# EDGAR Filing Document

**Accession Number:** 0001070222
**File Stem:** 0001752724-23-048766
**Filing Date:** 2023-3
**Character Count:** 618329
**Document Hash:** bd7be8b8a66a91d183c0dba56262689d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048766.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048766

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW COVENANT FUNDS
- **CENTRAL INDEX KEY:** 0001070222
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09025
- **FILM NUMBER:** 23690443

**BUSINESS ADDRESS:**
- **STREET 1:** 200 EAST 12TH ST
- **CITY:** JEFFERSONVILLE
- **STATE:** IN
- **ZIP:** 47130
- **BUSINESS PHONE:** 5025695984

**MAIL ADDRESS:**
- **STREET 1:** 200 EAST 12TH ST
- **CITY:** JEFFERSONVILLE
- **STATE:** IN
- **ZIP:** 47130

## Series and Classes Contracts Data

### New Covenant Income Fund (Series ID: S000024942)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000074155 | New Covenant Income Fund | NCICX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW COVENANT FUNDS

- **b. Investment Company Act file number:** 811-09025

- **c. CIK number of Registrant:** 0001070222

- **d. LEI of Registrant:** RVB8BBBTG6J5RT8BQ908

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

  - **Street Address 1:** 200 EAST 12TH ST

  - **City:** JEFFERSONVILLE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 47130

  - **Telephone number:** 5025695984

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

- **a. Name of Series:** New Covenant Income Fund

- **b. EDGAR series identifier (if any):** S000024942

- **c. LEI of Series:** YXU517QXOB92KBEH0A38

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

- **a. Date of fiscal year-end:** 2023-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $390984531.67

**Total Liabilities:** $37686618.37

**Net Assets:** $353297913.30

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -672.43079106 | **1-Year:** -15936.96026929 | **5-Year:** -45911.81636994 | **10-Year:** -48414.42140767 | **30-Year:** -11771.13220591

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

- **3-Month:** -194.40416956 | **1-Year:** -3090.61318246 | **5-Year:** -7104.81009583 | **10-Year:** -8286.96316010 | **30-Year:** -1779.73594491

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000074155 | -0.47%               | 2.96%                | -0.98%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-233649.24              | $-2206343.31                               |
| Month 2  | $-656642.82              | $10766503.35                               |
| Month 3  | $-3631432.68             | $-1528937.31                               |

