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                           | Uber Technologies, Inc.                                                               | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    282000 | PA      | $276990.66    | 0.07%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                              | Chase Mortgage Finance Trust                                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6425 | PA      | $6402.96      | 0.00%             | 2035-06-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Liberty Street Funding LLC                                                      | Liberty Street Funding LLC                                                            | CUSIP: 53127TW25<br>LEI: 549300F33VRHM10B9391 | Long             | STIV             | CORP              | US        |   3750000 | PA      | $3720782.25   | 0.99%             | 2025-09-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                         | GSR Mortgage Loan Trust                                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4666 | PA      | $4779.10      | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2382000 | PA      | $2428988.67   | 0.65%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2881481 | PA      | $2609953.96   | 0.69%             | 2060-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138WCQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172946 | PA      | $164467.50    | 0.04%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                                              | Dominican Republic International Bonds                                                | CUSIP: 25714PEZ7<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    857000 | PA      | $861670.65    | 0.23%             | 2036-06-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9721 | PA      | $9801.77      | 0.00%             | 2036-06-27      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2354 | PA      | $2496.53      | 0.00%             | 2034-05-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1433000 | PA      | $1488472.49   | 0.40%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826944AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250367 | PA      | $258025.29    | 0.07%             | 2040-09-20      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5000 | PA      | $105.24       | 0.00%             | 2039-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| ADVANCED MICRO DEVICES                                                          | Advanced Micro Devices, Inc.                                                          | CUSIP: 007903BF3<br>LEI: R2I72C950HOYXII45366 | Long             | DBT              | CORP              | US        |    779000 | PA      | $751763.48    | 0.20%             | 2032-06-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1032200 | PA      | $950511.05    | 0.25%             | 2029-08-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27070 | PA      | $28275.21     | 0.01%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                         | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $567417.60    | 0.15%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21842 | PA      | $20544.04     | 0.01%             | 2033-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18109 | PA      | $16927.96     | 0.00%             | 2033-08-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6543 | PA      | $7720.43      | 0.00%             | 2036-03-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6609 | PA      | $6586.89      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | Enbridge, Inc.                                                                        | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    504000 | PA      | $509047.10    | 0.14%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19489 | PA      | $1284.16      | 0.00%             | 2037-03-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                        | Capital One Financial Corp.                                                           | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    179000 | PA      | $182230.42    | 0.05%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    548000 | PA      | $533507.97    | 0.14%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                        | Occidental Petroleum Corp.                                                            | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    310000 | PA      | $310996.96    | 0.08%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1691 | PA      | $1101.76      | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4005 | PA      | $3418.77      | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                                                   | Carnival Corp.                                                                        | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    419000 | PA      | $428700.69    | 0.11%             | 2033-02-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                                               | Sierra Timeshare Receivables Funding LLC                                              | CUSIP: 826935AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501314 | PA      | $504691.14    | 0.13%             | 2043-01-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7305 | PA      | $7620.93      | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                          | UnitedHealth Group, Inc.                                                              | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    432000 | PA      | $436362.13    | 0.12%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Diameter Capital CLO                                                            | Diameter Capital CLO 1 Ltd.                                                           | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1905158.50   | 0.51%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                                   | Chase Funding Trust                                                                   | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11799 | PA      | $11668.19     | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM, Inc.                                                                        | CUSIP: 747525BJ1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    408000 | PA      | $279680.10    | 0.07%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31393FKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8652 | PA      | $9023.16      | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                             | Banc of America Funding Trust, Principal Only STRIPS                                  | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5801 | PA      | $4208.14      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1266942 | PA      | $1215816.66   | 0.32%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                                | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    748000 | PA      | $725573.76    | 0.19%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                                                 | CMS Energy Corp.                                                                      | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     81000 | PA      | $79072.69     | 0.02%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13420 | PA      | $1062.68      | 0.00%             | 2037-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1214000 | PA      | $1133224.18   | 0.30%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22015 | PA      | $1762.64      | 0.00%             | 2038-02-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                                    | BAMLL Commercial Mortgage Securities Trust                                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $137290.12    | 0.04%             | 2046-08-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3131Y1WR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321230 | PA      | $312466.72    | 0.08%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17266 | PA      | $17806.21     | 0.00%             | 2036-06-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3456 | PA      | $3563.05      | 0.00%             | 2036-05-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MUNICH RE                                                                       | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen                             | CUSIP: 62582PAA8<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $613500.00    | 0.16%             | 2042-05-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41885 | PA      | $34645.57     | 0.01%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                                                          | Cadence Design Systems, Inc.                                                          | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    364000 | PA      | $359608.15    | 0.10%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8176 | PA      | $7824.67      | 0.00%             | 2034-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                            | Shell Finance U.S., Inc.                                                              | CUSIP: 822905AH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    428000 | PA      | $329927.56    | 0.09%             | 2046-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                                                         | National Bank of Canada                                                               | CUSIP: 63307LUX7<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | STIV             | CORP              | CA        |   4000000 | PA      | $3985013.20   | 1.06%             | 2025-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4794 | PA      | $4161.84      | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                                          | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC                  | CUSIP: 01309QAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88000 | PA      | $90712.69     | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1832600 | PA      | $1119389.30   | 0.30%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                                     | Nutrien Ltd.                                                                          | CUSIP: 67077MBA5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    362000 | PA      | $367123.10    | 0.10%             | 2028-03-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426217 | PA      | $1349759.71   | 0.36%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                          | NXP BV/NXP Funding LLC/NXP USA, Inc.                                                  | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    382000 | PA      | $245660.21    | 0.07%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    595000 | PA      | $558654.48    | 0.15%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    504200 | PA      | $363949.68    | 0.10%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    633100 | PA      | $542017.68    | 0.14%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | Bravo Residential Funding Trust                                                       | CUSIP: 10569MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529751 | PA      | $532763.33    | 0.14%             | 2064-12-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18723 | PA      | $1508.52      | 0.00%             | 2037-11-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14197 | PA      | $14598.69     | 0.00%             | 2036-02-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                                               | Brown & Brown, Inc.                                                                   | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    202000 | PA      | $206020.45    | 0.05%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | Oracle Corp.                                                                          | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    412000 | PA      | $324801.35    | 0.09%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7385 | PA      | $6391.52      | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SITIOS LATINOAMERICA                                                            | Sitios Latinoamerica SAB de CV                                                        | CUSIP: 82983PAA1<br>LEI: 984500D2C0CDC0BFDD35 | Long             | DBT              | CORP              | MX        |    442000 | PA      | $450062.08    | 0.12%             | 2029-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                                         | Starwood Property Trust, Inc.                                                         | CUSIP: 85571BBC8<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    284000 | PA      | $287249.81    | 0.08%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2243000 | PA      | $2222322.34   | 0.59%             | 2026-01-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                        | JPMorgan Mortgage Trust                                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2635 | PA      | $2613.56      | 0.00%             | 2033-11-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140QRW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342385 | PA      | $2314161.05   | 0.62%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263594 | PA      | $245314.98    | 0.07%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Bonds                                       | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    986035 | PA      | $998605.35    | 0.27%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15152 | PA      | $499.94       | 0.00%             | 2037-05-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                            | Federal National Mortgage Association REMICS                                          | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8588 | PA      | $8672.80      | 0.00%             | 2042-10-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                                        | KLA Corp.                                                                             | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    580000 | PA      | $401832.27    | 0.11%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    382000 | PA      | $364034.06    | 0.10%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59592 | PA      | $54558.95     | 0.01%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                                             | Nomura Asset Acceptance Corp. Alternative Loan Trust                                  | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9691 | PA      | $9736.15      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                                        | Hess Midstream Operations LP                                                          | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    316000 | PA      | $324977.24    | 0.09%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630048 | PA      | $631058.92    | 0.17%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                             | Quanta Services, Inc.                                                                 | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    667000 | PA      | $614880.59    | 0.16%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                          | Canadian Imperial Bank of Commerce                                                    | CUSIP: 13607PVQ4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    460000 | PA      | $471188.55    | 0.13%             | 2031-01-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6277 | PA      | $5772.07      | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | HERO Funding Trust                                                                    | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    180878 | PA      | $163511.36    | 0.04%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                                        | Prudential Financial, Inc.                                                            | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    718000 | PA      | $654905.46    | 0.17%             | 2050-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    838000 | PA      | $854530.86    | 0.23%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95654 | PA      | $69690.37     | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1286000 | PA      | $1283287.34   | 0.34%             | 2028-05-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1462000 | PA      | $1077197.04   | 0.29%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                          | Sequoia Mortgage Trust                                                                | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35097 | PA      | $32179.92     | 0.01%             | 2034-10-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1178600 | PA      | $838095.09    | 0.22%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36752 | PA      | $1845.62      | 0.00%             | 2038-05-16      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    618000 | PA      | $542510.20    | 0.14%             | 2031-09-23      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11608 | PA      | $12148.68     | 0.00%             | 2033-07-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                                        | Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates                 | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25552 | PA      | $26514.67     | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | American Express Co.                                                                  | CUSIP: 025816DU0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    577000 | PA      | $599815.60    | 0.16%             | 2030-04-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5771 | PA      | $370.91       | 0.00%             | 2040-04-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2967 | PA      | $2578.86      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2406 | PA      | $2125.95      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    648000 | PA      | $658734.31    | 0.18%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80768 | PA      | $9087.01      | 0.00%             | 2038-06-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10006 | PA      | $10483.04     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                                                    | ADT Security Corp.                                                                    | CUSIP: 00109LAA1<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    387000 | PA      | $373857.44    | 0.10%             | 2029-08-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5368 | PA      | $4744.34      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITADEL LP                                                                      | Citadel LP                                                                            | CUSIP: 17288XAD6<br>LEI: 549300IPM6EKPVUPFL67 | Long             | DBT              | CORP              | US        |    157000 | PA      | $162322.32    | 0.04%             | 2030-01-23      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2569 | PA      | $2485.71      | 0.00%             | 2038-03-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55551 | PA      | $55244.47     | 0.01%             | 2041-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    598000 | PA      | $601498.37    | 0.16%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    614216 | PA      | $548737.70    | 0.15%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16664 | PA      | $18280.08     | 0.00%             | 2034-05-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                                                 | CSL Finance PLC                                                                       | CUSIP: 12661PAD1<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    353000 | PA      | $312122.14    | 0.08%             | 2042-04-27      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13945 | PA      | $226.50       | 0.00%             | 2037-06-16      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                            | M&T Bank Corp.                                                                        | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    213000 | PA      | $212260.14    | 0.06%             | 2036-01-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3024 | PA      | $3145.64      | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25371 | PA      | $24845.93     | 0.01%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                | COLT Mortgage Loan Trust                                                              | CUSIP: 12665LAA2<br>LEI: 213800Z2Q6LED8DB8K38 | Long             | ABS-MBS          | CORP              | US        |    982157 | PA      | $989711.41    | 0.26%             | 2069-04-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                           | Mexico Government International Bonds                                                 | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1053000 | PA      | $1030202.55   | 0.27%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24176 | PA      | $25105.20     | 0.01%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mainbeach Funding LLC                                                           | Mainbeach Funding LLC                                                                 | CUSIP: 56037BVT8<br>LEI: 635400CWJW29VERCBI90 | Long             | STIV             | CORP              | IE        |   3600000 | PA      | $3574422.00   | 0.95%             | 2025-08-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1922 | PA      | $2351.70      | 0.00%             | 2036-10-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | Viatris, Inc.                                                                         | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    310000 | PA      | $295392.12    | 0.08%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                        | Anheuser-Busch InBev Worldwide, Inc.                                                  | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    588000 | PA      | $500019.95    | 0.13%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                                | Federal Home Loan Mortgage Corp., Interest Only STRIPS                                | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12046 | PA      | $1787.29      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2604 | PA      | $2817.12      | 0.00%             | 2035-06-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                               | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    468000 | PA      | $476090.48    | 0.13%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3248 | PA      | $3043.19      | 0.00%             | 2034-06-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    452700 | PA      | $437757.36    | 0.12%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                                     | Swedbank AB                                                                           | CUSIP: 87020WW24<br>LEI: M312WZV08Y7LYUC71685 | Long             | STIV             | CORP              | SE        |   3750000 | PA      | $3721282.50   | 0.99%             | 2025-09-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                                                     | Merrill Lynch Mortgage Investors Trust                                                | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41033 | PA      | $39043.13     | 0.01%             | 2028-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    736800 | PA      | $776805.94    | 0.21%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                                                         | Schlumberger Holdings Corp.                                                           | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    527000 | PA      | $521691.48    | 0.14%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust                            | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44372 | PA      | $40984.47     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                                                  | NRG Energy, Inc.                                                                      | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    140000 | PA      | $141395.24    | 0.04%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10235 | PA      | $11274.85     | 0.00%             | 2034-04-16      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29735 | PA      | $1886.75      | 0.00%             | 2038-09-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                   | AppLovin Corp.                                                                        | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    568000 | PA      | $576687.88    | 0.15%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP                                                                  | Whirlpool Corp.                                                                       | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |    239000 | PA      | $241100.51    | 0.06%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                           | Aon North America, Inc.                                                               | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    561000 | PA      | $552832.35    | 0.15%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                 | Chevron USA, Inc.                                                                     | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    456000 | PA      | $442289.26    | 0.12%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16519 | PA      | $16553.57     | 0.00%             | 2062-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                           | American Homes 4 Rent LP                                                              | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    607000 | PA      | $617146.96    | 0.16%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1362 | PA      | $1366.65      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                                      | Kenvue, Inc.                                                                          | CUSIP: 49177JAH5<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    810000 | PA      | $834517.80    | 0.22%             | 2030-03-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    307000 | PA      | $308007.34    | 0.08%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                                        | Greensaif Pipelines Bidco SARL                                                        | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    336000 | PA      | $339358.99    | 0.09%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                    | Hilton Grand Vacations Trust                                                          | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390249 | PA      | $394100.35    | 0.10%             | 2040-08-27      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31392PU37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9839 | PA      | $9976.25      | 0.00%             | 2032-07-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       925 | PA      | $924.81       | 0.00%             | 2061-05-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5771 | PA      | $612.48       | 0.00%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10319 | PA      | $10470.61     | 0.00%             | 2036-11-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                    | 7-Eleven, Inc.                                                                        | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    682000 | PA      | $577632.69    | 0.15%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $726187.50    | 0.19%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                                      | FIXED INC CLEARING CORP.REPO                                                          | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  10204760 | PA      | $10204759.94  | 2.71%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                               | NatWest Group PLC                                                                     | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    819000 | PA      | $850488.09    | 0.23%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140XKS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2257608 | PA      | $2163557.86   | 0.58%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30713 | PA      | $29342.66     | 0.01%             | 2035-07-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                        | KGS-Alpha SBA COOF Trust, Interest Only STRIPS                                        | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     32736 | PA      | $1878.83      | 0.00%             | 2040-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1653000 | PA      | $1672952.22   | 0.44%             | 2028-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57610 | PA      | $54285.63     | 0.01%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1962000 | PA      | $1830637.98   | 0.49%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                              | Alternative Loan Trust, Interest Only STRIPS                                          | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109304 | PA      | $5293.07      | 0.00%             | 2035-07-25      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP                                                                   | Allstate Corp.                                                                        | CUSIP: 020002BK6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    302000 | PA      | $309619.27    | 0.08%             | 2033-03-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                  | Lowe's Cos., Inc.                                                                     | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    788000 | PA      | $743181.57    | 0.20%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                        | Avis Budget Rental Car Funding AESOP LLC                                              | CUSIP: 05377RHL1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $1109662.09   | 0.29%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust                                                             | CUSIP: 89181JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072245 | PA      | $1035970.20   | 0.28%             | 2063-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust                                                       | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184433 | PA      | $186198.30    | 0.05%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                                                | MGM Resorts International                                                             | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    628000 | PA      | $638767.56    | 0.17%             | 2029-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                                                    | NNN REIT, Inc.                                                                        | CUSIP: 637417AU0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    919000 | PA      | $914099.72    | 0.24%             | 2031-02-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2483800 | PA      | $1715471.39   | 0.46%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust                                                   | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228776 | PA      | $217227.63    | 0.06%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Principal Only STRIPS                        | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1418 | PA      | $1164.37      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                                        | OCP SA                                                                                | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    367000 | PA      | $380135.30    | 0.10%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602880 | PA      | $570859.09    | 0.15%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1785000 | PA      | $1630067.57   | 0.43%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3487000 | PA      | $3063111.56   | 0.81%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                                                  | Manhattan West Mortgage Trust                                                         | CUSIP: 563136AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $776271.17    | 0.21%             | 2039-09-10      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AF9<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    542000 | PA      | $516860.40    | 0.14%             | 2043-05-19      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3368 | PA      | $3439.52      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | Enbridge, Inc.                                                                        | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    655000 | PA      | $672956.92    | 0.18%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                           | Tennessee Valley Authority                                                            | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1459000 | PA      | $1613035.98   | 0.43%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2572000 | PA      | $2212924.67   | 0.59%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                                    | Washington Mutual Mortgage Pass-Through Certificates Trust, Interest Only STRIPS      | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157345 | PA      | $7715.27      | 0.00%             | 2035-04-25      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48622 | PA      | $40275.93     | 0.01%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Concord Minutemen Capital Co LLC                                                | Concord Minutemen Capital Co. LLC                                                     | CUSIP: 2063C0UM2<br>LEI: 549300B4YYZ4SNU1JB49 | Long             | STIV             | CORP              | US        |   4200000 | PA      | $4189288.32   | 1.11%             | 2025-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                         | Imperial Brands Finance PLC                                                           | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    765000 | PA      | $767596.31    | 0.20%             | 2035-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    726000 | PA      | $797467.81    | 0.21%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                                    | Ecopetrol SA                                                                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    574000 | PA      | $564099.69    | 0.15%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS                                       | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $29.34        | 0.00%             | 2060-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                       | Amgen, Inc.                                                                           | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    340000 | PA      | $337284.52    | 0.09%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4811000 | PA      | $3807365.74   | 1.01%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                         | HCA, Inc.                                                                             | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    460000 | PA      | $450018.44    | 0.12%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                                        | Element Fleet Management Corp.                                                        | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1047000 | PA      | $1056200.97   | 0.28%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                                 | Goodgreen Trust                                                                       | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61658 | PA      | $56773.21     | 0.02%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                                       | Structured Asset Mortgage Investments II Trust                                        | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80046 | PA      | $76127.33     | 0.02%             | 2034-01-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS, Interest Only STRIPS                         | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21695 | PA      | $1949.52      | 0.00%             | 2038-01-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7572 | PA      | $6707.33      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                                          | Bank of New York Mellon Corp.                                                         | CUSIP: 06406YAB8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    225000 | PA      | $229161.80    | 0.06%             | 2039-07-21      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates     | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181315 | PA      | $180768.71    | 0.05%             | 2025-07-25      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    735000 | PA      | $673357.62    | 0.18%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                          | Bunge Ltd. Finance Corp.                                                              | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    692000 | PA      | $671425.53    | 0.18%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                                                 | Federal National Mortgage Association, Principal Only STRIPS                          | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1555 | PA      | $1386.18      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                        | OBX Trust                                                                             | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624622 | PA      | $626234.91    | 0.17%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                         | WaMu Mortgage Pass-Through Certificates Trust                                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15201 | PA      | $14999.40     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                        | Ford Motor Credit Co. LLC                                                             | CUSIP: 345397C43<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    600000 | PA      | $605786.39    | 0.16%             | 2026-03-06      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133698 | PA      | $124586.61    | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18538 | PA      | $1530.90      | 0.00%             | 2038-09-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19682 | PA      | $21192.15     | 0.01%             | 2035-07-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS                                          | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2773 | PA      | $2917.17      | 0.00%             | 2034-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2036000 | PA      | $1981918.75   | 0.53%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3524000 | PA      | $3416765.77   | 0.91%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $916341.79    | 0.24%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC/Charter Communications Operating Capital         | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    515000 | PA      | $412035.16    | 0.11%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2154000 | PA      | $1372249.45   | 0.36%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                              | HERO Funding Trust                                                                    | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163730 | PA      | $151166.66    | 0.04%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                       | Uniform Mortgage-Backed Security, TBA                                                 | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4437000 | PA      | $4347817.01   | 1.16%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                | CIFC Funding Ltd.                                                                     | CUSIP: 12549BAY4<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |    505801 | PA      | $506103.12    | 0.13%             | 2030-10-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 912828P46<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1623000 | PA      | $1597497.98   | 0.42%             | 2026-02-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    376000 | PA      | $365177.89    | 0.10%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5092 | PA      | $4481.50      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp. REMICS                                               | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37111 | PA      | $36638.45     | 0.01%             | 2037-07-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1127000 | PA      | $993961.17    | 0.26%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Inflation-Protected Indexed Notes                                       | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2011704 | PA      | $1889672.88   | 0.50%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12203 | PA      | $983.56       | 0.00%             | 2037-04-16      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                              | Royalty Pharma PLC                                                                    | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    464000 | PA      | $411314.29    | 0.11%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | Ally Financial, Inc.                                                                  | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    174000 | PA      | $177097.73    | 0.05%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                                 | MVW LLC                                                                               | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545622 | PA      | $555454.51    | 0.15%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1385000 | PA      | $1390410.16   | 0.37%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Interest Only STRIPS                    | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8245 | PA      | $664.95       | 0.00%             | 2039-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Bonds                                                                   | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1361000 | PA      | $1359564.57   | 0.36%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                        | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    391000 | PA      | $391600.78    | 0.10%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12922 | PA      | $1032.09      | 0.00%             | 2039-06-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10160 | PA      | $40.96        | 0.00%             | 2037-11-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                                          | Philip Morris International, Inc.                                                     | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    571000 | PA      | $599570.78    | 0.16%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                          | Verizon Communications, Inc.                                                          | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    666000 | PA      | $576243.20    | 0.15%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                     | Federal Home Loan Mortgage Corp.                                                      | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124814 | PA      | $119977.36    | 0.03%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL                                                          | American International Group, Inc.                                                    | CUSIP: 026874DX2<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    282000 | PA      | $289197.49    | 0.08%             | 2035-05-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                                        | Microchip Technology, Inc.                                                            | CUSIP: 595017BE3<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    581000 | PA      | $590261.59    | 0.16%             | 2029-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                    | Barclays PLC                                                                          | CUSIP: 06738ECS2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205433.82    | 0.05%             | 2055-03-12      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                        | Government National Mortgage Association REMICS, Interest Only STRIPS                 | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9303 | PA      | $72.29        | 0.00%             | 2037-12-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                          | U.S. Treasury Notes                                                                   | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    755000 | PA      | $778593.75    | 0.21%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                               | Sysco Corp.                                                                           | CUSIP: 871829BV8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    374000 | PA      | $380412.57    | 0.10%             | 2035-03-23      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                          | CHL Mortgage Pass-Through Trust                                                       | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11172 | PA      | $11114.25     | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association                                                 | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098741 | PA      | $915687.48    | 0.24%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                      | Federal National Mortgage Association REMICS, Principal Only STRIPS                   | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8660 | PA      | $7759.45      | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-29

**Name of Applicant:** TRANSAMERICA SERIES TRUST

**Signature:** Joshua Durham

**Name of Signer:** Joshua Durham

**Title:** Chief Operating Officer and Interim Treasurer