**Designated Index Information**

- **Index Name:** Barclays Intermediate Aggregate Index

- **Index Identifier:** LEHINT_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO6275                                                         | CUSIP: 3140K16M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    686544 | PA      | $629697.84    | 0.18%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786095                                                      | CUSIP: 3622ABUU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     98006 | PA      | $84836.82     | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.540000% 08/15/2026                                         | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293987.79    | 0.08%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 1.250000% 01/15/2026                                       | CUSIP: 91324PDW9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18124.72     | 0.01%             | 2026-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ST GEN FD ANNUAL APPROPRIATION REV                                 | WISCONSIN ST GEN FUND ANNUAL A STATE OF WISCONSIN                                 | CUSIP: 977100AC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    685000 | PA      | $697201.63    | 0.20%             | 2026-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| OCP S.A.                                                                     | OCP SA 144A 4.500000% 10/22/2025                                                  | CUSIP: 67091TAC9<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | NUSS              | MA        |    400000 | PA      | $389308.80    | 0.11%             | 2025-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                          | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    308086 | PA      | $236964.20    | 0.07%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 4.022000% 06/01/2031                           | CUSIP: 693342AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    791000 | PA      | $752022.23    | 0.21%             | 2031-06-01      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.300000% 05/15/2031                                       | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16667.17     | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-56 AQ                                                  | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    200000 | PA      | $156569.82    | 0.04%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0458                                                         | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84507 | PA      | $71822.91     | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9461                                                         | CUSIP: 3140XDQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    683371 | PA      | $623634.16    | 0.18%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1217                                                        | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1147382 | PA      | $940838.33    | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031                                   | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1064000 | PA      | $874989.51    | 0.25%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0352                                                         | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    285741 | PA      | $232876.37    | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 1.450000% 09/01/2025                                          | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9169.86      | 0.00%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 3.750000% 06/15/2027                                         | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    390000 | PA      | $367088.49    | 0.10%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA4950                                                         | CUSIP: 3140QCQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    657351 | PA      | $603492.42    | 0.17%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO., INC.                                                            | MERCK & CO INC 1.450000% 06/24/2030                                               | CUSIP: 58933YAZ8<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39892.08     | 0.01%             | 2030-06-24      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2018-3 JPMMT 2018-3 A1                                   | CUSIP: 46649TAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     90403 | PA      | $79029.50     | 0.02%             | 2048-09-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| NIKE, INC.                                                                   | NIKE INC 2.400000% 03/27/2025                                                     | CUSIP: 654106AH6<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38205.64     | 0.01%             | 2025-03-27      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6477                                                      | CUSIP: 36179VFS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17904 | PA      | $17550.10     | 0.00%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA3913                                                        | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    460032 | PA      | $396396.05    | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                                  | SWEDBANK AB 144A 1.300000% 06/02/2023                                             | CUSIP: 87020PAK3<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | NUSS              | SE        |    200000 | PA      | $196402.40    | 0.06%             | 2023-06-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07668                                                   | CUSIP: 3128M9Z96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    447484 | PA      | $430271.19    | 0.12%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                               | CASCADE MH ASSET TRUST 2021-MH1 CMHAT 2021-MH1 A1                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     77610 | PA      | $65936.65     | 0.02%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4099 ST                                                    | CUSIP: 3137ASRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     45746 | PA      | $4404.07      | 0.00%             | 2042-08-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3444                                                         | CUSIP: 3140X6ZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    317647 | PA      | $292211.54    | 0.08%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1756                                                         | CUSIP: 3140X45S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    282979 | PA      | $288983.88    | 0.08%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN AB2892                                                       | CUSIP: 36178NF95<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     43738 | PA      | $40043.36     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6448                                                         | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     87621 | PA      | $71914.22     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 3.900000% 12/06/2028                                           | CUSIP: 437076BW1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9626.46      | 0.00%             | 2028-12-06      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN 3.200000% 03/10/2032                                | CUSIP: 89114TZV7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    807000 | PA      | $694801.43    | 0.20%             | 2032-03-10      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FM                          | CUSIP: 38380QGX4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    224772 | PA      | $222270.35    | 0.06%             | 2070-08-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 2.188000% 04/28/2026                                           | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $371706.12    | 0.11%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 2.450000% 08/04/2026                                                    | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64916.77     | 0.02%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0546                                                         | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    547575 | PA      | $452956.44    | 0.13%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP, INC.                                           | AMERICAN INTERNATIONAL GROUP INC 2.500000% 06/30/2025                             | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     26000 | PA      | $24476.40     | 0.01%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE COCA-COLA COMPANY                                                        | COCA-COLA CO/THE 3.375000% 03/25/2027                                             | CUSIP: 191216CR9<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28770.92     | 0.01%             | 2027-03-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4120                                                         | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     58426 | PA      | $49867.58     | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                        | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3 WFCM 2015-NXS3 ASB                | CUSIP: 94989VAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     90799 | PA      | $87628.66     | 0.02%             | 2057-09-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G67701                                                   | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    146593 | PA      | $131965.87    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.125000% 08/31/2027                                              | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    320000 | PA      | $307775.00    | 0.09%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EQUATE Petrochemical B.V.                                                    | EQUATE PETROCHEMICAL BV MTN 4.250000% 11/03/2026                                  | CUSIP: 29441WAC9<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | NUSS              | KW        |    200000 | PA      | $191054.40    | 0.05%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY L.L.C.                                            | CARLYLE FINANCE SUBSIDIARY LLC 144A 3.500000% 09/19/2029                          | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    716000 | PA      | $605626.14    | 0.17%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5117                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    344284 | PA      | $282566.98    | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN, INC.                                                          | KINDER MORGAN INC 5.550000% 06/01/2045                                            | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18236.23     | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Petroleos del Peru - Petroperu S.A.                                          | PETROLEOS DEL PERU SA 144A 4.750000% 06/19/2032                                   | CUSIP: 716564AA7<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $309160.00    | 0.09%             | 2032-06-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 7.507000% 01/10/2032                                  | CUSIP: 126650BS8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    951031 | PA      | $989806.87    | 0.28%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas, LLC                                                   | DUKE ENERGY CAROLINAS LLC 2.850000% 03/15/2032                                    | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $894141.89    | 0.25%             | 2032-03-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ORIX CORPORATION                                                             | ORIX CORP 4.050000% 01/16/2024                                                    | CUSIP: 686330AL5<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | NUSS              | JP        |    365000 | PA      | $359774.21    | 0.10%             | 2024-01-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                                                          | ABBOTT LABORATORIES 3.400000% 11/30/2023                                          | CUSIP: 002824BE9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    175000 | PA      | $173146.15    | 0.05%             | 2023-11-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.100000% 03/22/2028                                   | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78109.04     | 0.02%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DUNKIN BRANDS                                                                | DB MASTER FINANCE LLC DNKN 2021-1A A2II                                           | CUSIP: 233046AQ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1038510 | PA      | $853579.41    | 0.24%             | 2051-11-20      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5652                                                      | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9508 | PA      | $9226.91      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    258120 | PA      | $196475.48    | 0.06%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I, INC.                                           | MORGAN STANLEY ABS CAPITAL I INC TRUST 2004-NC7 MSAC 2004-NC7 M1                  | CUSIP: 61744CFP6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    326569 | PA      | $299777.21    | 0.08%             | 2034-07-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 4.800000% 02/01/2049                            | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25563.50     | 0.01%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC.                                                                | ALPHABET INC 1.100000% 08/15/2030                                                 | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31303.06     | 0.01%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1462                                                         | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93114 | PA      | $85831.65     | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.658000% 05/24/2028                                                | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    140000 | PA      | $135486.37    | 0.04%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM5 TRUST CSMC 2021-NQM5 A1                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    136595 | PA      | $105361.38    | 0.03%             | 2066-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 SA                           | CUSIP: 38378D2U8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18114 | PA      | $1835.54      | 0.00%             | 2042-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS, INC.                                                        | PAYPAL HOLDINGS INC 1.650000% 06/01/2025                                          | CUSIP: 70450YAG8<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55701.16     | 0.02%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| THE COCA-COLA COMPANY                                                        | COCA-COLA CO/THE 1.450000% 06/01/2027                                             | CUSIP: 191216CU2<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70622.04     | 0.02%             | 2027-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0034                                                         | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     91741 | PA      | $81784.02     | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1                                              | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    356018 | PA      | $305091.29    | 0.09%             | 2061-11-25      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| APPLEBEE'S FUNDING LLC/IHOP FUNDING LLC                                      | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC DIN 2019-1A A2I                         | CUSIP: 03789XAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    297000 | PA      | $291828.64    | 0.08%             | 2049-06-05      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                                    | TOWD POINT MORTGAGE TRUST 2019-HY2 TPMT 2019-HY2 M2                               | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $95651.65     | 0.03%             | 2058-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                                      | MACQUARIE GROUP LTD MTN 4.150000% 03/27/2024                                      | CUSIP: 55608JAL2<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    495000 | PA      | $493185.77    | 0.14%             | 2024-03-27      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7738                                                        | CUSIP: 3132A8S34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    440066 | PA      | $412472.14    | 0.12%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST                                | BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST 2006 BAYV 2006-A M3                 | CUSIP: 07325NDA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     39197 | PA      | $39040.66     | 0.01%             | 2041-02-28      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2014-6 Z                                                    | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    124943 | PA      | $104589.78    | 0.03%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 90DAY EURO$ FUTR  DEC23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |      -186 | NC      | $-44272650.00 | -12.53%           |  |  |  | No            |                  1 | On Loan: No      |
| DANSKE BANK A/S                                                              | DANSKE BANK A/S 144A 1.226000% 06/22/2024                                         | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | NUSS              | DK        |    200000 | PA      | $186711.80    | 0.05%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO., L.P.                                               | PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP 144A 3.900000% 02/01/2024           | CUSIP: 709599BB9<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |    965000 | PA      | $944623.30    | 0.27%             | 2024-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5587                                                         | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84330 | PA      | $69469.04     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN DEV CORP REV                                               | NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP              | CUSIP: 650036EN2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    380000 | PA      | $365870.27    | 0.10%             | 2026-03-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5969                                                         | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1084238 | PA      | $927802.59    | 0.26%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM3 CSMC 2021-NQM3 A3                                                  | CUSIP: 12660LAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    170360 | PA      | $134101.25    | 0.04%             | 2066-04-25      | Floating      | 1.63%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP ZERO COUPON 10/10/2036                                  | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1641000 | PA      | $819482.58    | 0.23%             | 2036-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0549                                                         | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    189383 | PA      | $161457.50    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                            | HSBC HOLDINGS PLC 4.583000% 06/19/2029                                            | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    200000 | PA      | $184125.29    | 0.05%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4577                                                         | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     77788 | PA      | $66686.01     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.908000% 07/23/2025           | CUSIP: 161175AY0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    490000 | PA      | $480249.48    | 0.14%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60199                                                   | CUSIP: 31335AGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    534400 | PA      | $527877.86    | 0.15%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                     | DEVON ENERGY CORP 5.850000% 12/15/2025                                            | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    210000 | PA      | $213790.38    | 0.06%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                         | GLENCORE FUNDING LLC 144A 4.125000% 03/12/2024                                    | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | AU        |     60000 | PA      | $59037.92     | 0.02%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                              | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 B                         | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270000 | PA      | $255531.16    | 0.07%             | 2057-10-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0424                                                         | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    280832 | PA      | $240185.28    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90903                                                   | CUSIP: 3132H4AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     23141 | PA      | $21632.63     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3126                                                         | CUSIP: 3140QNPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    104024 | PA      | $95349.93     | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2674                                                         | CUSIP: 3140X56L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    311888 | PA      | $295647.87    | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0024                                                         | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85448 | PA      | $73834.77     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AW9453                                                         | CUSIP: 3138XZQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    137606 | PA      | $128383.46    | 0.04%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                              | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C13 WFRBS 2013-C13 XA                        | CUSIP: 92937UAS7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    632749 | PA      | $18.48        | 0.00%             | 2045-05-15      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 3.625000% 04/01/2027                                              | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $170810.96    | 0.05%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                            | SMBC AVIATION CAPITAL FINANCE DAC 144A 4.125000% 07/15/2023                       | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | NUSS              | IE        |    200000 | PA      | $197889.61    | 0.06%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 2.600000% 11/21/2024                                                   | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133932.31    | 0.04%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2017-20J 1                       | CUSIP: 83162CYX5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    382179 | PA      | $350370.31    | 0.10%             | 2037-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SHOPS AT CRYSTALS TRUST                                                      | SHOPS AT CRYSTALS TRUST 2016-CSTL SHOPS 2016-CSTL A                               | CUSIP: 82510WAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $86749.94     | 0.02%             | 2036-07-05      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2021-1 IG                                                   | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    433461 | PA      | $72581.99     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                                           | BANK OF MONTREAL MTN 1.850000% 05/01/2025                                         | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |    130000 | PA      | $121433.60    | 0.03%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Chevron U.S.A. Inc.                                                          | CHEVRON USA INC 3.250000% 10/15/2029                                              | CUSIP: 166756AS5<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73361.69     | 0.02%             | 2029-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 2.650000% 10/21/2032                                  | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86852.63     | 0.02%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP.                                                        | TARGA RESOURCES CORP 5.200000% 07/01/2027                                         | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    170000 | PA      | $166622.42    | 0.05%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7590                                                      | CUSIP: 36179WNF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    504341 | PA      | $451205.81    | 0.13%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 04/18/2023                                                | CUSIP: 912796CU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $1144972.92   | 0.32%             | 2023-04-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4587                                                      | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27733 | PA      | $26626.68     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST                                       | STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-7 SAIL 2004-7 A8                      | CUSIP: 86358EKJ4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    153187 | PA      | $146714.95    | 0.04%             | 2034-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE INTEREST STRIP FNS 409 C18                                             | CUSIP: 3136FLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      8996 | PA      | $1520.41      | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.875000% 05/15/2052                                              | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $400625.00    | 0.11%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841090                                               | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    550614 | PA      | $551328.01    | 0.16%             | 2046-10-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 4.400000% 08/14/2028                                          | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    200000 | PA      | $189081.28    | 0.05%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 3.000000% 03/22/2027                                   | CUSIP: 92343VFF6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    120000 | PA      | $111502.81    | 0.03%             | 2027-03-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 2.875000% 03/25/2031                                                  | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24873.81     | 0.01%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 0.800000% 05/28/2025                                                   | CUSIP: 717081EX7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    110000 | PA      | $100735.84    | 0.03%             | 2025-05-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 2.879000% 10/30/2030                                         | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84940.47     | 0.02%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.500000% 04/15/2025                                             | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144255.79    | 0.04%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5529                                                      | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     42869 | PA      | $42087.19     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.300000% 01/11/2023                                     | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59979.47     | 0.02%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 3.600000% 05/14/2025                                                   | CUSIP: 00287YAQ2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9691.47      | 0.00%             | 2025-05-14      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 1.654000% 06/02/2024                                         | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157414.83    | 0.04%             | 2024-06-02      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H30 GA                          | CUSIP: 38375BA77<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    256340 | PA      | $253965.53    | 0.07%             | 2062-12-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Republica Oriental del Uruguay                                               | REPUBLICA ORIENT URUGUAY 4.375000% 01/23/2031                                     | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    120000 | PA      | $119193.66    | 0.03%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3286                                                         | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    275728 | PA      | $275012.15    | 0.08%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                                     | STATE STREET CORP 4.164000% 08/04/2033                                            | CUSIP: 857477BV4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1011486.35   | 0.29%             | 2033-08-04      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| VISA INC.                                                                    | VISA INC 3.150000% 12/14/2025                                                     | CUSIP: 92826CAD4<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106047.95    | 0.03%             | 2025-12-14      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| THE KROGER CO.                                                               | KROGER CO/THE 7.700000% 06/01/2029                                                | CUSIP: 501044BT7<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    565000 | PA      | $622583.08    | 0.18%             | 2029-06-01      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786082                                                      | CUSIP: 3622ABUF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94609 | PA      | $84629.69     | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 946391                                                         | CUSIP: 31413H2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     24086 | PA      | $25067.85     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QA2967                                                        | CUSIP: 31339SJL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    236046 | PA      | $216777.78    | 0.06%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALMART INC.                                                                 | WALMART INC 1.800000% 09/22/2031                                                  | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    160000 | PA      | $130210.81    | 0.04%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| MOODY'S CORPORATION                                                          | MOODY'S CORP 2.000000% 08/19/2031                                                 | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $789968.88    | 0.22%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                                                    | APTIV PLC / APTIV CORP 3.250000% 03/01/2032                                       | CUSIP: 00217GAB9<br>LEI: N/A                  | Long             | DBT              | NUSS              | US        |    639000 | PA      | $522676.08    | 0.15%             | 2032-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS GROUP AG 144A 4.253000% 03/23/2028                                            | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    250000 | PA      | $233392.15    | 0.07%             | 2028-03-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.125000% 08/15/2040                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $360189.06    | 0.10%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8146                                                        | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    173219 | PA      | $141402.77    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BM9743                                                      | CUSIP: 3617K1ZG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     84193 | PA      | $78938.03     | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08660                                                   | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     29082 | PA      | $27914.12     | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AETNA INC.                                                                   | AETNA INC 2.800000% 06/15/2023                                                    | CUSIP: 00817YAV0<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19789.44     | 0.01%             | 2023-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM4 NRZT 2022-NQM4 A1                   | CUSIP: 64831UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    350910 | PA      | $342464.25    | 0.10%             | 2062-06-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO. L.L.C.                                       | BLACKSTONE HOLDINGS FINANCE CO LLC 144A 1.600000% 03/30/2031                      | CUSIP: 09261BAA8<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    590000 | PA      | $428764.62    | 0.12%             | 2031-03-30      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3773                                                         | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    116812 | PA      | $108293.82    | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    700000 | PA      | $656361.96    | 0.19%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUKOIL CAPITAL DESIGNATED ACTIVITY COMPANY                                   | LUKOIL CAPITAL DAC 144A 3.600000% 10/26/2031                                      | CUSIP: 549875AB8<br>LEI: 984500BEC55D7EHC4M56 | Long             | DBT              | NUSS              | RU        |    230000 | PA      | $161143.75    | 0.05%             | 2031-10-26      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                            | CIGNA CORP 3.750000% 07/15/2023                                                   | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15894.41     | 0.00%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CD8312                                                      | CUSIP: 3617VKGV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     81018 | PA      | $68350.29     | 0.02%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7160                                                         | CUSIP: 3140XA5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    375510 | PA      | $367045.71    | 0.10%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 10/31/2029                                              | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1400000 | PA      | $1400437.50   | 0.40%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                      | EXXON MOBIL CORP 1.571000% 04/15/2023                                             | CUSIP: 30231GBL5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9906.26      | 0.00%             | 2023-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST URBAN DEV CORP REV                                               | NEW YORK ST URBAN DEV CORP REV NEW YORK STATE URBAN DEVELOPMENT CORP              | CUSIP: 650036EP7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    285000 | PA      | $272281.02    | 0.08%             | 2026-03-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NIKE, INC.                                                                   | NIKE INC 3.375000% 03/27/2050                                                     | CUSIP: 654106AM5<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23469.75     | 0.01%             | 2050-03-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7321                                                         | CUSIP: 3140XBD31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    328562 | PA      | $314841.75    | 0.09%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE1492                                                        | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94668 | PA      | $86935.73     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 6.204000% 11/10/2028                                         | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    584000 | PA      | $602963.47    | 0.17%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8864                                                         | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     87778 | PA      | $75168.39     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG V83157                                                   | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    253197 | PA      | $247245.78    | 0.07%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                                 | PUBLIC SERVICE ENTERPRISE GROUP INC 2.875000% 06/15/2024                          | CUSIP: 744573AN6<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    713000 | PA      | $688565.88    | 0.19%             | 2024-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0301                                                         | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79397 | PA      | $77160.76     | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERCK & CO., INC.                                                            | MERCK & CO INC 0.750000% 02/24/2026                                               | CUSIP: 58933YAY1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     80000 | PA      | $70832.15     | 0.02%             | 2026-02-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25E 1                       | CUSIP: 83162CP56<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    981348 | PA      | $930059.38    | 0.26%             | 2047-05-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA4110                                                         | CUSIP: 3140QBR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     40290 | PA      | $35876.57     | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.050000% 02/15/2028                                             | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17176.64     | 0.00%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 928938                                                         | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1202 | PA      | $1221.47      | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19611                                                   | CUSIP: 3132JBDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     26897 | PA      | $26299.54     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares                      | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   4224761 | NS      | $4224760.95   | 1.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784905                                                      | CUSIP: 3622AAKS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63398 | PA      | $56490.46     | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5373                                                        | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     89208 | PA      | $73214.95     | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT COMPANY                                                | FLORIDA POWER & LIGHT CO 2.450000% 02/03/2032                                     | CUSIP: 341081GG6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    544000 | PA      | $453213.26    | 0.13%             | 2032-02-03      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                            | CIGNA CORP 1.250000% 03/15/2026                                                   | CUSIP: 125523CP3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    725000 | PA      | $645929.86    | 0.18%             | 2026-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5137                                                      | CUSIP: 36179TV69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    106405 | PA      | $102133.84    | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786077                                                      | CUSIP: 3622ABUA8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     92824 | PA      | $82782.93     | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0189                                                         | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    615956 | PA      | $541334.22    | 0.15%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 3.200000% 11/21/2029                                                   | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135221.10    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91254                                                   | CUSIP: 3132HBH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     48366 | PA      | $46274.63     | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                                         | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-1 DRMT 2022-1 A1                        | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    305828 | PA      | $263919.17    | 0.07%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0101                                                         | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85396 | PA      | $75104.52     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0560                                                         | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     94372 | PA      | $78064.40     | 0.02%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q26814                                                   | CUSIP: 3132M7GX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     63202 | PA      | $60605.40     | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6544                                                      | CUSIP: 36179VHV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20077 | PA      | $19718.82     | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY                           | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              |  | US        |    300000 | PA      | $263398.28    | 0.07%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG L00016                                                   | CUSIP: 3128DFAR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    471905 | PA      | $483180.06    | 0.14%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST                                                         | FRESB 2019-SB58 MORTGAGE TRUST FRESB 2019-SB58 A10F                               | CUSIP: 30308MAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    595575 | PA      | $557927.94    | 0.16%             | 2028-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.650000% 11/20/2040                                   | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    300000 | PA      | $202495.14    | 0.06%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0038                                                         | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     42517 | PA      | $38720.26     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-47 GZ                                                  | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    105123 | PA      | $61113.64     | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -43 | NC      | $-4828765.63  | -1.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-56 DI                                                  | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79709 | PA      | $12450.15     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ5101                                                         | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    623904 | PA      | $550079.88    | 0.16%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890843                                                         | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    167341 | PA      | $149886.32    | 0.04%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2021-NYAH D              | CUSIP: 46654EAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    520000 | PA      | $495203.54    | 0.14%             | 2038-06-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 934648                                                         | CUSIP: 31412TZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2866 | PA      | $3076.49      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 2.699000% 01/22/2031                                           | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $165269.34    | 0.05%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2005-29 ZA                                                  | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84696 | PA      | $87336.99     | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2 SCRT 2019-2 MA                  | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604978 | PA      | $570362.22    | 0.16%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                     | NXP BV / NXP FUNDING LLC / NXP USA INC 2.700000% 05/01/2025                       | CUSIP: 62954HAW8<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | NUSS              | CN        |     40000 | PA      | $37649.26     | 0.01%             | 2025-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1 GSMBS 2020-INV1 A14                 | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    273266 | PA      | $228785.33    | 0.06%             | 2050-10-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 02/28/2023                                                | CUSIP: 912796Y78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $258266.20    | 0.07%             | 2023-02-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 02/23/2023                                                | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1689769.09   | 0.48%             | 2023-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2020-96 IN                                                  | CUSIP: 3136BDXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    747125 | PA      | $120952.44    | 0.03%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q53595                                                   | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    384237 | PA      | $356565.46    | 0.10%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5423                                                         | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     78413 | PA      | $67161.32     | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785944                                                      | CUSIP: 3622ABP55<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    285341 | PA      | $254972.81    | 0.07%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                      | GA GLOBAL FUNDING TRUST 144A 3.850000% 04/11/2025                                 | CUSIP: 36143L2J3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1066184.38   | 0.30%             | 2025-04-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 4.862000% 08/21/2046                                   | CUSIP: 92343VCK8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35854.27     | 0.01%             | 2046-08-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE TRUST 2003-W2 FNW 2003-W2 2A9                                          | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    293467 | PA      | $295454.22    | 0.08%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                              | DEERE & CO 3.100000% 04/15/2030                                                   | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8955.32      | 0.00%             | 2030-04-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Republica de Colombia                                                        | REPUBLIC OF COLOMBIA 5.625000% 02/26/2044                                         | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    280000 | PA      | $205344.30    | 0.06%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0104                                                         | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     39870 | PA      | $38187.85     | 0.01%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                          | COMMONSPIRIT HEALTH 6.073000% 11/01/2027                                          | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    890000 | PA      | $910075.26    | 0.26%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3000000 | PA      | $2724908.16   | 0.77%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5877                                                      | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24848 | PA      | $24332.72     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.350000% 04/01/2023                                          | CUSIP: 58013MFE9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    280000 | PA      | $278945.02    | 0.08%             | 2023-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 4.300000% 03/25/2028                                              | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    164000 | PA      | $158627.80    | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN AA5649                                                       | CUSIP: 36178DH20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19099 | PA      | $17510.79     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1387                                                         | CUSIP: 3140X4RH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    528828 | PA      | $532280.88    | 0.15%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7255                                                      | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     72832 | PA      | $63400.83     | 0.02%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA9358                                                         | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     83622 | PA      | $73544.80     | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                       | CREDIT SUISSE GROUP AG 144A 4.194000% 04/01/2031                                  | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | NUSS              | CH        |    250000 | PA      | $194073.57    | 0.05%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5313                                                         | CUSIP: 3140X83X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85371 | PA      | $73029.17     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 4.329000% 09/21/2028                                   | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    435000 | PA      | $418245.44    | 0.12%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK4523                                                         | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    318713 | PA      | $306069.00    | 0.09%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.125000% 11/15/2032                                              | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    120000 | PA      | $122456.25    | 0.03%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC COMPANY                                                       | NSTAR ELECTRIC CO 1.950000% 08/15/2031                                            | CUSIP: 67021CAR8<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $795107.78    | 0.23%             | 2031-08-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1924                                                         | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93876 | PA      | $79760.85     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                                 | NUTRIEN LTD 1.900000% 05/13/2023                                                  | CUSIP: 67077MAV0<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | NUSS              | CA        |    501000 | PA      | $495275.08    | 0.14%             | 2023-05-13      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BK2620                                                         | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     66963 | PA      | $57251.39     | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                                              | DEERE & CO 3.750000% 04/15/2050                                                   | CUSIP: 244199BK0<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25314.38     | 0.01%             | 2050-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 3.250000% 06/02/2030                                    | CUSIP: 314890AB0<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    851000 | PA      | $721530.65    | 0.20%             | 2030-06-02      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                      | BANK OF NEW YORK MELLON CORP/THE MTN 3.300000% 08/23/2029                         | CUSIP: 06406YAA0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    790000 | PA      | $706385.89    | 0.20%             | 2029-08-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1749                                                        | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     99034 | PA      | $84431.35     | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5819                                                         | CUSIP: 3140X9PD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    641041 | PA      | $609379.12    | 0.17%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q17792                                                   | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     89728 | PA      | $84027.82     | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2010-20H 1                       | CUSIP: 83162CTL7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    128032 | PA      | $121633.54    | 0.03%             | 2030-08-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS3196                                                         | CUSIP: 3140XJRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    909521 | PA      | $748435.61    | 0.21%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 3.350000% 03/02/2033                                         | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33695.91     | 0.01%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9292                                                         | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    269440 | PA      | $239763.65    | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5634                                                         | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85668 | PA      | $70311.73     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB1152                                                         | CUSIP: 31416WH62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21842 | PA      | $21316.67     | 0.01%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 1.678000% 05/15/2024                                                | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    823000 | PA      | $811339.87    | 0.23%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                                           | EXELON CORP 5.625000% 06/15/2035                                                  | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    343000 | PA      | $347644.44    | 0.10%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1014                                                         | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95138 | PA      | $78101.31     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2672                                                         | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    105617 | PA      | $97984.60     | 0.03%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                              | HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A B                                       | CUSIP: 42806MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $219869.66    | 0.06%             | 2025-12-26      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5018 MI                                                    | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     86887 | PA      | $11776.56     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD6079                                                        | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    188197 | PA      | $160959.02    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US LONG BOND(CBT) MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -195 | NC      | $-24442031.25 | -6.92%            |  |  |  | No            |                  1 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                   | AVIATION CAPITAL GROUP LLC 144A 4.125000% 08/01/2025                              | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149260.38    | 0.04%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                                            | PIONEER NATURAL RESOURCES CO 2.150000% 01/15/2031                                 | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55328.13     | 0.02%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BV8546                                                         | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95469 | PA      | $87691.99     | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BC2817                                                         | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65225 | PA      | $58441.37     | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA1293                                                        | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     98992 | PA      | $88884.07     | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.875000% 02/15/2051                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2470000 | PA      | $1569800.79   | 0.44%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.550000% 12/01/2033                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15370.20     | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A                                 | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    831689 | PA      | $821434.46    | 0.23%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                      | BPCE SA 144A 1.625000% 01/14/2025                                                 | CUSIP: 05578AAV0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | NUSS              | FR        |   1085000 | PA      | $1009793.72   | 0.29%             | 2025-01-14      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                              | HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A C                                    | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    300000 | PA      | $247374.30    | 0.07%             | 2027-12-27      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.300000% 11/20/2026                                                | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38693.60     | 0.01%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA4 STACR 2022-DNA4 M1A                       | CUSIP: 35564KWS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    275801 | PA      | $274946.14    | 0.08%             | 2042-05-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                      | MPLX LP 4.800000% 02/15/2029                                                      | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47847.00     | 0.01%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA4175                                                        | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    154359 | PA      | $132198.49    | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORPORATION                                               | JOHN DEERE CAPITAL CORP MTN 3.350000% 04/18/2029                                  | CUSIP: 24422EWE5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    934000 | PA      | $863085.24    | 0.24%             | 2029-04-18      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9412                                                         | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1671871 | PA      | $1429754.92   | 0.40%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.375000% 11/15/2048                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $167600.78    | 0.05%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 863729                                                         | CUSIP: 31408XSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20511 | PA      | $19960.64     | 0.01%             | 2036-01-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                            | JOHNSON & JOHNSON 0.550000% 09/01/2025                                            | CUSIP: 478160CN2<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45154.38     | 0.01%             | 2025-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7473                                                      | CUSIP: 36179WJS8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94350 | PA      | $84430.55     | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60804                                                   | CUSIP: 31335A3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    266858 | PA      | $263490.56    | 0.07%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                             | SHELL INTERNATIONAL FINANCE BV 2.750000% 04/06/2030                               | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | NUSS              | NL        |     40000 | PA      | $35096.19     | 0.01%             | 2030-04-06      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AR7399                                                         | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19252 | PA      | $17517.21     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2678                                                      | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10634 | PA      | $9924.41      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G04588                                                   | CUSIP: 3128M6ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     15208 | PA      | $15786.51     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CABLE COMMUNICATIONS, LLC.                                           | TCI COMMUNICATIONS INC 7.875000% 02/15/2026                                       | CUSIP: 872287AF4<br>LEI: 549300T2R1ZBGV1UVE31 | Long             | DBT              | CORP              | US        |    240000 | PA      | $259805.16    | 0.07%             | 2026-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| THE CHARLES SCHWAB CORPORATION                                               | CHARLES SCHWAB CORP/THE 3.850000% 05/21/2025                                      | CUSIP: 808513AX3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107396.29    | 0.03%             | 2025-05-21      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 3.300000% 04/15/2040                                           | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31848.09     | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.875000% 05/15/2049                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $136790.23    | 0.04%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2018-20E 1                       | CUSIP: 83162CZL0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    798395 | PA      | $751070.60    | 0.21%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB9683                                                         | CUSIP: 31417GXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34362 | PA      | $32934.48     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-4 SCRT 2018-4 MA                  | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    528468 | PA      | $504324.98    | 0.14%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                            | NATWEST GROUP PLC 4.519000% 06/25/2024                                            | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | NUSS              | GB        |    290000 | PA      | $287304.45    | 0.08%             | 2024-06-25      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 1.875000% 02/28/2031                                              | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15688.07     | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP                          | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2022-NLP A               | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    118888 | PA      | $109950.48    | 0.03%             | 2037-04-15      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 06/01/2023                                                | CUSIP: 912796ZG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $510309.62    | 0.14%             | 2023-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gobierno De La Republica De Panama                                           | REPUBLIC OF PANAMA 4.300000% 04/29/2053                                           | CUSIP: 698299BB9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    300000 | PA      | $216541.80    | 0.06%             | 2053-04-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BC9077                                                         | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33283 | PA      | $30886.76     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7533                                                         | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65220 | PA      | $58477.96     | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5711                                                      | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     87075 | PA      | $84523.53     | 0.02%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25 CGCMT 2014-GC25 AS                  | CUSIP: 17322YAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100000 | PA      | $94991.72     | 0.03%             | 2047-10-10      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.500000% 05/15/2023                                                | CUSIP: 172967GT2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99517.15     | 0.03%             | 2023-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7525                                                        | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    149498 | PA      | $128905.70    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 3953                                                        | CUSIP: 36202EMA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     26643 | PA      | $27696.71     | 0.01%             | 2037-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                                            | CUSIP: 21H050623<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    900000 | PA      | $891375.05    | 0.25%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                                                   | NAVIENT STUDENT LOAN TRUST 2016-6 NAVSL 2016-6A A3                                | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550000 | PA      | $541591.55    | 0.15%             | 2066-03-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AH4292                                                         | CUSIP: 3138A5XW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3233 | PA      | $3205.21      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 AY6444                                                      | CUSIP: 36196WER4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    303140 | PA      | $282386.80    | 0.08%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA1 STACR 2022-DNA1 M1B                       | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    420000 | PA      | $398526.03    | 0.11%             | 2042-01-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2014-GC24 GSMS 2014-GC24 A5                          | CUSIP: 36253GAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    511000 | PA      | $493614.60    | 0.14%             | 2047-09-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD2129                                                        | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    470758 | PA      | $383603.13    | 0.11%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 3.875000% 02/08/2029                                   | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28147.96     | 0.01%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORPORATION                                                          | CHEVRON CORP 1.995000% 05/11/2027                                                 | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $35922.82     | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                   | AVIATION CAPITAL GROUP LLC 144A 1.950000% 01/30/2026                              | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    567000 | PA      | $493617.87    | 0.14%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7786                                                         | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    283104 | PA      | $270387.60    | 0.08%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5138                                                      | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32068 | PA      | $31560.46     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9653                                                         | CUSIP: 3138WXWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     53376 | PA      | $51678.58     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 708404                                                       | CUSIP: 36297DAD9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30003 | PA      | $30713.33     | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.691000% 06/05/2028                                  | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $371652.38    | 0.11%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3875                                                      | CUSIP: 36179SJU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     95735 | PA      | $91789.39     | 0.03%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES, INC.                                                  | CONTINENTAL RESOURCES INC/OK 144A 5.750000% 01/15/2031                            | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9308.60      | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2894                                                      | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    503661 | PA      | $501931.85    | 0.14%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 3.875000% 07/20/2025                                              | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     95000 | PA      | $92703.56     | 0.03%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5010 IK                                                    | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    278343 | PA      | $41351.26     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY, INC.                                                     | DIAMONDBACK ENERGY INC 3.125000% 03/24/2031                                       | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33122.45     | 0.01%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-107 AD                          | CUSIP: 38378KYP8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     38811 | PA      | $35166.42     | 0.01%             | 2047-11-16      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0745                                                        | CUSIP: 3132DMZJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     91415 | PA      | $75174.89     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4271                                                         | CUSIP: 3138WDW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     23607 | PA      | $23346.90     | 0.01%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-RPL3 TRUST CSMC 2021-RPL3 A1                                            | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    252649 | PA      | $215676.91    | 0.06%             | 2060-01-25      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2373                                                         | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     39339 | PA      | $39241.43     | 0.01%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE GLOBAL FUNDING                                                 | GUARDIAN LIFE GLOBAL FUNDING 144A 1.100000% 06/23/2025                            | CUSIP: 40139LAG8<br>LEI: 635400NHILJ5JEKILC36 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27171.98     | 0.01%             | 2025-06-23      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 2.871000% 04/19/2032                                          | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    200000 | PA      | $156400.85    | 0.04%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1591                                                         | CUSIP: 31418AXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     45879 | PA      | $45021.46     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-105 IO                          | CUSIP: 38378XCY5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63754 | PA      | $857.61       | 0.00%             | 2054-06-16      | Floating      | 0.12%                 | No            |                  2 | On Loan: No      |
| Pepsico, Inc.                                                                | PEPSICO INC 1.625000% 05/01/2030                                                  | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56936.21     | 0.02%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4330                                                         | CUSIP: 3140X7Y45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    556749 | PA      | $479897.75    | 0.14%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.800000% 03/01/2050           | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29037.96     | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20B 1                       | CUSIP: 83162CTV5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    118063 | PA      | $113478.33    | 0.03%             | 2031-02-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |   1046000 | PA      | $876312.95    | 0.25%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2047                                                         | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     48647 | PA      | $47939.01     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       240 | NC      | $25903125.00  | 7.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890695                                                         | CUSIP: 31410LRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    494025 | PA      | $473200.74    | 0.13%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS8673                                                        | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     22953 | PA      | $21842.20     | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7534                                                        | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    158654 | PA      | $137426.95    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.450000% 02/01/2050                                                 | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     40000 | PA      | $29009.77     | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-3 IO                            | CUSIP: 38381ETV0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    983279 | PA      | $54387.13     | 0.02%             | 2061-02-16      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-H20 FA                          | CUSIP: 38376RFG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    182716 | PA      | $180733.84    | 0.05%             | 2065-08-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 0.750000% 05/31/2026                                              | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  12120000 | PA      | $10809051.59  | 3.06%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3375                                                      | CUSIP: 36179RXC8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33149 | PA      | $30107.00     | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM PRIVATE EDUCATION LOAN TRUST                                             | SLM PRIVATE EDUCATION LOAN TRUST 2010-C SLMA 2010-C A5                            | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    324452 | PA      | $347974.70    | 0.10%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6400                                                         | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     86841 | PA      | $70961.07     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6777                                                         | CUSIP: 3140QEQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    436435 | PA      | $422615.83    | 0.12%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 4.250000% 06/15/2048                                       | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8637.58      | 0.00%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 3.800000% 03/15/2025                                                   | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38984.38     | 0.01%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC STRIPS FHS 353 S1                                                     | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     69750 | PA      | $6105.39      | 0.00%             | 2046-12-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0240                                                         | CUSIP: 3140XFHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     91903 | PA      | $82019.25     | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    673000 | PA      | $627103.33    | 0.18%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 3 MONTH SOFR FUT  DEC24 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |        71 | NC      | $17157150.00  | 4.86%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAMONDBACK ENERGY, INC.                                                     | DIAMONDBACK ENERGY INC 3.250000% 12/01/2026                                       | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27902.91     | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC TRUST 2018-J1 TRUST CSMC 2018-J1 A2                                          | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    293246 | PA      | $254937.49    | 0.07%             | 2048-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                      | CF HIPPOLYTA ISSUER LLC SORT 2020-1 A1                                            | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    207093 | PA      | $184849.43    | 0.05%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| SALESFORCE, INC.                                                             | SALESFORCE INC 3.700000% 04/11/2028                                               | CUSIP: 79466LAF1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143873.87    | 0.04%             | 2028-04-11      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC.                                              | BP CAPITAL MARKETS AMERICA INC 3.410000% 02/11/2026                               | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     90000 | PA      | $86403.02     | 0.02%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC.                                                                | ALPHABET INC 1.900000% 08/15/2040                                                 | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $26544.95     | 0.01%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN4303                                                         | CUSIP: 3140JLX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    692505 | PA      | $699149.07    | 0.20%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL3673                                                         | CUSIP: 3138ELCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125665 | PA      | $124520.34    | 0.04%             | 2043-05-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS GROUP AG 144A 4.125000% 04/15/2026                                            | CUSIP: 90351DAF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    634000 | PA      | $608144.92    | 0.17%             | 2026-04-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SALESFORCE, INC.                                                             | SALESFORCE INC 3.250000% 04/11/2023                                               | CUSIP: 79466LAE4<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69748.18     | 0.02%             | 2023-04-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                              | RESIDENTIAL MORTGAGE LOAN TRUST 2020-2 RMLT 2020-2 A1                             | CUSIP: 76123MAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     59563 | PA      | $58432.59     | 0.02%             | 2060-05-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4311                                                         | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75552 | PA      | $66910.33     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BJ9257                                                         | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27921 | PA      | $27458.01     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT0794                                                        | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    325456 | PA      | $320837.18    | 0.09%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.500000% 09/15/2025                                              | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2959000 | PA      | $2899820.00   | 0.82%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841077                                               | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    121246 | PA      | $116796.80    | 0.03%             | 2047-11-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2579                                                         | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     53177 | PA      | $49335.18     | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6134                                                         | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     52803 | PA      | $48986.36     | 0.01%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 2.800000% 01/31/2030                            | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    230000 | PA      | $195390.65    | 0.06%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZT1970                                                        | CUSIP: 3132AEFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     39628 | PA      | $38308.11     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2017-85 SC                                                  | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62763 | PA      | $5351.63      | 0.00%             | 2047-11-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5986                                                         | CUSIP: 3140QDUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1049332 | PA      | $897746.74    | 0.25%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H01 TA                          | CUSIP: 38375BE99<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1118 | PA      | $1096.96      | 0.00%             | 2063-01-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                              | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23 WFRBS 2014-C23 XA                        | CUSIP: 92939HBE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    916593 | PA      | $6619.08      | 0.00%             | 2057-10-15      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2021-DNA6 STACR 2021-DNA6 M2                        | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    230000 | PA      | $218492.92    | 0.06%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841076                                               | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    383822 | PA      | $363547.81    | 0.10%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6465                                                         | CUSIP: 3140XAFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    817983 | PA      | $744082.64    | 0.21%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY COMPANY                                                   | MIDAMERICAN ENERGY CO 3.650000% 04/15/2029                                        | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    140000 | PA      | $130894.93    | 0.04%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                        | VALE OVERSEAS LTD 6.875000% 11/21/2036                                            | CUSIP: 91911TAH6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | NUSS              | BR        |    148000 | PA      | $156159.68    | 0.04%             | 2036-11-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM0068                                                         | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     52888 | PA      | $49640.29     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.750000% 04/15/2027                                             | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18837.83     | 0.01%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20E 1                       | CUSIP: 83162CXA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    241952 | PA      | $225616.46    | 0.06%             | 2035-05-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 3.750000% 11/14/2023                                                   | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19799.81     | 0.01%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                                     | GS MORTGAGE SECURITIES CORP II GSMS 2018-SRP5 A                                   | CUSIP: 36255TAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    564229 | PA      | $472774.18    | 0.13%             | 2031-09-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 991549                                                         | CUSIP: 31415WQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2296 | PA      | $2311.04      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61242                                                   | CUSIP: 31335BLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    306487 | PA      | $304172.38    | 0.09%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 4.150000% 10/16/2028                            | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    140000 | PA      | $132566.39    | 0.04%             | 2028-10-16      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 2.550000% 02/15/2031                                             | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $155214.81    | 0.04%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP 4.500000% 11/01/2023             | CUSIP: 75886AAJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59561.19     | 0.02%             | 2023-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOFR 1yr MidCurve Jan23P 95.88                                               | SOFR 1yr MidCurve Jan23P 95.88 LONG                                               | CUSIP: 018WCPGY9<br>LEI: N/A                  | N/A              | DIR              |  | US        |        73 | NC      | $26462.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CN5161                                                      | CUSIP: 3617F4WW9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     96795 | PA      | $89439.90     | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                                            | PIONEER NATURAL RESOURCES CO 1.900000% 08/15/2030                                 | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    220000 | PA      | $172286.53    | 0.05%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.250000% 10/21/2025                                  | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    190000 | PA      | $185429.86    | 0.05%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 3.500000% 11/15/2030                                         | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17485.58     | 0.00%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                                                | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A                       | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    187948 | PA      | $184835.84    | 0.05%             | 2042-02-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                               | MORGAN STANLEY CAPITAL I TRUST 2019-BPR MSC 2019-BPR A                            | CUSIP: 61769GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    280572 | PA      | $268126.71    | 0.08%             | 2036-05-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 3.750000% 05/15/2030                                           | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    220000 | PA      | $193970.89    | 0.05%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4751                                                         | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76537 | PA      | $71878.96     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                                        | BANCO SANTANDER SA VARIABLE RATE 04/12/2023                                       | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $200021.07    | 0.06%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 4.250000% 03/01/2027                                                     | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145953.92    | 0.04%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-CLS BX 2022-CLS A                                                   | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    534000 | PA      | $522674.98    | 0.15%             | 2027-10-13      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                                      | CORP NACIONAL DEL COBRE DE CHILE 3.150000% 01/15/2051                             | CUSIP: P3143NBM5<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |    420000 | PA      | $292096.88    | 0.08%             | 2051-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CARGILL, INCORPORATED                                                        | CARGILL INC 144A 1.375000% 07/23/2023                                             | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68574.82     | 0.02%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2700000 | PA      | $2368897.00   | 0.67%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2017-76 SB                                                  | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125167 | PA      | $12087.18     | 0.00%             | 2057-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.500000% 04/15/2025                                             | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    219000 | PA      | $210613.45    | 0.06%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.550000% 03/05/2024                                     | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79698.87     | 0.02%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| HONDA MOTOR CO., LTD.                                                        | HONDA MOTOR CO LTD 2.534000% 03/10/2027                                           | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |    632000 | PA      | $577406.50    | 0.16%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6340                                                         | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27350 | PA      | $25418.06     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES, INC.                                                  | CONTINENTAL RESOURCES INC/OK 3.800000% 06/01/2024                                 | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    190000 | PA      | $184761.19    | 0.05%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 889151                                                         | CUSIP: 31410GZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22899 | PA      | $23856.06     | 0.01%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                      | EXXON MOBIL CORP 4.327000% 03/19/2050                                             | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26272.47     | 0.01%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2022-NQM3 BRAVO 2022-NQM3 A1                      | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    365094 | PA      | $358166.13    | 0.10%             | 2062-07-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5731                                                        | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    269538 | PA      | $219802.15    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785359                                                      | CUSIP: 3622AAZY3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85010 | PA      | $70816.72     | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4391 MZ                                                    | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    128042 | PA      | $110402.47    | 0.03%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25G 1                       | CUSIP: 83162CQ22<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    971000 | PA      | $925722.17    | 0.26%             | 2047-07-01      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Pepsico, Inc.                                                                | PEPSICO INC 0.750000% 05/01/2023                                                  | CUSIP: 713448EY0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78964.47     | 0.02%             | 2023-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST                                                 | ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM AHPT 2017-ATRM C                           | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $390914.79    | 0.11%             | 2036-12-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| MTN COMMERCIAL MORTGAGE TRUST                                                | MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL MTN 2022-LPFL A                           | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $399040.37    | 0.11%             | 2039-03-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (FEB)                           | CUSIP: 21H042620<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    100000 | PA      | $96999.07     | 0.03%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU5890                                                         | CUSIP: 3138X5RL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1875 | PA      | $1840.55      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-127 IN                          | CUSIP: 38382HY87<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     79795 | PA      | $11629.58     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7312                                                      | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    153355 | PA      | $133563.54    | 0.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8648                                                         | CUSIP: 3140XCTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     83788 | PA      | $74077.68     | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                        | AIR LEASE CORP 3.375000% 07/01/2025                                               | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94582.08     | 0.03%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4446                                                         | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1116813 | PA      | $941408.39    | 0.27%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3044                                                         | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    194594 | PA      | $166175.76    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1186                                                         | CUSIP: 3140XGJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     35338 | PA      | $32493.74     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                 | UBS GROUP AG 144A 2.746000% 02/11/2033                                            | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    575000 | PA      | $444387.89    | 0.13%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA2572                                                        | CUSIP: 3133KH2D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    532111 | PA      | $488296.94    | 0.14%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RB5134                                                        | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73913 | PA      | $60459.98     | 0.02%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785220                                                      | CUSIP: 3622AAVM3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     83159 | PA      | $69387.87     | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.023000% 12/05/2024                                          | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    230000 | PA      | $226569.07    | 0.06%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                                           | ELLINGTON FINANCIAL MORTGAGE TRUST 2022-1 EFMT 2022-1 A1                          | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     98802 | PA      | $82655.50     | 0.02%             | 2067-01-25      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                              | INTERCONTINENTAL EXCHANGE INC 4.600000% 03/15/2033                                | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66957.95     | 0.02%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 144A 4.054000% 03/15/2029                                | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    387000 | PA      | $334802.24    | 0.09%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR4056                                                         | CUSIP: 3140L2QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81529 | PA      | $66990.19     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pemerintah Republik Indonesia                                                | INDONESIA GOVERNMENT INTERNATIONAL BOND MTN 5.125000% 01/15/2045                  | CUSIP: 455780BU9<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    200000 | PA      | $193013.43    | 0.05%             | 2045-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-186 IO                          | CUSIP: 38378XW72<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    208798 | PA      | $2256.67      | 0.00%             | 2054-08-16      | Floating      | 0.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (JANUARY)                       | CUSIP: 21H040616<br>LEI: N/A                  | Long             | DBT              |  | US        |    200000 | PA      | $189219.49    | 0.05%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5193                                                      | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11485 | PA      | $11300.16     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA JAN                             | CUSIP: 21H030617<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1100000 | PA      | $979199.94    | 0.28%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                                    | CIM TRUST 2020-INV1 CIM 2020-INV1 A2                                              | CUSIP: 12560AAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    189622 | PA      | $156594.54    | 0.04%             | 2050-04-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9387                                                         | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93197 | PA      | $75954.57     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY, INC.                                                                | WORKDAY INC 3.500000% 04/01/2027                                                  | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37382.76     | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784319                                                      | CUSIP: 3622A2YQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     91297 | PA      | $91116.77     | 0.03%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.750000% 08/15/2032                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2323000 | PA      | $2115381.88   | 0.60%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  1 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN 0.750000% 06/12/2023                                | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    130000 | PA      | $127659.24    | 0.04%             | 2023-06-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC.                                              | BP CAPITAL MARKETS AMERICA INC 3.633000% 04/06/2030                               | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45887.04     | 0.01%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                   | COOPERATIEVE RABOBANK UA 4.375000% 08/04/2025                                     | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | NUSS              | NL        |    500000 | PA      | $488026.21    | 0.14%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7910                                                         | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88821 | PA      | $76673.63     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP 3.200000% 08/15/2026                                    | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119437.50    | 0.03%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.550000% 03/21/2031                                   | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164471.71    | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-167 OI                          | CUSIP: 38379FFB0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     46899 | PA      | $8327.83      | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                             | SHELL INTERNATIONAL FINANCE BV 2.875000% 05/10/2026                               | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | NUSS              | NL        |     90000 | PA      | $84753.08     | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.750000% 02/25/2023                                           | CUSIP: 61746BDJ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1107721.04   | 0.31%             | 2023-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORPORATION                                                          | CHEVRON CORP 1.554000% 05/11/2025                                                 | CUSIP: 166764BW9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $65118.08     | 0.02%             | 2025-05-11      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4310 SA                                                    | CUSIP: 3137B7RN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     19108 | PA      | $1637.58      | 0.00%             | 2044-02-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BV3089                                                         | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     94213 | PA      | $80575.86     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7056                                                      | CUSIP: 36179VZV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    218527 | PA      | $214555.18    | 0.06%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                                           | NVIDIA CORP 3.700000% 04/01/2060                                                  | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66374.74     | 0.02%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 5.050000% 03/25/2048                                              | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     60000 | PA      | $53852.69     | 0.02%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                   | 3M CO 2.375000% 08/26/2029                                                        | CUSIP: 88579YBJ9<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25444.18     | 0.01%             | 2029-08-26      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5818                                                      | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10576 | PA      | $10380.00     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.100000% 07/24/2023                                     | CUSIP: 06053FAA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    280000 | PA      | $278780.74    | 0.08%             | 2023-07-24      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3123                                                         | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    113186 | PA      | $101814.41    | 0.03%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 3.500000% 06/15/2023                                       | CUSIP: 91324PDJ8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19887.08     | 0.01%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS PASS-THROUGH TRUST 144A 5.773000% 01/10/2033                                  | CUSIP: 126650BV1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    341653 | PA      | $333902.53    | 0.09%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN 1.150000% 06/12/2025                                | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |     80000 | PA      | $72981.09     | 0.02%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4415 IO                                                    | CUSIP: 3137BF4Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     19993 | PA      | $800.34       | 0.00%             | 2041-04-15      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784085                                                       | CUSIP: 3622A2RE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    970118 | PA      | $963997.37    | 0.27%             | 2034-09-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                                    | UNION PACIFIC CORP 3.750000% 07/15/2025                                           | CUSIP: 907818ES3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19431.77     | 0.01%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 955183                                                         | CUSIP: 31413TUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3125 | PA      | $3130.55      | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORPORATION                                                 | LINCOLN NATIONAL CORP 3.400000% 01/15/2031                                        | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |    451000 | PA      | $373035.99    | 0.11%             | 2031-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA2489                                                        | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    122177 | PA      | $116788.74    | 0.03%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.300000% 07/22/2027                                         | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192465.39    | 0.05%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786134                                                      | CUSIP: 3622ABV33<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    187012 | PA      | $162642.71    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5649                                                         | CUSIP: 3140L4H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     87938 | PA      | $72255.28     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                              | HERTZ VEHICLE FINANCING III LP HERTZ 2021-2A B                                    | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    160000 | PA      | $137110.61    | 0.04%             | 2027-12-27      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 1M2                         | CUSIP: 30711XAP9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     83849 | PA      | $86031.13     | 0.02%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7900                                                         | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85201 | PA      | $73087.76     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.622000% 04/01/2031                                           | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    475000 | PA      | $414676.67    | 0.12%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0552                                                        | CUSIP: 3132DMTH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     84080 | PA      | $68664.99     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5019                                                      | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     89580 | PA      | $83547.61     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 2.937000% 11/01/2056                                                 | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     27000 | PA      | $16697.48     | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5224 HL                                                    | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    300000 | PA      | $269555.85    | 0.08%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                                           | NVIDIA CORP 3.500000% 04/01/2040                                                  | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    130000 | PA      | $105275.09    | 0.03%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5309                                                         | CUSIP: 3140X83T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     86875 | PA      | $73920.38     | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4335 SW                                                    | CUSIP: 3137BAQX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     39934 | PA      | $3559.52      | 0.00%             | 2044-05-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2528                                                         | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     97694 | PA      | $75478.38     | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM3 TRUST OBX 2021-NQM3 A1                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    149507 | PA      | $112373.53    | 0.03%             | 2061-07-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR2 TRUST PROG 2022-SFR2 A                             | CUSIP: 74332VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    980000 | PA      | $865442.70    | 0.24%             | 2027-04-17      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                                        | VALE OVERSEAS LTD 6.250000% 08/10/2026                                            | CUSIP: 91911TAP8<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | NUSS              | BR        |    240000 | PA      | $248576.07    | 0.07%             | 2026-08-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                       | GENERAL MOTORS FINANCIAL CO INC 3.700000% 05/09/2023                              | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189059.56    | 0.05%             | 2023-05-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8216                                                         | CUSIP: 3140XCDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    856450 | PA      | $820690.12    | 0.23%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.875000% 02/15/2041                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $424078.13    | 0.12%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  1 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2019-GC39 GSMS 2019-GC39 A2                          | CUSIP: 36260JAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    520000 | PA      | $504224.40    | 0.14%             | 2052-05-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Pepsico, Inc.                                                                | PEPSICO INC 3.900000% 07/18/2032                                                  | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84860.12     | 0.02%             | 2032-07-18      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6555                                                         | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85858 | PA      | $70170.95     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PEACHTREE CORNERS FUNDING TRUST                                              | PEACHTREE CORNERS FUNDING TRUST 144A 3.976000% 02/15/2025                         | CUSIP: 70466WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    944000 | PA      | $911223.91    | 0.26%             | 2025-02-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.075000% 04/23/2029                                                | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    240000 | PA      | $220839.65    | 0.06%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 4.250000% 11/21/2049                                                   | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24896.55     | 0.01%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES, INC.                                                          | EOG RESOURCES INC 4.150000% 01/15/2026                                            | CUSIP: 26875PAP6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156852.88    | 0.04%             | 2026-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0366                                                         | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     93839 | PA      | $80948.70     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES, INC.                                                  | HEALTHPEAK PROPERTIES INC 2.125000% 12/01/2028                                    | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    769000 | PA      | $644632.68    | 0.18%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                     | DEVON ENERGY CORP 4.500000% 01/15/2030                                            | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     32000 | PA      | $29791.79     | 0.01%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784106                                                      | CUSIP: 3622A2R38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13998 | PA      | $13085.59     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE PROCTER & GAMBLE COMPANY                                                 | PROCTER & GAMBLE CO/THE 3.000000% 03/25/2030                                      | CUSIP: 742718FH7<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36544.89     | 0.01%             | 2030-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2014-20F 1                       | CUSIP: 83162CWH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    495752 | PA      | $460621.82    | 0.13%             | 2034-06-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.950000% 10/15/2025                                                 | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205655.59    | 0.06%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP 3.375000% 02/05/2024                                                   | CUSIP: 91159HHV5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    540000 | PA      | $530353.02    | 0.15%             | 2024-02-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9365                                                         | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88566 | PA      | $79044.25     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                                       | SLM STUDENT LOAN TRUST 2005-8 SLMA 2005-8 A5                                      | CUSIP: 78442GQS8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    541032 | PA      | $513147.15    | 0.15%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5078                                                      | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     39586 | PA      | $38007.70     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-RPL6 TRUST CSMC 2021-RPL6 A1                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    139525 | PA      | $122180.77    | 0.03%             | 2060-10-25      | Floating      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U95137                                                   | CUSIP: 3132H5EK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     21131 | PA      | $20374.87     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEB                             | CUSIP: 21H030625<br>LEI: N/A                  | Long             | DBT              |  | US        |    300000 | PA      | $267206.87    | 0.08%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO                                                            | PALMER SQUARE CLO 2013-2 LTD PLMRS 2013-2A A1A3                                   | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    693000 | PA      | $680669.45    | 0.19%             | 2031-10-17      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2199                                                         | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72599 | PA      | $71203.61     | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.750000% 08/15/2041                                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $437975.00    | 0.12%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                                              | PALMER SQUARE LOAN FUNDING 2022-2 LTD PSTAT 2022-2A A1                            | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    835839 | PA      | $823678.78    | 0.23%             | 2030-10-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.800000% 04/01/2028                                          | CUSIP: 58013MFF6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    280000 | PA      | $267922.45    | 0.08%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 3.850000% 11/01/2042                                   | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7925.35      | 0.00%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BS6002                                                         | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    100000 | PA      | $93050.17     | 0.03%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 5.300000% 05/06/2044                                                | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     31000 | PA      | $27916.34     | 0.01%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BC4732                                                      | CUSIP: 3617B8HH4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85083 | PA      | $79238.97     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                                     | BX TRUST 2022-LBA6 BX 2022-LBA6 A                                                 | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110000 | PA      | $106278.55    | 0.03%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                                            | CUSIP: 21H060622<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    300000 | PA      | $304110.41    | 0.09%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC                                              | VANTAGE DATA CENTERS LLC VDC 2020-2A A2                                           | CUSIP: 92212KAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $821525.30    | 0.23%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-189 PT                          | CUSIP: 38383LDU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    198663 | PA      | $166735.93    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                      | BANK OF NOVA SCOTIA/THE 1.300000% 06/11/2025                                      | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | NUSS              | CA        |     70000 | PA      | $64134.95     | 0.02%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-95 IO                           | CUSIP: 38378KTM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    751040 | PA      | $7438.46      | 0.00%             | 2047-04-16      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2256                                                         | CUSIP: 3140X5QJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     78427 | PA      | $77044.24     | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2749                                                         | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     63859 | PA      | $57443.64     | 0.02%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC3242                                                        | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     85623 | PA      | $75953.37     | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4308                                                        | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4936 | PA      | $4907.09      | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.625000% 07/31/2029                                              | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    550000 | PA      | $506451.17    | 0.14%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                     | BENCHMARK 2021-B26 MORTGAGE TRUST BMARK 2021-B26 A3                               | CUSIP: 08163EBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604000 | PA      | $517506.23    | 0.15%             | 2054-06-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4654                                                      | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24076 | PA      | $23723.32     | 0.01%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784571                                                       | CUSIP: 3622A3CG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     66979 | PA      | $63077.53     | 0.02%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BT0812                                                      | CUSIP: 3617MN3V3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     56498 | PA      | $48912.50     | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                                            | INTEL CORP 4.750000% 03/25/2050                                                   | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8678.93      | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    100197 | PA      | $90268.22     | 0.03%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES, INC.                                                  | CONTINENTAL RESOURCES INC/OK 4.375000% 01/15/2028                                 | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    120000 | PA      | $109951.20    | 0.03%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.375000% 11/15/2040                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    880000 | PA      | $572103.13    | 0.16%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    472833 | PA      | $450991.21    | 0.13%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4203 PS                                                    | CUSIP: 3137B2DY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     69902 | PA      | $4996.14      | 0.00%             | 2042-09-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2015-56 AS                                                  | CUSIP: 3136APTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     31886 | PA      | $3490.48      | 0.00%             | 2045-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0520                                                         | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     96556 | PA      | $85675.47     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO1406                                                         | CUSIP: 3140JVR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    255119 | PA      | $234611.26    | 0.07%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC.                                                                | ALPHABET INC 2.050000% 08/15/2050                                                 | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $17533.71     | 0.00%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0114                                                         | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85980 | PA      | $76255.89     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.478000% 04/04/2031                                         | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206229.24    | 0.06%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20K 1                       | CUSIP: 83162CXK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    300487 | PA      | $280653.89    | 0.08%             | 2035-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                       | STANDARD CHARTERED PLC 144A 0.991000% 01/12/2025                                  | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | NUSS              | GB        |    670000 | PA      | $632244.67    | 0.18%             | 2025-01-12      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-XL2 BX 2021-XL2 A                               | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    111206 | PA      | $106882.50    | 0.03%             | 2038-10-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| SALESFORCE, INC.                                                             | SALESFORCE INC 1.500000% 07/15/2028                                               | CUSIP: 79466LAH7<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    510000 | PA      | $434947.37    | 0.12%             | 2028-07-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                                     | COLT 2022-2 MORTGAGE LOAN TRUST COLT 2022-2 A1                                    | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     86150 | PA      | $77408.86     | 0.02%             | 2067-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6871                                                         | CUSIP: 3140QET51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1586214 | PA      | $1451698.07   | 0.41%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 1.734000% 07/22/2027                                         | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2006000 | PA      | $1757489.48   | 0.50%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-H18 NA                          | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63698 | PA      | $63256.62     | 0.02%             | 2062-08-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS RESTORATION FUNDING LLC                                            | AEP TEXAS RESTORATION FUNDING LLC AEPTC 2019-1 A2                                 | CUSIP: 00115BAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1646000 | PA      | $1485028.61   | 0.42%             | 2031-08-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 3.700000% 03/23/2029                                                   | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    160000 | PA      | $146486.20    | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 03/28/2023                                                | CUSIP: 912796Z85<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1660000 | PA      | $1643702.95   | 0.47%             | 2023-03-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4194                                                        | CUSIP: 36202EUT4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14043 | PA      | $14368.26     | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 4.500000% 04/01/2025                                                   | CUSIP: 444859BM3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9878.30      | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.200000% 10/21/2026                                                | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    287000 | PA      | $265521.15    | 0.08%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TRANSN TR FD AUTH                                              | NEW JERSEY ST TRANSPRTN TRUST NEW JERSEY TRANSPORTATION TRUST FUND AUTHORITY      | CUSIP: 6461366P1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    125000 | PA      | $123611.01    | 0.03%             | 2023-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 02/15/2027                            | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143863.03    | 0.04%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.125000% 01/22/2024                                     | CUSIP: 06051GFB0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    370000 | PA      | $366813.72    | 0.10%             | 2024-01-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM1565                                                         | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    121950 | PA      | $109518.26    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. BANCORP                                                                 | US BANCORP 1.450000% 05/12/2025                                                   | CUSIP: 91159HHZ6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    160000 | PA      | $148353.91    | 0.04%             | 2025-05-12      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Republica de Colombia                                                        | REPUBLIC OF COLOMBIA 5.200000% 05/15/2049                                         | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    310000 | PA      | $211136.61    | 0.06%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.500000% 11/16/2026                                  | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     90000 | PA      | $84364.46     | 0.02%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1727                                                         | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    104143 | PA      | $104398.02    | 0.03%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C24 A4              | CUSIP: 61765LAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    473000 | PA      | $449748.60    | 0.13%             | 2048-05-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                   | 3M CO 3.700000% 04/15/2050                                                        | CUSIP: 88579YBP5<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    150000 | PA      | $114820.97    | 0.03%             | 2050-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP 3.400000% 04/15/2026                                    | CUSIP: 674599CH6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74861.60     | 0.02%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA6531                                                        | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    453153 | PA      | $443897.54    | 0.13%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP0661                                                         | CUSIP: 3140K7WX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1090174 | PA      | $1003621.70   | 0.28%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Prosus N.V.                                                                  | PROSUS NV MTN 3.061000% 07/13/2031                                                | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | NUSS              | CN        |    410000 | PA      | $316143.13    | 0.09%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 144A 4.054000% 03/15/2029                                | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51907.32     | 0.01%             | 2029-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| HARDEES FUNDING LLC                                                          | HARDEE'S FUNDING LLC HNGRY 2021-1A A2                                             | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    394000 | PA      | $314082.22    | 0.09%             | 2051-06-20      | Fixed         | 2.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS9316                                                        | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     67892 | PA      | $64819.15     | 0.02%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4583                                                         | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    280343 | PA      | $268525.72    | 0.08%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                    | ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1                                   | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    233986 | PA      | $186112.53    | 0.05%             | 2061-10-25      | Floating      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD8135                                                        | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    285360 | PA      | $243014.47    | 0.07%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 2.900000% 05/15/2025                                           | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131844.28    | 0.04%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING, LP                                              | WESTERN MIDSTREAM OPERATING LP 3.350000% 02/01/2025                               | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28386.60     | 0.01%             | 2025-02-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3002                                                         | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     28234 | PA      | $27735.78     | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 783368                                                      | CUSIP: 36241LW51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35323 | PA      | $35253.52     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2015-GC30 GSMS 2015-GC30 A3                          | CUSIP: 36250GAN5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    951381 | PA      | $901349.54    | 0.26%             | 2050-05-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G13546                                                   | CUSIP: 3128MCET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      2422 | PA      | $2438.20      | 0.00%             | 2024-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2320                                                         | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     59525 | PA      | $55225.73     | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BU2599                                                         | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     92743 | PA      | $79311.00     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6562                                                         | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     47080 | PA      | $43749.01     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 2.125000% 09/15/2031                                              | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    150000 | PA      | $118930.67    | 0.03%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 4.500000% 08/10/2033                                   | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28070.59     | 0.01%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 3.875000% 12/15/2028                                       | CUSIP: 91324PDP4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28611.73     | 0.01%             | 2028-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 3.419000% 12/20/2028                                         | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    234000 | PA      | $211893.87    | 0.06%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    142307 | PA      | $117911.37    | 0.03%             | 2056-11-25      | Floating      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.223000% 05/01/2029                                  | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $605551.66    | 0.17%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 890604                                                         | CUSIP: 31410LNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    210056 | PA      | $206349.92    | 0.06%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19615                                                   | CUSIP: 3132JBDV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     23166 | PA      | $22454.92     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 4.050000% 05/03/2029                                          | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190449.11    | 0.05%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1664                                                         | CUSIP: 31418AZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19433 | PA      | $19071.78     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6694                                                        | CUSIP: 3133KNNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1044746 | PA      | $850614.47    | 0.24%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 4.927000% 05/10/2028                                   | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29043.22     | 0.01%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.355000% 03/15/2032                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    437000 | PA      | $346410.81    | 0.10%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P CGCMT 2013-375P A                   | CUSIP: 17320QAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190000 | PA      | $177883.05    | 0.05%             | 2035-05-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.650000% 07/30/2045                                                | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     28000 | PA      | $24013.65     | 0.01%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                                                 | MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023                             | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    220000 | PA      | $215941.76    | 0.06%             | 2023-06-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0523                                                         | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    282516 | PA      | $241261.84    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                         | BANK 2021-BNK36 BANK 2021-BN36 A5                                                 | CUSIP: 06540DBH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $289379.03    | 0.08%             | 2064-09-15      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CJ9477                                                      | CUSIP: 3617XSQ60<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    183099 | PA      | $163419.99    | 0.05%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0573                                                        | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75978 | PA      | $62992.60     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3521                                                      | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    112277 | PA      | $104697.13    | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOX CORPORATION                                                              | FOX CORP 4.709000% 01/25/2029                                                     | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28988.31     | 0.01%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6460                                                         | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81371 | PA      | $70061.58     | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 3.900000% 06/15/2047                                           | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8220.48      | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    200000 | PA      | $200360.51    | 0.06%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                                       | SEQUOIA MORTGAGE TRUST 2021-1 SEMT 2021-1 A1                                      | CUSIP: 81747KAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109726 | PA      | $88213.44     | 0.02%             | 2051-03-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| DELTA AIR LINES, INC                                                         | DELTA AIR LINES 2019-1 CLASS AA PASS THROUGH TRUST 3.204000% 04/25/2024           | CUSIP: 24737BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    621000 | PA      | $605264.79    | 0.17%             | 2024-04-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2021-A SMB 2021-A A2B                            | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    328846 | PA      | $287219.80    | 0.08%             | 2053-01-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2019-CO JPMDB 2019-COR6 A4             | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    537000 | PA      | $462007.57    | 0.13%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.150000% 08/22/2027                                               | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    470000 | PA      | $441644.41    | 0.13%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7785                                                         | CUSIP: 3140XBUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1024129 | PA      | $976537.38    | 0.28%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                                                 | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2004 MLMI 2004-WMC5 M1              | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    147708 | PA      | $142412.67    | 0.04%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                            | CIGNA CORP 3.500000% 06/15/2024                                                   | CUSIP: 125523BX7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156451.83    | 0.04%             | 2024-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 255935                                                         | CUSIP: 31371MHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     13378 | PA      | $13316.95     | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 90DAY EURO$ FUTR  MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |        34 | NC      | $8068625.00   | 2.28%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                     | AMERICAN EXPRESS CO 3.375000% 05/03/2024                                          | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    140000 | PA      | $137149.46    | 0.04%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE MORTGAGE TRUST COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES | 280 PARK AVENUE 2017-280P MORTGAGE TRUST PRK 2017-280P A                          | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    130000 | PA      | $126722.62    | 0.04%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A                             | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    635000 | PA      | $611676.83    | 0.17%             | 2036-09-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2022-SFR3 TRUST PROG 2022-SFR3 A                             | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    512000 | PA      | $464100.86    | 0.13%             | 2039-04-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE LOAN TRUST                                        | PROVIDENT FUNDING MORTGAGE TRUST 2021-INV1 PFMT 2021-INV1 A1                      | CUSIP: 74387VAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550275 | PA      | $438264.03    | 0.12%             | 2051-08-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4780                                                      | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12774 | PA      | $12583.07     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARLISLE COMPANIES INCORPORATED                                              | CARLISLE COS INC 2.200000% 03/01/2032                                             | CUSIP: 142339AL4<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    634000 | PA      | $481642.16    | 0.14%             | 2032-03-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE-ACES FNA 2019-M19 A2                                                   | CUSIP: 3136B57A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     78841 | PA      | $70120.55     | 0.02%             | 2029-09-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8576                                                         | CUSIP: 3140XCQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    315295 | PA      | $283098.19    | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ9226                                                         | CUSIP: 3140KVHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     82992 | PA      | $68192.34     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1074                                                         | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    563946 | PA      | $501566.07    | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19236                                                   | CUSIP: 3132JAV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     15369 | PA      | $14671.43     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2013-73 IA                                                  | CUSIP: 3136AFRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33336 | PA      | $2103.30      | 0.00%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 2.625000% 04/01/2030                                                   | CUSIP: 717081EW9<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87842.22     | 0.02%             | 2030-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0849                                                        | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94000 | PA      | $80395.09     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.250000% 11/30/2026                                              | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2260000 | PA      | $2027908.60   | 0.57%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA2482                                                         | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     46783 | PA      | $46073.14     | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS7740                                                        | CUSIP: 3132A8S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    329336 | PA      | $308813.32    | 0.09%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.300000% 04/01/2027                                                 | CUSIP: 20030NDK4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28271.28     | 0.01%             | 2027-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                          | INTESA SANPAOLO SPA MTN 5.017000% 06/26/2024                                      | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | NUSS              | IT        |    200000 | PA      | $192262.08    | 0.05%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AK5556                                                         | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1132779 | PA      | $1087837.33   | 0.31%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING                                               | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2020-2A A                          | CUSIP: 05377RDY7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    440000 | PA      | $398741.38    | 0.11%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU3751                                                         | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    349319 | PA      | $335244.26    | 0.09%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1556                                                         | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    384865 | PA      | $353514.37    | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                         | GLENCORE FUNDING LLC 144A 1.625000% 04/27/2026                                    | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | AU        |     90000 | PA      | $79298.30     | 0.02%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 3.350000% 02/09/2027                                                    | CUSIP: 037833CJ7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    210000 | PA      | $200785.12    | 0.06%             | 2027-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1104                                                         | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     90084 | PA      | $77366.40     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4252                                                         | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75672 | PA      | $61851.45     | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.500000% 03/01/2027                                          | CUSIP: 58013MFB5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19041.24     | 0.01%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3873                                                      | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35737 | PA      | $32309.89     | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BP2898                                                         | CUSIP: 3140KAGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    139544 | PA      | $132536.82    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Joint Stock Company National Company KazMunayGas                             | KAZMUNAYGAS NATIONAL CO JSC 144A 5.375000% 04/24/2030                             | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | NUSS              | KZ        |    400000 | PA      | $357348.38    | 0.10%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2015-55 IO                                                  | CUSIP: 3136APB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     13160 | PA      | $445.95       | 0.00%             | 2055-08-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.000000% 11/15/2041                                              | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    830000 | PA      | $592639.46    | 0.17%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Republica de Colombia                                                        | REPUBLIC OF COLOMBIA 3.125000% 04/15/2031                                         | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    220000 | PA      | $163287.02    | 0.05%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD1305                                                        | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    390203 | PA      | $385865.61    | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 4.900000% 01/15/2045                                         | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76525.45     | 0.02%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4280                                                         | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    350622 | PA      | $270726.73    | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2017-C34 ASB             | CUSIP: 61767EAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    563660 | PA      | $535294.75    | 0.15%             | 2052-11-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3597                                                      | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     44928 | PA      | $41900.93     | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08844                                                   | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     12623 | PA      | $12650.85     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN1623                                                         | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     29113 | PA      | $28527.27     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 0.250000% 05/31/2025                                              | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2540000 | PA      | $2305843.75   | 0.65%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 870545                                                         | CUSIP: 31409GES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17980 | PA      | $17625.34     | 0.00%             | 2036-03-01      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY, INC.                                                     | DIAMONDBACK ENERGY INC 3.500000% 12/01/2029                                       | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43866.07     | 0.01%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE6679                                                        | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     99190 | PA      | $96263.90     | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.106000% 04/08/2026                                                | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    150000 | PA      | $141987.40    | 0.04%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| PT Perusahaan Listrik Negara (Persero)                                       | PERUSAHAAN PERSEROAN PERSERO PT PERUSAHAAN LISTRIK 5.450000% 05/21/2028           | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |    370000 | PA      | $366300.00    | 0.10%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SAN JOSE CALIF FING AUTH LEASE REV                                           | SAN JOSE CA FING AUTH LEASE RE SAN JOSE FINANCING AUTHORITY                       | CUSIP: 798153NF5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    540000 | PA      | $476506.69    | 0.13%             | 2026-06-01      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES, INC.                                        | ALEXANDRIA REAL ESTATE EQUITIES INC 3.450000% 04/30/2025                          | CUSIP: 015271AL3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    802000 | PA      | $775603.57    | 0.22%             | 2025-04-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2012-93 UI                                                  | CUSIP: 3136A8FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    129434 | PA      | $5710.69      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.593000% 07/21/2028                                     | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $193323.76    | 0.05%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2I                                               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    403850 | PA      | $326037.80    | 0.09%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99126                                                   | CUSIP: 3132H7D84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    283674 | PA      | $253680.52    | 0.07%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                                                | CONNECTICUT AVENUE SECURITIES TRUST 2021-R03 CAS 2021-R03 1M2                     | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    440000 | PA      | $415003.03    | 0.12%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3141                                                         | CUSIP: 3140X6P39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    108061 | PA      | $100269.49    | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1517 X1                 | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    234870 | PA      | $24643.63     | 0.01%             | 2035-07-25      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6217                                                      | CUSIP: 36179U4A7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    161521 | PA      | $141024.90    | 0.04%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.500000% 07/01/2027                                          | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9485.69      | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD.                                                          | WIND RIVER 2021-3 CLO LTD WINDR 2021-3A A                                         | CUSIP: 97316DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    614000 | PA      | $588927.31    | 0.17%             | 2033-07-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1938                                                         | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1087540 | PA      | $926751.43    | 0.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB1273                                                         | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    273497 | PA      | $223848.19    | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                                            | CUSIP: 21H052629<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    800000 | PA      | $803723.28    | 0.23%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines                                                              | DELTA AIR LINES 2015-1 CLASS AA PASS THROUGH TRUST 3.625000% 07/30/2027           | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    457501 | PA      | $417656.54    | 0.12%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8786                                                         | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     90106 | PA      | $77117.63     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                                        | BANCO SANTANDER SA 2.746000% 05/28/2025                                           | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $187178.11    | 0.05%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2021-61 KI                                                  | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    548525 | PA      | $79896.16     | 0.02%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 5.500000% 09/13/2025                                                | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    450000 | PA      | $452754.32    | 0.13%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                                        | BANCO SANTANDER SA 4.175000% 03/24/2028                                           | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $185502.94    | 0.05%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 03/02/2023                                                | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    510000 | PA      | $506517.06    | 0.14%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN BS8439                                                       | CUSIP: 3617MKLU1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     43318 | PA      | $40426.19     | 0.01%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0653                                                        | CUSIP: 3132DMWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     86838 | PA      | $74295.81     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 11/15/2052                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $120168.75    | 0.03%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.592000% 04/29/2031                                         | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    380000 | PA      | $309485.65    | 0.09%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4208                                                         | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    552730 | PA      | $451938.97    | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Province de Quebec                                                           | PROVINCE OF QUEBEC CANADA MTN 6.350000% 01/30/2026                                | CUSIP: 74815HBZ4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   1010000 | PA      | $1051368.09   | 0.30%             | 2026-01-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 01/31/2023                                                | CUSIP: 912796ZM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $717793.60    | 0.20%             | 2023-01-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5013 IN                                                    | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     84462 | PA      | $13056.80     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Republica del Peru                                                           | REPUBLIC OF PERU 3.550000% 03/10/2051                                             | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     90000 | PA      | $63974.51     | 0.02%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BURLINGTON NORTHERN SANTA FE, LLC                                            | BURLINGTON NORTHERN SANTA FE LLC 4.550000% 09/01/2044                             | CUSIP: 12189LAU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9040.92      | 0.00%             | 2044-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H09 FL                          | CUSIP: 38380QAW2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63848 | PA      | $62697.41     | 0.02%             | 2070-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5010 JI                                                    | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    247013 | PA      | $37916.40     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                                                 | MONDELEZ INTERNATIONAL INC 1.500000% 05/04/2025                                   | CUSIP: 609207AU9<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $166567.37    | 0.05%             | 2025-05-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SYSTEMS, INCORPORATED                                  | AMERICAN TRANSMISSION SYSTEMS INC 144A 2.650000% 01/15/2032                       | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $49239.70     | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2138                                                         | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30497 | PA      | $29230.21     | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.200000% 08/26/2024                                     | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206751.11    | 0.06%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 992249                                                         | CUSIP: 31415XH20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2602 | PA      | $2623.71      | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.550000% 12/01/2033                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    472000 | PA      | $362736.60    | 0.10%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB9597                                                         | CUSIP: 31417GUX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21009 | PA      | $20153.91     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4901                                                      | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30310 | PA      | $29100.59     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LIMITED                                                       | MACQUARIE BANK LTD 144A 2.300000% 01/22/2025                                      | CUSIP: 55608PBE3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | NUSS              | AU        |   1188000 | PA      | $1123979.65   | 0.32%             | 2025-01-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9728                                                         | CUSIP: 3140XDY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1948418 | PA      | $1662486.99   | 0.47%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 2.591000% 01/20/2028                                          | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    542000 | PA      | $476690.32    | 0.13%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BS8546                                                      | CUSIP: 3617MKP78<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     45685 | PA      | $38794.64     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4838                                                      | CUSIP: 36179TLT0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76927 | PA      | $73857.38     | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2013-26 HI                                                  | CUSIP: 3136ADXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1788 | PA      | $53.86        | 0.00%             | 2032-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7705                                                      | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     91069 | PA      | $78920.06     | 0.02%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                                 | NEW YORK LIFE GLOBAL FUNDING 144A 0.950000% 06/24/2025                            | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54327.60     | 0.02%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.250000% 05/15/2050                                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3420000 | PA      | $1840521.09   | 0.52%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares                      | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                      | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    904410 | NS      | $904409.64    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3347                                                         | CUSIP: 3140X6WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     81133 | PA      | $75460.67     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA JANUARY                         | CUSIP: 21H032613<br>LEI: N/A                  | Long             | DBT              |  | US        |    700000 | PA      | $643030.65    | 0.18%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA5576                                                        | CUSIP: 3133KMFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    352508 | PA      | $301321.59    | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4720                                                      | CUSIP: 36179TG58<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    119551 | PA      | $115072.98    | 0.03%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-NQM7 CSMC 2021-NQM7 A1                                                  | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109456 | PA      | $89554.53     | 0.03%             | 2066-10-25      | Floating      | 1.76%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.083000% 04/22/2026                                          | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120678.51    | 0.03%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.083000% 03/20/2051                                     | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31302.36     | 0.01%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Estados Unidos Mexicanos                                                     | UNITED MEXICAN STATES 3.500000% 02/12/2034                                        | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1040000 | PA      | $832279.40    | 0.24%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785221                                                      | CUSIP: 3622AAVN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     81059 | PA      | $67588.17     | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Orbia Advance Corporation S.A.B. de CV                                       | ORBIA ADVANCE CORP SAB DE CV 144A 2.875000% 05/11/2031                            | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $156250.00    | 0.04%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1                   | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5714575 | PA      | $319798.46    | 0.09%             | 2030-09-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                         | MITSUBISHI UFJ FINANCIAL GROUP INC 3.407000% 03/07/2024                           | CUSIP: 606822BD5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | NUSS              | JP        |    510000 | PA      | $499320.18    | 0.14%             | 2024-03-07      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G06875                                                   | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     91536 | PA      | $94829.62     | 0.03%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5875                                                         | CUSIP: 3140X9Q57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    338992 | PA      | $331351.69    | 0.09%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                      | MPLX LP 5.200000% 12/01/2047                                                      | CUSIP: 55336VBP4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42532.37     | 0.01%             | 2047-12-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WORKDAY, INC.                                                                | WORKDAY INC 3.700000% 04/01/2029                                                  | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55046.91     | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.376000% 04/27/2028                                     | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95632.30     | 0.03%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sinopec Group Overseas Development (2014) Limited                            | SINOPEC GROUP OVERSEAS DEVELOPMENT 2014 LTD 144A 4.375000% 04/10/2024             | CUSIP: 82937WAE5<br>LEI: 549300ZIMV82UUECOQ45 | Long             | DBT              | NUSS              | CN        |    290000 | PA      | $287842.68    | 0.08%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC7411                                                        | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     91464 | PA      | $78369.35     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 783669                                                       | CUSIP: 3622A2CE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     53035 | PA      | $48557.20     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    600000 | PA      | $590945.35    | 0.17%             | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2770                                                         | CUSIP: 3140X6CG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85797 | PA      | $78740.48     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 2.500000% 04/15/2027                                           | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    450000 | PA      | $414080.35    | 0.12%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 3.000000% 10/29/2028           | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    180000 | PA      | $150799.55    | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM9044                                                         | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84855 | PA      | $75538.28     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AP2422                                                         | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    599997 | PA      | $561655.06    | 0.16%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BD8104                                                         | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125766 | PA      | $112466.09    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES, INC.                                                      | REPUBLIC SERVICES INC 3.200000% 03/15/2025                                        | CUSIP: 760759AQ3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $172595.85    | 0.05%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2022-NQM1 CSMC 2022-NQM1 A1                                                  | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    377723 | PA      | $324066.91    | 0.09%             | 2066-11-25      | Floating      | 2.27%                 | Yes           |                  2 | On Loan: No      |
| Shell International Finance B.V.                                             | SHELL INTERNATIONAL FINANCE BV 3.250000% 05/11/2025                               | CUSIP: 822582BD3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | NUSS              | NL        |    150000 | PA      | $145346.69    | 0.04%             | 2025-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1                   | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    103747 | PA      | $85393.26     | 0.02%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 735228                                                         | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60764 | PA      | $62772.60     | 0.02%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U91671                                                   | CUSIP: 3132HBW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    259824 | PA      | $242567.66    | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                      | EXXON MOBIL CORP 2.610000% 10/15/2030                                             | CUSIP: 30231GBN1<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87349.02     | 0.02%             | 2030-10-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0148                                                         | CUSIP: 3140FXEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    150167 | PA      | $148630.71    | 0.04%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.500000% 04/19/2026                                     | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124064.46    | 0.04%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3250                                                         | CUSIP: 3140X6TG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    208106 | PA      | $191571.19    | 0.05%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 4.000000% 05/15/2029                                       | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190999.66    | 0.05%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES, INC.                                                          | EOG RESOURCES INC 4.375000% 04/15/2030                                            | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    190000 | PA      | $183666.57    | 0.05%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA4142                                                        | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     77106 | PA      | $66417.05     | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                           | PG&E WILDFIRE RECOVERY FUNDING LLC 3.594000% 06/01/2030                           | CUSIP: 693342AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    766484 | PA      | $725794.81    | 0.21%             | 2030-06-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.375000% 08/15/2050                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1444726.56   | 0.41%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AU6735                                                         | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27077 | PA      | $24670.13     | 0.01%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G08859                                                   | CUSIP: 3128MJ5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     39741 | PA      | $39949.70     | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0583                                                         | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     94964 | PA      | $81095.97     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                                   | MMAF EQUIPMENT FINANCE LLC 2022-B MMAF 2022-B A3                                  | CUSIP: 606940AC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    339000 | PA      | $342769.95    | 0.10%             | 2028-07-10      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B1                        | CUSIP: 64828GAS9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    202604 | PA      | $180711.75    | 0.05%             | 2059-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| ADOBE INC.                                                                   | ADOBE INC 2.300000% 02/01/2030                                                    | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $179060.47    | 0.05%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                           | ENERGY TRANSFER LP 4.950000% 06/15/2028                                           | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9669.85      | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2523                                                         | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57619 | PA      | $53455.66     | 0.02%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H08 BF                          | CUSIP: 38375BN99<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    318557 | PA      | $314732.13    | 0.09%             | 2063-03-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6954                                                         | CUSIP: 3140XAWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    602420 | PA      | $520039.31    | 0.15%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 1.675000% 06/30/2027                                          | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    290000 | PA      | $252374.62    | 0.07%             | 2027-06-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0499                                                        | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1400533 | PA      | $1247217.32   | 0.35%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                                           | CREDIT SUISSE AG/NEW YORK NY 5.000000% 07/09/2027                                 | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |    530000 | PA      | $483067.64    | 0.14%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL9397                                                         | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     69476 | PA      | $62121.00     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN 942165                                                         | CUSIP: 31413DFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     13253 | PA      | $13771.97     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-123 NI                          | CUSIP: 38382HM98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     80983 | PA      | $11134.74     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                          | INTESA SANPAOLO SPA 144A 3.375000% 01/12/2023                                     | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | NUSS              | IT        |    200000 | PA      | $199901.25    | 0.06%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2011-20J 1                       | CUSIP: 83162CUH4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     83609 | PA      | $77138.08     | 0.02%             | 2031-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2110                                                         | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     59309 | PA      | $56844.85     | 0.02%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4085 IO                                                    | CUSIP: 3137ARUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     87786 | PA      | $3582.73      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 0.625000% 11/30/2027                                              | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   1400000 | PA      | $1188796.87   | 0.34%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  1 | On Loan: No      |
| CWHEQ REVOLVING HOME EQUITY LOAN TRUST                                       | CWHEQ REVOLVING HOME EQUITY LOAN TRUST SERIES 2006 CWHEL 2006-F 2A1A              | CUSIP: 23242LAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    149027 | PA      | $136009.52    | 0.04%             | 2036-07-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA6562                                                        | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     90568 | PA      | $77698.46     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                         | MITSUBISHI UFJ FINANCIAL GROUP INC 3.837000% 04/17/2026                           | CUSIP: 606822CF9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | NUSS              | JP        |    200000 | PA      | $192621.36    | 0.05%             | 2026-04-17      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST                                                             | SLG OFFICE TRUST 2021-OVA SLG 2021-OVA A                                          | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $406840.01    | 0.12%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3469                                                         | CUSIP: 3140X62B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     99868 | PA      | $92369.18     | 0.03%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.785000% 03/17/2033                                                | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $213822.89    | 0.06%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4068                                                      | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19504 | PA      | $17632.21     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING, LP                                              | WESTERN MIDSTREAM OPERATING LP 4.300000% 02/01/2030                               | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17458.40     | 0.00%             | 2030-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ1150                                                         | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     71711 | PA      | $61420.41     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7552                                                        | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2625551 | PA      | $2242167.76   | 0.63%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.452000% 12/05/2029                                          | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187871.36    | 0.05%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BU1030                                                         | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    271769 | PA      | $223632.20    | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                                                  | ABBVIE INC 2.950000% 11/21/2026                                                   | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18599.68     | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2015-FL7 D               | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    114920 | PA      | $105514.44    | 0.03%             | 2028-05-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1015                                                         | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    189967 | PA      | $155769.64    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US ULTRA BOND CBT MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -27 | NC      | $-3626437.50  | -1.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Adventist Health System                                                      | ADVENTIST HEALTH SYSTEM/WEST 2.433000% 09/01/2024                                 | CUSIP: 007944AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    431000 | PA      | $409862.71    | 0.12%             | 2024-09-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2018-5 JPMMT 2018-5 A1                                   | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63595 | PA      | $55723.17     | 0.02%             | 2048-10-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2012-CCRE5 MORTGAGE TRUST COMM 2012-CR5 AM                                   | CUSIP: 12623SAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45385 | PA      | $45315.27     | 0.01%             | 2045-12-10      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORPORATION                                                   | CARRIER GLOBAL CORP 2.700000% 02/15/2031                                          | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8252.55      | 0.00%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5944                                                         | CUSIP: 3140X9TA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72481 | PA      | $61674.75     | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STACK INFRASTRUCTURE ISSUER, LLC                                             | STACK INFRASTRUCTURE ISSUER LLC SIDC 2019-1A A2                                   | CUSIP: 85236KAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    454868 | PA      | $443835.66    | 0.13%             | 2044-02-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM4097                                                         | CUSIP: 3140J8RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    697899 | PA      | $691520.27    | 0.20%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 8.125000% 07/15/2039                                                | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     12000 | PA      | $14747.78     | 0.00%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1000                                                         | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    352581 | PA      | $314506.94    | 0.09%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD8675                                                        | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94496 | PA      | $80818.05     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841081                                               | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    123748 | PA      | $118716.33    | 0.03%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| NXP B.V.                                                                     | NXP BV / NXP FUNDING LLC / NXP USA INC 5.000000% 01/15/2033                       | CUSIP: 62954HBB3<br>LEI: 724500RKKW4NOJ9YQF60 | Long             | DBT              | NUSS              | CN        |    404000 | PA      | $381533.65    | 0.11%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785219                                                      | CUSIP: 3622AAVL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     47377 | PA      | $39292.90     | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.625000% 11/15/2050                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $833000.00    | 0.24%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Province de Quebec                                                           | PROVINCE OF QUEBEC 2.625000% 02/13/2023                                           | CUSIP: 748149AG6<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    500000 | PA      | $498922.97    | 0.14%             | 2023-02-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7548                                                        | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1284478 | PA      | $1104547.65   | 0.31%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INCORPORATED.                                                     | MASTERCARD INC 3.850000% 03/26/2050                                               | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8344.36      | 0.00%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES, INC.                                                        | GILEAD SCIENCES INC 2.500000% 09/01/2023                                          | CUSIP: 375558BL6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49172.42     | 0.01%             | 2023-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | United States Treasury Note/Bond 3.625000% 08/15/2043                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $36771.88     | 0.01%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BECTON, DICKINSON AND COMPANY                                                | BECTON DICKINSON AND CO 3.363000% 06/06/2024                                      | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    186000 | PA      | $181758.51    | 0.05%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2764                                                         | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    935327 | PA      | $891664.61    | 0.25%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 1.200000% 06/03/2027                                               | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17319.76     | 0.00%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 4.250000% 08/22/2057                                               | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8589.17      | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS8740                                                         | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22253 | PA      | $21272.61     | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2022-AHP BX 2022-AHP A                               | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    630000 | PA      | $602908.49    | 0.17%             | 2039-01-17      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5018                                                      | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     25820 | PA      | $23252.52     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 10YR ULTRA FUT MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        90 | NC      | $10645312.50  | 3.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C15 B               | CUSIP: 46640NAK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    210000 | PA      | $205089.55    | 0.06%             | 2045-11-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4325                                                         | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     87427 | PA      | $71370.25     | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7796                                                         | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65623 | PA      | $62831.44     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ6341                                                         | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56399 | PA      | $50521.38     | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25A 1                       | CUSIP: 83162CN33<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1069027 | PA      | $899302.26    | 0.25%             | 2047-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 4.200000% 01/31/2050                            | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7862.71      | 0.00%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784605                                                       | CUSIP: 3622AAAE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58475 | PA      | $58107.12     | 0.02%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON COMPANY                                                  | COMMONWEALTH EDISON CO 3.700000% 08/15/2028                                       | CUSIP: 202795JN1<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    468000 | PA      | $440358.17    | 0.12%             | 2028-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                                            | PROGRESS RESIDENTIAL 2021-SFR2 TRUST PROG 2021-SFR2 A                             | CUSIP: 74333DAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    596467 | PA      | $521077.93    | 0.15%             | 2038-04-19      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 3.950000% 01/31/2060                            | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7216.85      | 0.00%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1 SCRT 2022-1 MAU                 | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    929667 | PA      | $857737.43    | 0.24%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7148                                                         | CUSIP: 3140XA5J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    719798 | PA      | $693073.57    | 0.20%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G07697                                                   | CUSIP: 3128M93E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    220129 | PA      | $217454.30    | 0.06%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.572000% 10/20/2032                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    240000 | PA      | $187968.56    | 0.05%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INCORPORATED                                               | TEXAS INSTRUMENTS INC 1.750000% 05/04/2030                                        | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32882.85     | 0.01%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-82 Z                            | CUSIP: 38381HCN9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    202345 | PA      | $129863.50    | 0.04%             | 2064-02-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.565000% 06/14/2030                                          | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    998000 | PA      | $938982.52    | 0.27%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST                                    | GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2022-1 GOOD 2022-1GS B                  | CUSIP: 38237JAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    580215 | PA      | $424786.17    | 0.12%             | 2049-01-20      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0582                                                         | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95688 | PA      | $81837.62     | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2013-54 BS                                                  | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19324 | PA      | $2076.36      | 0.00%             | 2043-06-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0394                                                         | CUSIP: 3140XFNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    189458 | PA      | $154580.31    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICHIGAN FIN AUTH REV                                                        | MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY                           | CUSIP: 59447TUG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    755000 | PA      | $731714.37    | 0.21%             | 2049-09-01      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.400000% 06/10/2025                                                | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157040.70    | 0.04%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3325                                                         | CUSIP: 3140J7VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1313229 | PA      | $1191238.03   | 0.34%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO., INC.                                                            | MERCK & CO INC 1.900000% 12/10/2028                                               | CUSIP: 58933YBD6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    430000 | PA      | $369181.03    | 0.10%             | 2028-12-10      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INCORPORATED.                                                     | MASTERCARD INC 3.375000% 04/01/2024                                               | CUSIP: 57636QAB0<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58898.01     | 0.02%             | 2024-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    700000 | PA      | $673579.40    | 0.19%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORPORATION                                                   | KIMBERLY-CLARK CORP 3.100000% 03/26/2030                                          | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17991.20     | 0.01%             | 2030-03-26      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2336                                                         | CUSIP: 3140X5S20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    151867 | PA      | $144375.11    | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC                                              | HERTZ VEHICLE FINANCING LLC HERTZ 2021-1A C                                       | CUSIP: 42806MAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    210000 | PA      | $189169.11    | 0.05%             | 2025-12-26      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BN6257                                                         | CUSIP: 3140JN5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    758956 | PA      | $712270.92    | 0.20%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST                                               | HOME PARTNERS OF AMERICA 2022-1 TRUST HPA 2022-1 A                                | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1002277 | PA      | $939766.70    | 0.27%             | 2039-04-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP 3.000000% 02/15/2027                                    | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117571.12    | 0.03%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3031                                                         | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    280277 | PA      | $237733.47    | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 2.972000% 02/04/2033                                         | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $161123.74    | 0.05%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CORPORATION                                                     | TOYOTA MOTOR CORP 1.339000% 03/25/2026                                            | CUSIP: 892331AM1<br>LEI: 5493006W3QUS5LMH6R84 | Long             | DBT              | NUSS              | JP        |    210000 | PA      | $188380.92    | 0.05%             | 2026-03-25      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 3.750000% 01/24/2024                                         | CUSIP: 95000U2C6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    540000 | PA      | $532662.56    | 0.15%             | 2024-01-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.203000% 07/23/2029                                          | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93180.29     | 0.03%             | 2029-07-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1515 X1                 | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2289351 | PA      | $266053.93    | 0.08%             | 2035-02-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL4324                                                         | CUSIP: 3138ELYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79933 | PA      | $84333.77     | 0.02%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  01/15/2030                   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    893000 | PA      | $928966.19    | 0.26%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0612                                                         | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95565 | PA      | $78607.84     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY, INC.                                                                | WORKDAY INC 3.800000% 04/01/2032                                                  | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220684.23    | 0.06%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                            | BERKSHIRE HATHAWAY ENERGY CO 3.700000% 07/15/2030                                 | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    140000 | PA      | $127550.71    | 0.04%             | 2030-07-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4080                                                         | CUSIP: 3138MKRA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16306 | PA      | $15661.12     | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 3.845000% 06/14/2025                                          | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1153710.91   | 0.33%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-181 WI                          | CUSIP: 38382LXR7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    396507 | PA      | $43676.61     | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 01/03/2023                                                | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $700000.00    | 0.20%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-H21 FB                          | CUSIP: 38375UAN0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    198072 | PA      | $197394.44    | 0.06%             | 2063-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5331                                                      | CUSIP: 36179T4Q5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20381 | PA      | $19977.41     | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN TRUST 2015-5 JPMMT 2015-5 A9                                            | CUSIP: 46644XAK8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     22151 | PA      | $21284.23     | 0.01%             | 2045-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.750000% 08/15/2032                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    610000 | PA      | $555481.25    | 0.16%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  1 | On Loan: No      |
| TRIUMPH RAIL LLC                                                             | TRIUMPH RAIL HOLDINGS LLC TRP 2021-2 A                                            | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    269807 | PA      | $229823.63    | 0.07%             | 2051-06-19      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| USAA CAPITAL CORPORATION                                                     | USAA CAPITAL CORP 144A 2.125000% 05/01/2030                                       | CUSIP: 90327QD55<br>LEI: 5493007XLF4LU3U2W757 | Long             | DBT              | CORP              | US        |    150000 | PA      | $122909.12    | 0.03%             | 2030-05-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.412000% 03/31/2031                                                | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91829.66     | 0.03%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.250000% 08/15/2049                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    280000 | PA      | $196831.25    | 0.06%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST                                     | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2022-1 GMREV 2022-1 A                    | CUSIP: 36265UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    662000 | PA      | $673948.11    | 0.19%             | 2035-10-11      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25D 1                       | CUSIP: 83162CP23<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    698351 | PA      | $643055.55    | 0.18%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                                     | GS MORTGAGE SECURITIES CORP II GSMS 2018-SRP5 B                                   | CUSIP: 36255TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    391320 | PA      | $280891.57    | 0.08%             | 2031-09-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.300000% 07/01/2025                                          | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48364.93     | 0.01%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    200000 | PA      | $169302.86    | 0.05%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.125000% 10/31/2027                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |     20000 | PA      | $20073.44     | 0.01%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC NON GOLD POOL FH 841089                                               | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    383388 | PA      | $382383.44    | 0.11%             | 2047-06-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM, INC.                                                           | RYDER SYSTEM INC MTN 3.350000% 09/01/2025                                         | CUSIP: 78355HKR9<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    806000 | PA      | $765184.96    | 0.22%             | 2025-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 3.700000% 01/31/2051                            | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $57671.58     | 0.02%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                         | GLENCORE FUNDING LLC 144A 4.125000% 05/30/2023                                    | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | AU        |    890000 | PA      | $885358.38    | 0.25%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0734                                                         | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95345 | PA      | $78095.75     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2II                                              | CUSIP: 95058XAL2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    261025 | PA      | $203371.63    | 0.06%             | 2051-06-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORPORATION                                                 | COSTCO WHOLESALE CORP 1.600000% 04/20/2030                                        | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |     90000 | PA      | $73733.99     | 0.02%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.700000% 01/30/2026                                          | CUSIP: 58013MEY6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9722.43      | 0.00%             | 2026-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING LLC                                                     | STORE MASTER FUNDING I-VII STR 2018-1A A1                                         | CUSIP: 86212VAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    366371 | PA      | $350661.64    | 0.10%             | 2048-10-20      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5379                                                         | CUSIP: 3140QC6R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     44540 | PA      | $43423.72     | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4923                                                        | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    100915 | PA      | $100718.09    | 0.03%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SCRT 2019-4 MA                  | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    784643 | PA      | $726917.86    | 0.21%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.150000% 03/01/2026                                                 | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28556.03     | 0.01%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5956                                                         | CUSIP: 3140JATN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    247986 | PA      | $241227.49    | 0.07%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR3 TRUST FKH 2021-SFR3 A                                    | CUSIP: 33768JAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    437242 | PA      | $378011.86    | 0.11%             | 2038-12-17      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACS FING AUTH REV                                         | CALIFORNIA ST HLTH FACS FING A CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY   | CUSIP: 13032UC55<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    575000 | PA      | $531816.87    | 0.15%             | 2028-06-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS COMPANY                                                       | GENERAL MOTORS CO 5.600000% 10/15/2032                                            | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    180000 | PA      | $167219.33    | 0.05%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA, LLC                                                     | DUKE ENERGY FLORIDA LLC 3.200000% 01/15/2027                                      | CUSIP: 26444HAC5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    440000 | PA      | $415397.12    | 0.12%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        59 | NC      | $12099609.38  | 3.42%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORPORATION                                                            | INTEL CORP 3.700000% 07/29/2025                                                   | CUSIP: 458140AS9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29259.88     | 0.01%             | 2025-07-29      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                             | PACIFIC GAS AND ELECTRIC CO 2.100000% 08/01/2027                                  | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111024.09    | 0.03%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 784369                                                       | CUSIP: 3622A22A9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    275770 | PA      | $268375.94    | 0.08%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4946                                                         | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     89163 | PA      | $90223.13     | 0.03%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2020-1 A2                                       | CUSIP: 78520EAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    339000 | PA      | $315932.07    | 0.09%             | 2045-04-20      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K740 X1                   | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7934198 | PA      | $228619.94    | 0.06%             | 2027-09-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-1 SCRT 2019-1 MA                  | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    441637 | PA      | $417523.30    | 0.12%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA3641                                                         | CUSIP: 3140QBBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    307996 | PA      | $292625.86    | 0.08%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC5830                                                        | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    360944 | PA      | $309932.66    | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                                              | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1                      | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     34727 | PA      | $32519.07     | 0.01%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                      | EXXON MOBIL CORP 3.043000% 03/01/2026                                             | CUSIP: 30231GAT9<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143064.68    | 0.04%             | 2026-03-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS, INC.                                                        | PAYPAL HOLDINGS INC 4.400000% 06/01/2032                                          | CUSIP: 70450YAL7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75297.26     | 0.02%             | 2032-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Ferguson Finance Plc                                                         | FERGUSON FINANCE PLC 144A 4.500000% 10/24/2028                                    | CUSIP: 314890AA2<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | NUSS              | US        |    459000 | PA      | $427798.75    | 0.12%             | 2028-10-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORPORATION                                                     | STATE STREET CORP 3.152000% 03/30/2031                                            | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44004.12     | 0.01%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 1.125000% 05/11/2025                                                    | CUSIP: 037833DT4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119684.65    | 0.03%             | 2025-05-11      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 2.800000% 01/15/2051                                                 | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18933.14     | 0.01%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 C                                  | CUSIP: 12591KAK1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     10000 | PA      | $6705.90      | 0.00%             | 2046-10-10      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q19254                                                   | CUSIP: 3132JAWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     23241 | PA      | $22527.11     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KG06 X1                   | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6496170 | PA      | $232248.46    | 0.07%             | 2031-10-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 02/09/2023                                                | CUSIP: 912796XZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $537845.68    | 0.15%             | 2023-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CM0721                                                      | CUSIP: 3617YKYS9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     88889 | PA      | $81811.51     | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC9154                                                        | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94540 | PA      | $83769.38     | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.000000% 04/01/2024                                     | CUSIP: 06051GFF1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    440000 | PA      | $434452.59    | 0.12%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9657                                                         | CUSIP: 3138WXWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22052 | PA      | $21136.36     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q42618                                                   | CUSIP: 3132WF4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    514143 | PA      | $460686.23    | 0.13%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR2664                                                         | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75264 | PA      | $62121.54     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 1.650000% 02/01/2028                                                     | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $337820.49    | 0.10%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-175 GI                          | CUSIP: 38382LLM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    318950 | PA      | $33581.85     | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 4.150000% 10/15/2028                                                 | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239736.77    | 0.07%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BPR TRUST                                                                    | BPR TRUST 2021-TY BPR 2021-TY B                                                   | CUSIP: 05592AAG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    370000 | PA      | $345292.92    | 0.10%             | 2038-09-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PALMER SQUARE CLO                                                            | PALMER SQUARE CLO 2022-2 LTD PLMRS 2022-2A A1                                     | CUSIP: 69688NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $389632.00    | 0.11%             | 2034-07-20      | Floating      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61739                                                   | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    125309 | PA      | $111715.19    | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS, INCORPORATED                                                           | MARS INC 144A 2.700000% 04/01/2025                                                | CUSIP: 571676AA3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57116.88     | 0.02%             | 2025-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA7257                                                         | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79566 | PA      | $68396.21     | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA3882                                                        | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82436 | PA      | $67887.98     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 3.625000% 09/01/2049                                          | CUSIP: 58013MFK5<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7522.39      | 0.00%             | 2049-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQT CORPORATION                                                              | EQT CORP 3.900000% 10/01/2027                                                     | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    140000 | PA      | $129243.13    | 0.04%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 3.000000% 10/23/2026                                             | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    190000 | PA      | $175600.96    | 0.05%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3138                                                         | CUSIP: 3140KNPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    265969 | PA      | $229101.15    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2013-124 SB                                                 | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22984 | PA      | $2090.53      | 0.00%             | 2043-12-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.                                             | SHELL INTERNATIONAL FINANCE BV 3.250000% 04/06/2050                               | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | NUSS              | NL        |    110000 | PA      | $78900.94     | 0.02%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4696                                                        | CUSIP: 36202FGD2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    137440 | PA      | $137171.19    | 0.04%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM5695                                                         | CUSIP: 3140JAKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    131238 | PA      | $125135.56    | 0.04%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C9 A4               | CUSIP: 61762DAW1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    714000 | PA      | $708588.88    | 0.20%             | 2046-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2021-RPL3 TRUST CSMC 2021-RPL3 M3                                            | CUSIP: 12661GAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    120000 | PA      | $79446.97     | 0.02%             | 2060-01-25      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 2.355000% 03/15/2032                                   | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    546000 | PA      | $432815.34    | 0.12%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1711                                                         | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     21743 | PA      | $21336.99     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE BACKED TRUST                                                   | CSMC SERIES 2019-NQM1 CSMC 2019-NQM1 A3                                           | CUSIP: 12655VAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    170702 | PA      | $161504.31    | 0.05%             | 2059-10-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8577                                                         | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    167494 | PA      | $149630.97    | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORPORATION                                                       | MCDONALD'S CORP MTN 4.200000% 04/01/2050                                          | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58239.29     | 0.02%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QA8518                                                        | CUSIP: 3133A3PB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    462706 | PA      | $410258.34    | 0.12%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM1948                                                         | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     31669 | PA      | $33070.85     | 0.01%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM4532                                                         | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    281726 | PA      | $247950.59    | 0.07%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST, L.P.                                                   | DIGITAL REALTY TRUST LP 3.600000% 07/01/2029                                      | CUSIP: 25389JAU0<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    815000 | PA      | $727945.93    | 0.21%             | 2029-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.750000% 04/01/2040                                                 | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16494.50     | 0.00%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 NRZT 2019-RPL3 A1                   | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    182581 | PA      | $169639.95    | 0.05%             | 2059-07-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                     | DEVON ENERGY CORP 5.000000% 06/15/2045                                            | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60439.26     | 0.02%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BECTON, DICKINSON AND COMPANY                                                | BECTON DICKINSON AND CO 4.685000% 12/15/2044                                      | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     36000 | PA      | $32175.94     | 0.01%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| MAD MORTGAGE TRUST                                                           | MAD MORTGAGE TRUST 2017-330M MAD 2017-330M A                                      | CUSIP: 55282MAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    220000 | PA      | $205165.16    | 0.06%             | 2034-08-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST                                       | UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2 UBSBB 2012-C2 XA                   | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     43111 | PA      | $0.75         | 0.00%             | 2063-05-10      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3663                                                      | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15183 | PA      | $14175.55     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AQ4078                                                         | CUSIP: 3138MKQ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22727 | PA      | $22004.51     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1289                                                         | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    187015 | PA      | $167168.22    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 3.875000% 09/10/2024                                          | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    290000 | PA      | $283872.15    | 0.08%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.125000% 08/31/2029                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    320000 | PA      | $303787.50    | 0.09%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY, L.L.C.                                       | TENNESSEE GAS PIPELINE CO LLC 144A 2.900000% 03/01/2030                           | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $134015.20    | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS2496                                                         | CUSIP: 3140XHX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    155222 | PA      | $149515.04    | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 5.198000% 01/10/2030                                          | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    200000 | PA      | $190063.31    | 0.05%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.375000% 02/15/2042                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    618000 | PA      | $471852.65    | 0.13%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                              | DANSKE BANK A/S 144A 3.773000% 03/28/2025                                         | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | NUSS              | DK        |    310000 | PA      | $300374.23    | 0.09%             | 2025-03-28      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2012-101 BI                                                 | CUSIP: 3136A76M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2754 | PA      | $81.00        | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA2304                                                      | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9175 | PA      | $8825.37      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.250000% 10/22/2026                                     | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9659.49      | 0.00%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.375000% 05/15/2051                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1340000 | PA      | $961345.32    | 0.27%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 4.000000% 03/22/2050                                   | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31294.39     | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR4756                                                         | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     75278 | PA      | $61852.84     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1 NRZT 2018-RPL1 M2                   | CUSIP: 64829VAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    240000 | PA      | $192299.54    | 0.05%             | 2057-12-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT5860                                                         | CUSIP: 3138WTQN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    552517 | PA      | $516591.03    | 0.15%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                                                  | PRKCM 2021-AFC1 TRUST PRKCM 2021-AFC1 A1                                          | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    205856 | PA      | $162360.81    | 0.05%             | 2056-08-25      | Floating      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786216                                                      | CUSIP: 3622ABYM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     98468 | PA      | $89499.50     | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                                           | T-MOBILE USA INC 3.875000% 04/15/2030                                             | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    390000 | PA      | $353267.75    | 0.10%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q41945                                                   | CUSIP: 3132WFET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     10959 | PA      | $10681.66     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OAK STREET INVESTMENT GRADE NET LEASE FUND LLC.                              | OAK STREET INVESTMENT GRADE NET LEASE FUND SERIES OAKIG 2021-1A A1                | CUSIP: 67190AAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    943260 | PA      | $823568.23    | 0.23%             | 2051-01-20      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QD5960                                                        | CUSIP: 3133B3TR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     96286 | PA      | $78813.54     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                                      | BANK OF NEW YORK MELLON CORP/THE MTN 1.600000% 04/24/2025                         | CUSIP: 06406RAN7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37167.68     | 0.01%             | 2025-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                               | MORGAN STANLEY MTN 3.772000% 01/24/2029                                           | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    150000 | PA      | $137363.16    | 0.04%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1516 X1                 | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    844695 | PA      | $100614.10    | 0.03%             | 2035-05-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    300000 | PA      | $272619.72    | 0.08%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                                            | PIONEER NATURAL RESOURCES CO 1.125000% 01/15/2026                                 | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44565.35     | 0.01%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 2.000000% 05/15/2030                                       | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24752.35     | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO 2.188000% 04/30/2026                                             | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120985.52    | 0.03%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1463                                                         | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    228034 | PA      | $212984.01    | 0.06%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                 | BRISTOL-MYERS SQUIBB CO 3.400000% 07/26/2029                                      | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     16000 | PA      | $14807.09     | 0.00%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                                        | BANCO SANTANDER SA 3.125000% 02/23/2023                                           | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $199413.61    | 0.06%             | 2023-02-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE S.A. LONDON BRANCH                                           | CREDIT AGRICOLE SA/LONDON MTN 1.907000% 06/16/2026                                | CUSIP: 22535WAG2<br>LEI: N/A                  | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $227881.40    | 0.06%             | 2026-06-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    600000 | PA      | $577330.34    | 0.16%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL PLC                                                   | ANGLO AMERICAN CAPITAL PLC 144A 3.625000% 09/11/2024                              | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | NUSS              | ZA        |    200000 | PA      | $193511.87    | 0.05%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 4.000000% 01/22/2025                                     | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78300.84     | 0.02%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.500000% 01/31/2027                                              | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  10396000 | PA      | $9386044.82   | 2.66%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANQUE ROYALE DU CANADA                                                      | ROYAL BANK OF CANADA MTN 1.600000% 04/17/2023                                     | CUSIP: 78015K7G3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | NUSS              | CA        |    120000 | PA      | $118961.57    | 0.03%             | 2023-04-17      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2013-20K 1                       | CUSIP: 83162CVX8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    367728 | PA      | $348596.11    | 0.10%             | 2033-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25F 1                       | CUSIP: 83162CP72<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    980206 | PA      | $935970.51    | 0.26%             | 2047-06-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Z40125                                                   | CUSIP: 3132FCD69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    639832 | PA      | $663597.44    | 0.19%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BECTON, DICKINSON AND COMPANY                                                | BECTON DICKINSON AND CO 3.734000% 12/15/2024                                      | CUSIP: 075887BF5<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6826.02      | 0.00%             | 2024-12-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BANQUE ROYALE DU CANADA                                                      | ROYAL BANK OF CANADA MTN 1.150000% 06/10/2025                                     | CUSIP: 78015K7H1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | NUSS              | CA        |     70000 | PA      | $64073.20     | 0.02%             | 2025-06-10      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                      | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    900000 | PA      | $732114.23    | 0.21%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                                                 | BX COMMERCIAL MORTGAGE TRUST 2022-LP2 BX 2022-LP2 A                               | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    380640 | PA      | $366762.44    | 0.10%             | 2039-02-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.400000% 04/01/2030                                                 | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    140000 | PA      | $127657.79    | 0.04%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 4747                                                        | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    259163 | PA      | $262620.72    | 0.07%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pepsico, Inc.                                                                | PEPSICO INC 2.625000% 03/19/2027                                                  | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9288.01      | 0.00%             | 2027-03-19      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST                                                      | FLAGSTAR MORTGAGE TRUST 2018-2 FSMT 2018-2 A4                                     | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      4724 | PA      | $4629.95      | 0.00%             | 2048-04-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2021-1A A2I                                               | CUSIP: 95058XAK4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    608730 | PA      | $491442.34    | 0.14%             | 2051-06-15      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Republica Oriental del Uruguay                                               | REPUBLICA ORIENT URUGUAY 5.750000% 10/28/2034                                     | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    440000 | PA      | $475533.26    | 0.13%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-160 YI                          | CUSIP: 38382KQ97<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    167265 | PA      | $22700.51     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST                       | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES T JPMCC 2022-ACB A               | CUSIP: 46593EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    300000 | PA      | $289842.84    | 0.08%             | 2039-03-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-96 VI                           | CUSIP: 38382UG39<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1281772 | PA      | $175273.24    | 0.05%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                           | ORACLE CORP 1.650000% 03/25/2026                                                  | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    150000 | PA      | $134283.20    | 0.04%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA2790                                                        | CUSIP: 3133KJC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    730649 | PA      | $622289.41    | 0.18%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH, INC.                                                        | ELEVANCE HEALTH INC 4.100000% 05/15/2032                                          | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74413.35     | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE MTN 4.000000% 03/03/2024                              | CUSIP: 38141GVM3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    420000 | PA      | $414688.64    | 0.12%             | 2024-03-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA1995                                                      | CUSIP: 36179QGC9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     29666 | PA      | $27823.12     | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIV CALIF REGTS MED CTR POOLED REV                                          | UNIV OF CALIFORNIA CA RGTS MED REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CE | CUSIP: 913366KV1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    600000 | PA      | $558937.86    | 0.16%             | 2032-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1266                                                         | CUSIP: 3140X4MQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    418858 | PA      | $418786.62    | 0.12%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.000000% 02/15/2050                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $561365.24    | 0.16%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-6 NRZT 2019-6A B2                        | CUSIP: 64828GBB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    202604 | PA      | $180229.67    | 0.05%             | 2059-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G61526                                                   | CUSIP: 31335BVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    363825 | PA      | $373639.00    | 0.11%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QC4446                                                        | CUSIP: 3133AN5F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     87856 | PA      | $75166.97     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2020-A SMB 2020-A A2A                            | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    176477 | PA      | $161012.70    | 0.05%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                                           | NVIDIA CORP 3.500000% 04/01/2050                                                  | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    290000 | PA      | $218879.71    | 0.06%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                                               | MORGAN STANLEY CAPITAL I TRUST 2015-UBS8 MSC 2015-UBS8 A4                         | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    732000 | PA      | $691695.79    | 0.20%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                             | PRINCIPAL LIFE GLOBAL FUNDING II 144A 1.250000% 06/23/2025                        | CUSIP: 74256LEE5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18189.00     | 0.01%             | 2025-06-23      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6780                                                         | CUSIP: 3140XARA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     76526 | PA      | $65712.10     | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    300000 | PA      | $254176.95    | 0.07%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS9588                                                         | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     91958 | PA      | $87707.09     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.000000% 08/15/2052                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1280000 | PA      | $1054600.00   | 0.30%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5265                                                      | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    242169 | PA      | $238129.88    | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA                  | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    287255 | PA      | $256905.12    | 0.07%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US 10YR FUT OPTN  Feb23C   114                                               | US 10YR FUT OPTN  Feb23C   114 LONG                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $4375.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR3290                                                         | CUSIP: 3140L1UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85376 | PA      | $69695.68     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 3947 SG                                                    | CUSIP: 3137AGE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     76151 | PA      | $6387.02      | 0.00%             | 2041-10-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6328                                                         | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    162864 | PA      | $152147.20    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                       | CVS HEALTH CORP 1.750000% 08/21/2030                                              | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    200000 | PA      | $157618.22    | 0.04%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                                          | ONCOR ELECTRIC DELIVERY CO LLC 144A 4.150000% 06/01/2032                          | CUSIP: 68233JCE2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    300000 | PA      | $283044.48    | 0.08%             | 2032-06-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0331                                                         | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    186619 | PA      | $164382.05    | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN, INC.                                                          | KINDER MORGAN INC 4.300000% 06/01/2025                                            | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58841.09     | 0.02%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0349                                                         | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    188502 | PA      | $154468.37    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-57 BI                           | CUSIP: 38382QCY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1454698 | PA      | $212247.24    | 0.06%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOFR 1yr MidCurve Jan23P 95.63                                               | SOFR 1yr MidCurve Jan23P 95.63 LONG                                               | CUSIP: 018WCPF62<br>LEI: N/A                  | N/A              | DIR              |  | US        |        70 | NC      | $9187.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEVON ENERGY CORPORATION                                                     | DEVON ENERGY CORP 5.250000% 10/15/2027                                            | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     64000 | PA      | $63329.96     | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EQUATE Petrochemical B.V.                                                    | EQUATE PETROCHEMICAL BV MTN 2.625000% 04/28/2028                                  | CUSIP: 29441WAD7<br>LEI: 635400Y3Z5R4NJSMQ630 | Long             | DBT              | NUSS              | KW        |    230000 | PA      | $200100.00    | 0.06%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                                             | SMB PRIVATE EDUCATION LOAN TRUST 2021-C SMB 2021-C B                              | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    170000 | PA      | $145463.90    | 0.04%             | 2053-01-15      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5318                                                        | CUSIP: 31329N4B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    196514 | PA      | $182359.22    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB1666                                                         | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64140 | PA      | $54727.33     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785218                                                      | CUSIP: 3622AAVK7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     79765 | PA      | $66363.88     | 0.02%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA5122                                                         | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    474053 | PA      | $422014.76    | 0.12%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING, LP                                              | WESTERN MIDSTREAM OPERATING LP VARIABLE RATE 01/13/2023                           | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19970.00     | 0.01%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                                       | GENERAL MOTORS FINANCIAL CO INC 3.100000% 01/12/2032                              | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23506.25     | 0.01%             | 2032-01-12      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                                            | INTEL CORP 1.600000% 08/12/2028                                                   | CUSIP: 458140BT6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42474.65     | 0.01%             | 2028-08-12      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4511                                                      | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    318706 | PA      | $305974.98    | 0.09%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                 | BRISTOL-MYERS SQUIBB CO 2.900000% 07/26/2024                                      | CUSIP: 110122CM8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    154000 | PA      | $149493.40    | 0.04%             | 2024-07-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BC1509                                                         | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     34748 | PA      | $31133.89     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 2.875000% 04/15/2027                                           | CUSIP: 437076CN0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158560.91    | 0.04%             | 2027-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | TREASURY BILL 0.000000% 05/25/2023                                                | CUSIP: 912796ZF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1070000 | PA      | $1050958.96   | 0.30%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 3.750000% 07/15/2025                                       | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29326.80     | 0.01%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4057 UI                                                    | CUSIP: 3137ARKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     40481 | PA      | $1322.82      | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORPORATION                                                 | COSTCO WHOLESALE CORP 1.375000% 06/20/2027                                        | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105101.85    | 0.03%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-85 IA                           | CUSIP: 38378KUV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    308183 | PA      | $3110.80      | 0.00%             | 2047-03-16      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.615000% 03/15/2028                                  | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27943.85     | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING                                               | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC AESOP 2021-1A A                          | CUSIP: 05377REH3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    430000 | PA      | $374381.99    | 0.11%             | 2027-08-20      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| SPIRIT REALTY, L.P.                                                          | SPIRIT REALTY LP 2.100000% 03/15/2028                                             | CUSIP: 84861TAH1<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |    583000 | PA      | $475343.31    | 0.13%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA7589                                                      | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    967997 | PA      | $840232.13    | 0.24%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN AB9108                                                       | CUSIP: 36178WDM8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    124736 | PA      | $114183.30    | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                            | CIGNA CORP 4.375000% 10/15/2028                                                   | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    420000 | PA      | $405062.26    | 0.11%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4451                                                      | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    183178 | PA      | $171333.68    | 0.05%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 2.520000% 11/03/2032                                                | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    110000 | PA      | $85543.57     | 0.02%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZA5297                                                        | CUSIP: 31329N3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73919 | PA      | $70504.06     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0037                                                         | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     80720 | PA      | $72298.18     | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4 NRZT 2019-4A A1B                       | CUSIP: 64830WAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    164838 | PA      | $148498.14    | 0.04%             | 2058-12-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2021-SFR1 TRUST FKH 2021-SFR1 A                                    | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    789450 | PA      | $684605.47    | 0.19%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6799                                                         | CUSIP: 3140QERV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1341558 | PA      | $1101399.23   | 0.31%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 2.572000% 06/03/2031                                                | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $161758.03    | 0.05%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                                    | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A3                                              | CUSIP: 670857AC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    212950 | PA      | $161270.83    | 0.05%             | 2061-05-25      | Floating      | 1.56%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC.                                                                    | AT&T INC 2.300000% 06/01/2027                                                     | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    120000 | PA      | $106726.66    | 0.03%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Pepsico, Inc.                                                                | PEPSICO INC 2.250000% 03/19/2025                                                  | CUSIP: 713448EQ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9518.61      | 0.00%             | 2025-03-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                 | BRISTOL-MYERS SQUIBB CO 3.200000% 06/15/2026                                      | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     79000 | PA      | $75314.83     | 0.02%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST                                                 | METLIFE SECURITIZATION TRUST 2020-1 MST 2020-INV1 A2A                             | CUSIP: 59166CAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270070 | PA      | $226127.86    | 0.06%             | 2050-05-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H13 FA                          | CUSIP: 38380QGQ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    393009 | PA      | $376166.72    | 0.11%             | 2070-07-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST                                                         | FRESB 2018-SB48 MORTGAGE TRUST FRESB 2018-SB48 A10F                               | CUSIP: 30296RAP5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    426726 | PA      | $401275.68    | 0.11%             | 2028-02-25      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE                                | CANADIAN PACIFIC RAILWAY CO 2.450000% 12/02/2031                                  | CUSIP: 13645RBF0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | NUSS              | CA        |    330000 | PA      | $273309.43    | 0.08%             | 2031-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5762                                                      | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14781 | PA      | $13804.97     | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                              | DANSKE BANK A/S 144A 4.298000% 04/01/2028                                         | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | NUSS              | DK        |    240000 | PA      | $220685.43    | 0.06%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 BD0384                                                      | CUSIP: 3617BFM90<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57429 | PA      | $53496.50     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.450000% 09/29/2027                                                | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114409.00    | 0.03%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5633                                                         | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     86063 | PA      | $70715.89     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST                                             | MASTR ASSET BACKED SECURITIES TRUST 2007-NCW MABS 2007-NCW A1                     | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150614 | PA      | $129666.37    | 0.04%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Continental Airlines                                                         | CONTINENTAL AIRLINES 2012-2 CLASS A PASS THROUGH T 4.000000% 10/29/2024           | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    501232 | PA      | $478243.43    | 0.14%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.000000% 08/15/2051                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $589289.06    | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| The Bank of New York Mellon Corporation                                      | BANK OF NEW YORK MELLON CORP/THE MTN 4.289000% 06/13/2033                         | CUSIP: 06406RBH9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    320000 | PA      | $299282.44    | 0.08%             | 2033-06-13      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| TRINITY GREEN RAILCAR                                                        | TRP 2021 LLC TRP 2021-1 A                                                         | CUSIP: 87267CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    488033 | PA      | $408886.38    | 0.12%             | 2051-06-19      | Fixed         | 2.07%                 | Yes           |                  2 | On Loan: No      |
| Chevron U.S.A. Inc.                                                          | CHEVRON USA INC 3.850000% 01/15/2028                                              | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28952.45     | 0.01%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL4741                                                         | CUSIP: 3138EMHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     18521 | PA      | $18175.62     | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 144A 4.279000% 03/15/2032                                | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    400000 | PA      | $329505.90    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4781                                                      | CUSIP: 36179TJ22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     64616 | PA      | $65300.99     | 0.02%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 5.013000% 04/04/2051                                         | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    380000 | PA      | $334732.78    | 0.09%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST                                 | NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019- NCMS 2019-FAME B               | CUSIP: 63873VAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $371466.81    | 0.11%             | 2036-08-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORPORATION                                                     | TSMC ARIZONA CORP 1.750000% 10/25/2026                                            | CUSIP: 872898AA9<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | TW        |    230000 | PA      | $205188.41    | 0.06%             | 2026-10-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3803                                                      | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     15602 | PA      | $14550.18     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT8394                                                         | CUSIP: 3138WWKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     25023 | PA      | $24227.21     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-H04 FP                          | CUSIP: 38380L2S1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    124534 | PA      | $122542.80    | 0.03%             | 2069-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                                       | SLM STUDENT LOAN TRUST 2003-7 SLMA 2003-7A A5A                                    | CUSIP: 78442GHH2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     88868 | PA      | $87104.21     | 0.02%             | 2033-12-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| VISA INC.                                                                    | VISA INC 1.900000% 04/15/2027                                                     | CUSIP: 92826CAL6<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54034.47     | 0.02%             | 2027-04-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 4.000000% 11/15/2042                                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $372043.75    | 0.11%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CM5272                                                      | CUSIP: 3617YQ2D4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85348 | PA      | $78609.55     | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD0619                                                        | CUSIP: 3132DMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1037531 | PA      | $983529.64    | 0.28%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCCG TRUST                                                                  | MSCG TRUST 2015-ALDR MSCCG 2015-ALDR A2                                           | CUSIP: 55352NAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    410000 | PA      | $371394.65    | 0.11%             | 2035-06-07      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (FEB)                           | CUSIP: 21H040624<br>LEI: N/A                  | Long             | DBT              |  | US        |    400000 | PA      | $378563.98    | 0.11%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C25 A5              | CUSIP: 46643PBE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    578000 | PA      | $556008.49    | 0.16%             | 2047-11-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 2.250000% 02/15/2052                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1186000 | PA      | $824733.28    | 0.23%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INCORPORATED                                              | UNITEDHEALTH GROUP INC 4.450000% 12/15/2048                                       | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8877.89      | 0.00%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BO9169                                                         | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    859686 | PA      | $759285.78    | 0.21%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SABEY DATA CENTER ISSUER, LLC                                                | SABEY DATA CENTER ISSUER LLC SDCP 2021-1 A2                                       | CUSIP: 78520EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1027000 | PA      | $873365.32    | 0.25%             | 2046-06-20      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1112                                                         | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    478596 | PA      | $394866.95    | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6184                                                         | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    156593 | PA      | $129539.45    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                          | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 CGCMT 2016-P6 AAB                     | CUSIP: 17291EAX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    652593 | PA      | $628538.11    | 0.18%             | 2049-12-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                                      | EXXON MOBIL CORP 2.992000% 03/19/2025                                             | CUSIP: 30231GBH4<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    270000 | PA      | $260065.53    | 0.07%             | 2025-03-19      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST                                                       | SLC STUDENT LOAN TRUST 2010-1 SLCLT 2010-1 A                                      | CUSIP: 78444WAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    126465 | PA      | $125548.13    | 0.04%             | 2042-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7518                                                         | CUSIP: 3140XBK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    434125 | PA      | $371424.64    | 0.11%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG Q05692                                                   | CUSIP: 3132GL7D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    342659 | PA      | $329437.64    | 0.09%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.300000% 04/13/2027                                               | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    140000 | PA      | $132860.46    | 0.04%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc.                                                          | COTERRA ENERGY INC 144A 3.900000% 05/15/2027                                      | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149395.36    | 0.04%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                                                | BROADCOM INC 4.150000% 11/15/2030                                                 | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     26000 | PA      | $23299.96     | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5012                                                         | CUSIP: 3140X8SA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    233791 | PA      | $230606.46    | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM3259                                                         | CUSIP: 3140J7TR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    691423 | PA      | $629163.68    | 0.18%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB2115                                                         | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     90933 | PA      | $79746.78     | 0.02%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-113 Z                           | CUSIP: 38381HGG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2222092 | PA      | $1478192.38   | 0.42%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 5.050000% 03/30/2029           | CUSIP: 161175BR4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206984.28    | 0.06%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 B                                  | CUSIP: 12591KAH8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     20000 | PA      | $18095.11     | 0.01%             | 2046-10-10      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0100                                                         | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     85181 | PA      | $74914.93     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AY6181                                                         | CUSIP: 3138YK2P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33852 | PA      | $31520.11     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE B.V.                                                | PETROBRAS GLOBAL FINANCE BV 6.850000% 06/05/2115                                  | CUSIP: 71647NAN9<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | NUSS              | BR        |    150000 | PA      | $127033.38    | 0.04%             | 2115-06-05      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 734152                                                       | CUSIP: 3620AMTH5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    227282 | PA      | $218946.99    | 0.06%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB1878                                                         | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    179929 | PA      | $158204.28    | 0.04%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANQUE ROYALE DU CANADA                                                      | ROYAL BANK OF CANADA 6.000000% 11/01/2027                                         | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | NUSS              | CA        |   1209000 | PA      | $1260310.64   | 0.36%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL CORP.                                                 | AMERICAN WATER CAPITAL CORP 4.450000% 06/01/2032                                  | CUSIP: 03040WBA2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1311000 | PA      | $1254243.70   | 0.36%             | 2032-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G60985                                                   | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    240943 | PA      | $216556.80    | 0.06%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 4.005000% 04/23/2029                                          | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92513.60     | 0.03%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                              | RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A3                             | CUSIP: 76119NAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     50378 | PA      | $48716.87     | 0.01%             | 2059-09-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1253                                                         | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     31796 | PA      | $30464.69     | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 1.514000% 06/01/2024                                          | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206577.11    | 0.06%             | 2024-06-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 4.387000% 06/15/2027                                  | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $385367.01    | 0.11%             | 2027-06-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| APPLE INC.                                                                   | APPLE INC 2.900000% 09/12/2027                                                    | CUSIP: 037833DB3<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102534.79    | 0.03%             | 2027-09-12      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                                                             | AMAZON.COM INC 3.450000% 04/13/2029                                               | CUSIP: 023135CG9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149450.63    | 0.04%             | 2029-04-13      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG G02469                                                   | CUSIP: 3128M4CE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     16094 | PA      | $16705.96     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3937                                                      | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17139 | PA      | $16031.76     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CA6097                                                         | CUSIP: 3140QDX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    664558 | PA      | $607841.48    | 0.17%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0222                                                         | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    116012 | PA      | $112374.89    | 0.03%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM PRIVATE CREDIT STUDENT LOAN TRUST                                        | SLM PRIVATE CREDIT STUDENT LOAN TRUST 2006-A SLMA 2006-A A5                       | CUSIP: 78443CCL6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    167954 | PA      | $158047.97    | 0.04%             | 2039-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| THE COCA-COLA COMPANY                                                        | COCA-COLA CO/THE 2.600000% 06/01/2050                                             | CUSIP: 191216CX6<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6623.69      | 0.00%             | 2050-06-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR5632                                                         | CUSIP: 3140L4HJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    689591 | PA      | $569176.48    | 0.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 5071 IH                                                    | CUSIP: 3137F9R37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    530201 | PA      | $67770.40     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                                           | CREDIT SUISSE AG/NEW YORK NY 2.950000% 04/09/2025                                 | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |    250000 | PA      | $225000.90    | 0.06%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 5313                                                        | CUSIP: 36202F3W4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    179772 | PA      | $173014.59    | 0.05%             | 2027-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                                   | COOPERATIEVE RABOBANK UA 144A 3.649000% 04/06/2028                                | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | NUSS              | NL        |    580000 | PA      | $534366.48    | 0.15%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786108                                                      | CUSIP: 3622ABU91<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     98130 | PA      | $89192.21     | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC STRIPS FHS 334 S7                                                     | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     21730 | PA      | $2264.05      | 0.00%             | 2044-08-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                                                | SG RESIDENTIAL MORTGAGE TRUST 2022-1 SGR 2022-1 A1                                | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    386117 | PA      | $345246.59    | 0.10%             | 2062-03-27      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM6117                                                         | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    114420 | PA      | $102264.48    | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C17 B               | CUSIP: 46640UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     30000 | PA      | $29102.80     | 0.01%             | 2047-01-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A3                   | CUSIP: 64831TAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     67130 | PA      | $54271.94     | 0.02%             | 2056-11-27      | Floating      | 1.52%                 | Yes           |                  2 | On Loan: No      |
| Northern States Power Company (Minnesota)                                    | NORTHERN STATES POWER CO/MN 7.125000% 07/01/2025                                  | CUSIP: 665772BN8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1261015.02   | 0.36%             | 2025-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                                   | JP MORGAN MORTGAGE TRUST 2021-3 JPMMT 2021-3 A3                                   | CUSIP: 46592KAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    667498 | PA      | $536631.36    | 0.15%             | 2051-07-25      | Floating      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AN5386                                                         | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     78037 | PA      | $72998.86     | 0.02%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FNCL 6.5% MEGA POOL 6.5% 9/1/2039                                                 | CUSIP: 3128M9VA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     16107 | PA      | $16825.89     | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.668000% 07/24/2028                                                | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    340000 | PA      | $312252.39    | 0.09%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 785283                                                      | CUSIP: 3622AAXL3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1086250 | PA      | $927995.56    | 0.26%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AQUARION COMPANY                                                             | AQUARION CO 144A 4.000000% 08/15/2024                                             | CUSIP: 03838WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    227000 | PA      | $222932.93    | 0.06%             | 2024-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL6663                                                         | CUSIP: 3138EPMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    355173 | PA      | $341122.41    | 0.10%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                                   | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C22 C               | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80000 | PA      | $71426.30     | 0.02%             | 2047-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                                                   | NAVIENT STUDENT LOAN TRUST 2016-3 NAVSL 2016-3A A3                                | CUSIP: 63940HAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    307310 | PA      | $303182.56    | 0.09%             | 2065-06-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORPORATION                                                           | NVIDIA CORP 2.850000% 04/01/2030                                                  | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78507.55     | 0.02%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                                               | BNP PARIBAS SA 144A 4.705000% 01/10/2025                                          | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | NUSS              | FR        |    270000 | PA      | $267300.96    | 0.08%             | 2025-01-10      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC REMICS FHR 4813 CJ                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     29140 | PA      | $25229.54     | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                            | NATWEST GROUP PLC 4.269000% 03/22/2025                                            | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | NUSS              | GB        |    200000 | PA      | $195575.76    | 0.06%             | 2025-03-22      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-129 IE                          | CUSIP: 38382JZK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     82310 | PA      | $12138.67     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAMB COMMERCIAL MORTGAGE TRUST                                               | CAMB COMMERCIAL MORTGAGE TRUST 2019-LIFE CAMB 2019-LIFE A                         | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110000 | PA      | $108340.43    | 0.03%             | 2037-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.522000% 04/22/2031                                          | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    190000 | PA      | $155474.50    | 0.04%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QE2241                                                        | CUSIP: 3133BBP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     86843 | PA      | $84418.78     | 0.02%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3407                                                         | CUSIP: 3140X6YD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    283948 | PA      | $261421.50    | 0.07%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO. VI LLC                                                 | KKR GROUP FINANCE CO VI LLC 144A 3.750000% 07/01/2029                             | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |   1149000 | PA      | $1033276.32   | 0.29%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AL9546                                                         | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     43035 | PA      | $40289.77     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR QB9290                                                        | CUSIP: 3133AGKB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     86221 | PA      | $71005.34     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM2493                                                         | CUSIP: 3140X5XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    113862 | PA      | $114052.52    | 0.03%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5013                                                         | CUSIP: 3140X8SB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    269463 | PA      | $262806.17    | 0.07%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM1363                                                         | CUSIP: 3140X4QR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    209309 | PA      | $204779.42    | 0.06%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 4.900000% 11/17/2045                                         | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25826.14     | 0.01%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                        | WELLS FARGO & CO MTN 2.393000% 06/02/2028                                         | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    290000 | PA      | $255950.74    | 0.07%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BR4035                                                         | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     84079 | PA      | $68794.29     | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 3.125000% 07/31/2029                            | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    210000 | PA      | $184894.00    | 0.05%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 3.125000% 08/31/2027                                              | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   6631000 | PA      | $6377675.11   | 1.81%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM7987                                                         | CUSIP: 3140XB2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     90166 | PA      | $74000.80     | 0.02%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA1629                                                         | CUSIP: 31418AY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     41173 | PA      | $40405.78     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                          | SUZANO AUSTRIA GMBH 3.125000% 01/15/2032                                          | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | NUSS              | BR        |    510000 | PA      | $397598.04    | 0.11%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AT9637                                                         | CUSIP: 3138WXV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     46318 | PA      | $44486.66     | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY, INC.                                                      | MICRON TECHNOLOGY INC 2.703000% 04/15/2032                                        | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    260000 | PA      | $194408.73    | 0.06%             | 2032-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AN4927                                                         | CUSIP: 3138LHPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57464 | PA      | $54416.44     | 0.02%             | 2029-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                                                | BROADCOM INC 144A 4.926000% 05/15/2037                                            | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     33000 | PA      | $28788.05     | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8672                                                         | CUSIP: 3140XCT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    455273 | PA      | $433198.10    | 0.12%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS6541                                                         | CUSIP: 3138WGHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     60028 | PA      | $55780.89     | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                                            | JOHNSON & JOHNSON 0.950000% 09/01/2027                                            | CUSIP: 478160CP7<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86102.80     | 0.02%             | 2027-09-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0191                                                         | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     38832 | PA      | $37049.29     | 0.01%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC.                                                                | BROADCOM INC 144A 3.137000% 11/15/2035                                            | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    420000 | PA      | $308811.85    | 0.09%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                            | ENTERPRISE PRODUCTS OPERATING LLC 3.900000% 02/15/2024                            | CUSIP: 29379VBB8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    457000 | PA      | $449978.93    | 0.13%             | 2024-02-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FEDERAL HOME LOAN MORTGAGE CORPORATON REMIC POOL # 4194 BI IO                     | CUSIP: 3137B1J94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     51751 | PA      | $8076.42      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 1.678000% 05/15/2024                                                | CUSIP: 172967MR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78866.57     | 0.02%             | 2024-05-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                      | MPLX LP 5.200000% 03/01/2047                                                      | CUSIP: 55336VAL4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25462.11     | 0.01%             | 2047-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5783                                                         | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     54266 | PA      | $50346.11     | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COMPANIES, INC.                                                       | LOWE'S COS INC 4.500000% 04/15/2030                                               | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28750.52     | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN 4.693000% 09/15/2027                                | CUSIP: 89115A2H4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |   1951000 | PA      | $1928703.56   | 0.55%             | 2027-09-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CN5011                                                      | CUSIP: 3617F4R88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     96224 | PA      | $88554.21     | 0.03%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HOLDINGS CORPORATION                                            | SCHLUMBERGER HOLDINGS CORP 144A 3.900000% 05/17/2028                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |    456000 | PA      | $424849.88    | 0.12%             | 2028-05-17      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0434                                                         | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     91046 | PA      | $78736.62     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRSTKEY HOMES TRUST                                                         | FIRSTKEY HOMES 2022-SFR1 TRUST FKH 2022-SFR1 A                                    | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    416644 | PA      | $390743.89    | 0.11%             | 2039-05-17      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 786107                                                      | CUSIP: 3622ABU83<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94486 | PA      | $84491.65     | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                                   | TORONTO-DOMINION BANK/THE MTN 4.456000% 06/08/2032                                | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    210000 | PA      | $200165.62    | 0.06%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS1539                                                         | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     91934 | PA      | $83576.06     | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AM8700                                                         | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     95228 | PA      | $86268.11     | 0.02%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4718                                                      | CUSIP: 36179TG33<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2148 | PA      | $1934.26      | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                                       | SLM STUDENT LOAN TRUST 2003-10 SLMA 2003-10A A4                                   | CUSIP: 78442GJH0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     84070 | PA      | $81427.40     | 0.02%             | 2068-12-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| THE WILLIAMS COMPANIES, INC.                                                 | WILLIAMS COS INC/THE 5.100000% 09/15/2045                                         | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61206.19     | 0.02%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                                                | GOLDMAN SACHS GROUP INC/THE 3.500000% 04/01/2025                                  | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76931.39     | 0.02%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                                  | VERIZON COMMUNICATIONS INC 4.125000% 08/15/2046                                   | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31779.17     | 0.01%             | 2046-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE REMICS FNR 2014-47 AI                                                  | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     55532 | PA      | $2384.50      | 0.00%             | 2044-08-25      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING LLC                                                     | STORE MASTER FUNDING I-VII AND XIV STR 2019-1 A1                                  | CUSIP: 86212XAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    315581 | PA      | $282588.56    | 0.08%             | 2049-11-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS4693                                                        | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    304729 | PA      | $272440.60    | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 784825                                                      | CUSIP: 3622AAHA5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12917 | PA      | $11977.50     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 0.375000% 11/30/2025                                              | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |    290000 | PA      | $259391.40    | 0.07%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2707                                                         | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    351717 | PA      | $326300.00    | 0.09%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                            | CAPITAL ONE FINANCIAL CORP 3.300000% 10/30/2024                                   | CUSIP: 14040HBT1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    480000 | PA      | $463271.68    | 0.13%             | 2024-10-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                                  | SWEDBANK AB 144A 1.538000% 11/16/2026                                             | CUSIP: 87020PAP2<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | NUSS              | SE        |    400000 | PA      | $350673.14    | 0.10%             | 2026-11-16      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                             | OCCIDENTAL PETROLEUM CORP 5.550000% 03/15/2026                                    | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169362.50    | 0.05%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99124                                                   | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    190331 | PA      | $177787.99    | 0.05%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                          | COMM 2013-CCRE12 MORTGAGE TRUST COMM 2013-CR12 AM                                 | CUSIP: 12591KAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     20000 | PA      | $18211.43     | 0.01%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| TRANSCONTINENTAL GAS PIPE LINE COMPANY, LLC                                  | TRANSCONTINENTAL GAS PIPE LINE CO LLC 3.250000% 05/15/2030                        | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $86779.37     | 0.02%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| THE WALT DISNEY COMPANY                                                      | WALT DISNEY CO/THE 3.350000% 03/24/2025                                           | CUSIP: 254687FN1<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    223000 | PA      | $215995.18    | 0.06%             | 2025-03-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RA4703                                                        | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    166898 | PA      | $137418.45    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                                         | HOME DEPOT INC/THE 3.350000% 04/15/2050                                           | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36701.35     | 0.01%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB3467                                                         | CUSIP: 31416YZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    184956 | PA      | $182386.78    | 0.05%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA3736                                                      | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30994 | PA      | $28921.80     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 0.250000% 09/30/2025                                              | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |     10000 | PA      | $8978.91      | 0.00%             | 2025-09-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 4.125000% 07/25/2028                                                | CUSIP: 172967KU4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37229.86     | 0.01%             | 2028-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                      | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 1.400000% 07/07/2025                 | CUSIP: 29449WAA5<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    673000 | PA      | $610254.37    | 0.17%             | 2025-07-07      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORPORATION                                                     | TSMC ARIZONA CORP 2.500000% 10/25/2031                                            | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | TW        |    250000 | PA      | $204592.74    | 0.06%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR RB5130                                                        | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    510831 | PA      | $413305.30    | 0.12%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                                         | JPMORGAN CHASE & CO 2.545000% 11/08/2032                                          | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    110000 | PA      | $86947.41     | 0.02%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| TARGET CORPORATION                                                           | TARGET CORP 2.250000% 04/15/2025                                                  | CUSIP: 87612EBL9<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75893.73     | 0.02%             | 2025-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                                              | RESIDENTIAL MORTGAGE LOAN TRUST 2019-3 RMLT 2019-3 A2                             | CUSIP: 76119NAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     50378 | PA      | $48717.49     | 0.01%             | 2059-09-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB0470                                                         | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    172557 | PA      | $151759.75    | 0.04%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                                                | MILL CITY MORTGAGE LOAN TRUST 2019-1 MCMLT 2019-1 A1                              | CUSIP: 59981AAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    183001 | PA      | $172087.91    | 0.05%             | 2069-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| NIKE, INC.                                                                   | NIKE INC 2.750000% 03/27/2027                                                     | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37359.18     | 0.01%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL 30YR TBA (JANUARY)                                             | CUSIP: 21H022614<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2900000 | PA      | $2512438.37   | 0.71%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BF0145                                                         | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    238641 | PA      | $218037.55    | 0.06%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA5020                                                      | CUSIP: 36179TSH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28253 | PA      | $27175.54     | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                                               | CITIGROUP INC 3.400000% 05/01/2026                                                | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    354000 | PA      | $335525.20    | 0.09%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3194                                                         | CUSIP: 3140X6RQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    819503 | PA      | $819354.20    | 0.23%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0191                                                         | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     92939 | PA      | $79479.58     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-176 IN                          | CUSIP: 38383CED8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1100725 | PA      | $148352.83    | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LIMITED                                                  | RELIANCE INDUSTRIES LTD 144A 3.625000% 01/12/2052                                 | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | NUSS              | IN        |    250000 | PA      | $164034.00    | 0.05%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORPORATION                                                        | MICROSOFT CORP 3.300000% 02/06/2027                                               | CUSIP: 594918BY9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    210000 | PA      | $202373.85    | 0.06%             | 2027-02-06      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-103 AD                          | CUSIP: 38380PXV1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    119138 | PA      | $94891.31     | 0.03%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| THE PROCTER & GAMBLE COMPANY                                                 | PROCTER & GAMBLE CO/THE 2.800000% 03/25/2027                                      | CUSIP: 742718FG9<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9362.50      | 0.00%             | 2027-03-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                                     | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1100000 | PA      | $1031511.88   | 0.29%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                                                       | TACO BELL FUNDING LLC BELL 2021-1A A2II                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    587070 | PA      | $471633.25    | 0.13%             | 2051-08-25      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| PFIZER INC.                                                                  | PFIZER INC 1.700000% 05/28/2030                                                   | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41139.76     | 0.01%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2021-25H 1                       | CUSIP: 83162CL68<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1526283 | PA      | $1224475.77   | 0.35%             | 2046-08-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA2773                                                         | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    242714 | PA      | $225172.89    | 0.06%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                                                  | TRICON AMERICAN HOMES 2019-SFR1 TRUST TAH 2019-SFR1 A                             | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270251 | PA      | $247591.97    | 0.07%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                        | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29 WFCM 2015-C29 A4                   | CUSIP: 94989KAV5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    606000 | PA      | $576957.15    | 0.16%             | 2048-06-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AB9107                                                         | CUSIP: 31417GDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     37647 | PA      | $36083.05     | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR SD7509                                                        | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     49590 | PA      | $44217.36     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC POOL FR ZS8669                                                        | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     21900 | PA      | $20840.92     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25H 1                       | CUSIP: 83162CQ48<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    470000 | PA      | $442988.07    | 0.13%             | 2047-08-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II                             | MORTGAGE REPURCHASE AGREEMENT FINANCING TRUST II S MRAFT 2022-S1 A1               | CUSIP: 61916TAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $256312.42    | 0.07%             | 2025-03-30      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                                    | UNION PACIFIC CORP 2.891000% 04/06/2036                                           | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15895.33     | 0.00%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 3.250000% 11/01/2039                                                 | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23371.10     | 0.01%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                     | GINNIE MAE I POOL GN 692307                                                       | CUSIP: 36296JDL6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20363 | PA      | $21018.00     | 0.01%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BQ3137                                                         | CUSIP: 3140KNPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    343753 | PA      | $296868.02    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST                              | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-2 SCRT 2017-2 MA                  | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    198520 | PA      | $184267.13    | 0.05%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BE3776                                                         | CUSIP: 3140FPFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     51860 | PA      | $50982.92     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY                        | CUSIP: 21H032621<br>LEI: N/A                  | Long             | DBT              |  | US        |    100000 | PA      | $91916.21     | 0.03%             | 2045-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company                           | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026           | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    190000 | PA      | $166143.92    | 0.05%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN CB3833                                                         | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     96779 | PA      | $85142.87     | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gobierno De La Republica De Panama                                           | REPUBLIC OF PANAMA 6.700000% 01/26/2036                                           | CUSIP: 698299AW4<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    190000 | PA      | $197894.54    | 0.06%             | 2036-01-26      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U99045                                                   | CUSIP: 3132H7BP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    105419 | PA      | $98580.89     | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FS0584                                                         | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     94561 | PA      | $77625.59     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ECOPETROL S.A.                                                               | ECOPETROL SA 5.375000% 06/26/2026                                                 | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    140000 | PA      | $132041.00    | 0.04%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS0070                                                         | CUSIP: 3138W9CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     23519 | PA      | $22473.82     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ILPT COMMERCIAL MORTGAGE TRUST                                               | ILPT COMMERCIAL MORTGAGE TRUST 2022-LPF2 ILPT 2022-LPF2 A                         | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    230000 | PA      | $229928.19    | 0.07%             | 2039-10-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.                                    | RAAC SERIES 2005-SP3 TRUST RAAC 2005-SP3 M2                                       | CUSIP: 76112BS68<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     18598 | PA      | $18575.14     | 0.01%             | 2035-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                           | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C25 A5              | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $483538.70    | 0.14%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LOWE'S COMPANIES, INC.                                                       | LOWE'S COS INC 1.700000% 09/15/2028                                               | CUSIP: 548661ED5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67192.65     | 0.02%             | 2028-09-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM8968                                                         | CUSIP: 3140XC6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1303577 | PA      | $1181107.43   | 0.33%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISA INC.                                                                    | VISA INC 4.300000% 12/14/2045                                                     | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9128.60      | 0.00%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST                                               | HARBORVIEW MORTGAGE LOAN TRUST 2005-9 HVMLT 2005-9 2A1B                           | CUSIP: 41161PSL8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    142033 | PA      | $126828.92    | 0.04%             | 2035-06-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                                              | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11 WFRBS 2013-C11 AS                        | CUSIP: 92937EAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     83176 | PA      | $82964.31     | 0.02%             | 2045-03-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP 3.841000% 04/25/2025                                         | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97632.44     | 0.03%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                                            | CIGNA CORP 4.125000% 11/15/2025                                                   | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195406.64    | 0.06%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3889                                                         | CUSIP: 3140X7KB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    288645 | PA      | $254669.36    | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP.                                                            | FIRSTENERGY CORP 1.600000% 01/15/2026                                             | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26474.98     | 0.01%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| COMCAST CORPORATION                                                          | COMCAST CORP 4.250000% 10/15/2030                                                 | CUSIP: 20030NCU3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38266.06     | 0.01%             | 2030-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                 | GS MORTGAGE SECURITIES TRUST 2013-GC16 GSMS 2013-GC16 B                           | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80000 | PA      | $77907.32     | 0.02%             | 2046-11-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG, LLC                                                             | CAMERON LNG LLC 144A 2.902000% 07/15/2031                                         | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50612.90     | 0.01%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                                           | WENDY'S FUNDING LLC WEN 2019-1A A2I                                               | CUSIP: 95058XAG3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    309400 | PA      | $284619.54    | 0.08%             | 2049-06-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 4.400000% 04/01/2033           | CUSIP: 161175CJ1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    110000 | PA      | $94122.51     | 0.03%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERS INCOME TAX REV                                 | NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY                 | CUSIP: 64990FY81<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    415000 | PA      | $363311.17    | 0.10%             | 2031-03-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC.                                                                | ALPHABET INC 0.450000% 08/15/2025                                                 | CUSIP: 02079KAH0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18054.60     | 0.01%             | 2025-08-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                  | FREDDIE MAC GOLD POOL FG U90503                                                   | CUSIP: 3132H3RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     53636 | PA      | $50140.04     | 0.01%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                      | MPLX LP 4.000000% 03/15/2028                                                      | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37204.39     | 0.01%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                                  | HUMANA INC 2.150000% 02/03/2032                                                   | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23409.97     | 0.01%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Coterra Energy Inc.                                                          | COTERRA ENERGY INC 144A 4.375000% 03/15/2029                                      | CUSIP: 127097AH6<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    300000 | PA      | $282451.42    | 0.08%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN BM6898                                                         | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    298899 | PA      | $248636.67    | 0.07%             | 2032-02-01      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA6933                                                      | CUSIP: 36179VV23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     66382 | PA      | $61586.37     | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL TRUST                                                     | TRICON RESIDENTIAL 2021-SFR1 TRUST TCN 2021-SFR1 A                                | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    850351 | PA      | $738982.09    | 0.21%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM3572                                                         | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    178725 | PA      | $175694.02    | 0.05%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN FM5940                                                         | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    173726 | PA      | $141987.78    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                  | BANK OF AMERICA CORP MTN 3.974000% 02/07/2030                                     | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     80000 | PA      | $72658.38     | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                          | 90DAY EURO$ FUTR  DEC24 FINANCIAL COMMODITY FUTURE.                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |        76 | NC      | $18316000.00  | 5.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CSMC TRUST                                                                   | CSMC 2014-USA OA LLC CSMC 2014-USA B                                              | CUSIP: 12649AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    470000 | PA      | $398954.85    | 0.11%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2019-25G 1                       | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45115 | PA      | $39525.39     | 0.01%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS AMERICA INC.                                              | BP CAPITAL MARKETS AMERICA INC 3.119000% 05/04/2026                               | CUSIP: 10373QAT7<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161140.28    | 0.05%             | 2026-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                     | US TREASURY N/B 1.875000% 11/15/2051                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    780000 | PA      | $494020.32    | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 MA4719                                                      | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     84376 | PA      | $79003.67     | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS7844                                                         | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30250 | PA      | $27108.71     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS, INCORPORATED                                                           | MARS INC 144A 3.200000% 04/01/2030                                                | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26796.08     | 0.01%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                      | MPLX LP 4.125000% 03/01/2027                                                      | CUSIP: 55336VAK6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    110000 | PA      | $103896.30    | 0.03%             | 2027-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN MA4305                                                         | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1110802 | PA      | $906977.90    | 0.26%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                   | WARNERMEDIA HOLDINGS INC 144A 3.755000% 03/15/2027                                | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    190000 | PA      | $171100.60    | 0.05%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                   | GINNIE MAE II POOL G2 CN9972                                                      | CUSIP: 3617FACH0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94127 | PA      | $87150.47     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2022-25K 1                       | CUSIP: 83162CR47<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    549000 | PA      | $550489.27    | 0.16%             | 2047-11-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                        | FANNIE MAE POOL FN AS4347                                                         | CUSIP: 3138WDZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20071 | PA      | $19278.01     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THE HERSHEY COMPANY                                                          | HERSHEY CO/THE 0.900000% 06/01/2025                                               | CUSIP: 427866BF4<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18253.82     | 0.01%             | 2025-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                                          | GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A                 | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    147926 | PA      | $141450.20    | 0.04%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING, LLC                                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COM 3.750000% 02/15/2028           | CUSIP: 161175BJ2<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180341.41    | 0.05%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| EQT CORPORATION                                                              | EQT CORP 6.125000% 02/01/2025                                                     | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100235.00    | 0.03%             | 2025-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION GTD                                            | UNITED STATES SMALL BUSINESS ADMINISTRATION SBAP 2015-20C 1                       | CUSIP: 83162CWX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    411673 | PA      | $380047.10    | 0.11%             | 2035-03-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** NEW COVENANT FUNDS

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO